使用波動率偏離以及違約距離改善動能策略

Abstract

本論文將動能視為由金融市場內訊息，以漸進、速率不等的方式傳播造成；然而相關動能策略的報酬總是擁有負偏態，因此策略總是經歷低頻率、但破壞性高的崩跌，尤其是在市場波動度加劇的時期。我們嘗試改進Menzly and Ozbas (2010)提出的交易策略，探討在加入選擇權市場、以及破產風險的相關資訊後，能否消除策略崩跌的缺點。我們發現由波動率偏離獲得的資訊確實能有效的減少負報酬的頻率與大小；而違約距離指標則能夠增加正報酬時期的獲利，僅使它對於改善策略負報酬的效果有限。

Stock market momentum is the result of a gradual diffusion of information in the market, and related trading strategies have a tendency of suffering from infrequent but strong and persistent negative returns, especially during periods of high market volatility. This research focuses on improving the momentum strategy designed by Menzly and Ozbas (2010) with the goal of dampening the effects of market crashes. We do this by adding information from options markets and a measure for credit risk. For our particular strategy, volatility smirks are effective at reducing the magnitude and frequency of negative returns, and the distance-to-default measure has the effect of increasing returns when recent returns are high, although it does not have much of an effect on reducing negative returns.