基于贝塔不确定性的台股套利策略

IF 5.6 Q1 MANAGEMENT

Asia Pacific Management Review Pub Date : 2025-09-01 DOI:10.1016/j.apmrv.2025.100367

Hung-Hsi Huang , Jie-Yu Lyu , Ching-Ping Wang

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引用次数: 0

摘要

本研究以1993年至2023年台湾上市公司的月度数据为研究对象，探讨基于CAPM beta不确定性的投资套利策略。样本内分析表明，与beta本身相比，beta不确定性与股票收益有更强的正相关关系，这表明beta不确定性是比传统CAPM beta更有效的风险因素。具体来说，持有高贝塔或高贝塔不确定性的股票，同时做空低贝塔或低贝塔不确定性的股票，可以产生显著的投资回报。股票投资组合进一步细分基于历史贝塔，市场价值，账面价格比率，和过去的累积回报，以确保稳健性的发现。在样本外分析中，我们观察到，在最高贝塔组中，涉及最高贝塔组的多头头寸和最低贝塔组的空头头寸的策略表现出最高的投资绩效。

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Taiwan stock arbitrage strategy based on beta uncertainty

This study investigates an investment arbitrage strategy based on CAPM beta uncertainty, using monthly data from companies listed in Taiwan from 1993 to 2023. The in-sample analysis reveals that beta uncertainty has a stronger positive relationship with stock returns than beta itself, suggesting that beta uncertainty is a more effective risk factor than the traditional CAPM beta. Specifically, holding high-beta or high-beta-uncertainty stocks while shorting low-beta or low-beta-uncertainty stocks can generate significant investment returns. Stock portfolios are further segmented based on historical betas, market values, book-to-price ratios, and past cumulative returns to ensure the robustness of the findings. In the out-of-sample analysis, we observe that within the highest beta groups, a strategy involving a long position in the highest beta group and a short position in the lowest beta group exhibits the highest investment performance.

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来源期刊

Asia Pacific Management Review MANAGEMENT-

CiteScore

8.00

自引率

4.50%

发文量

期刊介绍： Asia Pacific Management Review (APMR), peer-reviewed and published quarterly, pursues to publish original and high quality research articles and notes that contribute to build empirical and theoretical understanding for concerning strategy and management aspects in business and activities. Meanwhile, we also seek to publish short communications and opinions addressing issues of current concern to managers in regards to within and between the Asia-Pacific region. The covered domains but not limited to, such as accounting, finance, marketing, decision analysis and operation management, human resource management, information management, international business management, logistic and supply chain management, quantitative and research methods, strategic and business management, and tourism management, are suitable for publication in the APMR.