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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 石百達 | |
dc.contributor.author | Wei-Chieh Ma | en |
dc.contributor.author | 馬偉傑 | zh_TW |
dc.date.accessioned | 2021-05-19T17:41:36Z | - |
dc.date.available | 2022-07-17 | |
dc.date.available | 2021-05-19T17:41:36Z | - |
dc.date.copyright | 2019-07-17 | |
dc.date.issued | 2019 | |
dc.date.submitted | 2019-07-04 | |
dc.identifier.citation | [1] Keloharju M., Linnainmaa J., Nyberg P. 2015. Return seasonalities. Journal of Finance, forthcoming.
[2] Jegadeesh N. and S.Titman. 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48, 65-91. [3] An B., A. Ang, T.G. Bali and N. Cakici. 2014. The joint cross section of stocks and options. Journal of Finance 69, 2279-2337. [4] Bali T.G. and A. Hovakimian. 2009. Volatility spreads and expected stock returns. Management Science 55, 1797-1812. [5] Cremers M. and D. Weinbaum. 2010. Deviations from put-call parity and stock return predictability. Journal of Financial and Quantitative Analysis 45, 335-367. [6] Ge L., T.-C. Lin and N. Pearson. 2016. Why does the option to stock volume ratio predict stock returns? Journal of Financial Economics 120, 601-622. [7] Johson T.L. and E.C. So. 2012. The option to stock volume ratio and future returns. Journal of Financial Economics 106, 262-286. [8] Pan J. and A. Poteshman. 2006. The information in option volume for future stock prices. Review of Financial Studies 19, 871-908. [9] Roll R., E. Schwartz and A. Subrahmanyam. 2010. O/S: The relative trading activity in options and stock. Journal of Financial Economics 96, 1-17. [10] Xing Y., X. Zhang and R. Zhao. 2010. What does the individual option volatility smirk tell us about future equity returns? Journal of Financial and Quantitative Analysis 45, 641-662. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/7328 | - |
dc.description.abstract | 本文以季節性與選擇權波動度偏離作為月策略,先以季節性分群篩選再以波動度偏離分群揀選,挑出合適的股票,並計算每群在樣本時間內的報酬與p值。
最終結果發現,挑選出的報酬相比單用季節性因素篩選股票,確實得到改善,此外,若以理論上最好與最壞的兩群組成long-short投資組合,報酬顯著異於零。而此選股策略也無法被Fama-Macbeth三因子模型所解釋。 | zh_TW |
dc.description.abstract | In this essay, we use seasonality and option skewness as a monthly strategy. We sort stocks by seasonality first then by skewness with the dependent sorting and calculate returns and p values for each group.
In the end, we find out that there is improvement in returns with the above strategy in comparison with single sorting by seasonality. Besides, if we construct a long-short portfolio with the theoretically best group and worst group, the return is significantly greater than zero, and the strategy cannot be explained by the Fama-Macbeth three-factors model. | en |
dc.description.provenance | Made available in DSpace on 2021-05-19T17:41:36Z (GMT). No. of bitstreams: 1 ntu-108-R06723029-1.pdf: 3205759 bytes, checksum: 2c70f3990ac4d07bc965abbec85bb914 (MD5) Previous issue date: 2019 | en |
dc.description.tableofcontents | 口試委員會審定書 i
中文摘要 ii ABSTRACT iii 目錄 iv 圖表目錄 v 第壹章 緒論 1 第貳章 研究方法 4 第一節 研究樣本 4 第二節資料分析 4 第參章 實證結果 6 第一節 季節性單一要素排序 6 第二節 先按季節性再依波動度偏離的相依排序 7 第三節 波動度偏離單一要素排序 10 第四節 先按波動度偏離再依季節性的相依排序 11 第肆章 結論 14 參考文獻 15 附錄 16 | |
dc.language.iso | zh-TW | |
dc.title | 季節性與波動度偏離對報酬的影響 | zh_TW |
dc.title | Seasonality and Skewness in Stock Returns | en |
dc.type | Thesis | |
dc.date.schoolyear | 107-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 盧佳琪,蔡芸琤 | |
dc.subject.keyword | 季節性,波動度偏離,選股, | zh_TW |
dc.subject.keyword | Seasonality,Option skewness,Stock picking strategy, | en |
dc.relation.page | 15 | |
dc.identifier.doi | 10.6342/NTU201900969 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2019-07-04 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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