Economic States, Downside Risk, and Momentum in the Taiwan Stock Market

經濟狀態、下方風險與動能策略：臺灣實證

10.6545/JFS.201812_26(4).0003

楊念慈(Nien-Tzu Yang)；柯冠成(Kuan-Cheng Ko)；李享泰(Hsiang-Tai Lee)；林楷哲(Kai-Zhe Lin)

Macroeconomic risk ； momentum ； economic states ； expected market risk premium ； downside risk ； 總體經濟風險 ； 動能策略 ； 經濟狀態 ； 預期市場風險溢酬 ； 下方風險

財務金融學刊

26卷4期（2018 / 12 / 31）

101 - 130

英文

Motivated by the procyclical nature of momentum, we empirically explore the relation between variations in macroeconomic conditions and momentum profits in the Taiwan stock market. Using expected market risk premium (EMRP) to identify macroeconomic conditions, we document significant losses for momentum in extremely bad economic states when EMRP is remarkably high. Only in extremely good economic states when EMRP is remarkably low, however, momentum can generate reliable profitability in this market. Further analyses indicate that the relation between EMRP and momentum profits is robust to the out-of-sample estimation of EMRP and several time-varying predictors of momentum.

本文以預期市場風險溢酬衡量總體經濟環境，發現預期市場風險溢酬與動能報酬存在顯著負向之關係。在經濟狀態低迷時，因預期市場風險溢酬大幅提高，此時動能策略將帶來顯著之損失；在經濟狀態高漲時，因預期市場風險溢酬異常偏低，動能策略可提供顯著為正之報酬。實證結果在樣本外估計與考量許多動能預測因子下仍具有穩健性。

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