Journal of Empirical Finance ·VOLUME 28· SEPTEMBER2014

對沖動量因子回報的時變風險暴露

作者：Martin Martens (Erasmus University Rotterdam), Arco van Oord (Erasmus University Rotterdam)

摘要：動量因子的回報對于Fama-French三風險因子的暴露是随着時間而變化的，尤其當因子在排序期的回報更高時，因子的承載系數也會更高。在本文中，作者研究了将動量因子對于Fama-French三風險因子随時間變化的暴露對沖後的因子回報，發現考慮因子承載系數随時間變化的條件性特征是最好的對沖方法。對沖過後的動量因子回報更高、風險更小，同時在不同的時間段和市場情況下都表現更加穩定。如果隻使用估計出的單隻股票的beta系數來确定動量因子的beta系數，會存在系統性的偏差而導緻對沖不夠有效。

關鍵詞：動量因子；對沖；條件因子模型

Hedging the time-varying risk exposures of momentum returns

Martin Martens (Erasmus University Rotterdam), Arco van Oord (Erasmus University Rotterdam)

ABSTRACT

Momentum returns have time-varying exposures to the three Fama and French equity risk factors. In particular factor loadings are higher when the factor returns during the ranking period are higher. In this study we look at momentum returns after hedging these time-varying exposures to the Fama and French factors. We find that specifically taking into account the conditional nature of the time-variation in factor loadings is the best way to hedge. The hedged momentum returns are higher, less risky, more stable over time and vary less over different market conditions. Determining momentum betas based on estimated individual stock betas leads to systematic biases and hence is less effective in hedging.

Keywords: Momentum; Hedging; Conditional factor model

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927539814000590

翻譯：殷曼琳