REVIEW OF FINANCE · VOL. 18, ISSUE. 2· APRIL 2014

隐含價格風險和動量策略

作者：Hongwei Chuang（Institute of Statistical Science, Academia Sinica）

Hwai-Chung Ho（Department of Finance, National Taiwan University）

摘要：研究股票收益的規律性長久以來就是金融界的核心問題。大多數學者進行的量化分析往往隻關注了收益的分布。然而收益的分布并不能幫助預測由動量策略選出的多頭股票何時面臨即将下跌的風險。因此我們構建了隐含價格風險指數來量化個股的下跌風險并用它來管理動量策略的尾部風險。實證檢驗證明這一修正策略不僅能顯著改善總體收益，同時也能大大地降低來自2008年金融危機的極端損失。我們也基于著名的三因子，市場因子，規模和賬面市值比構建了隐含價格風險指數和截面收益的關系。

Implied Price Risk and Momentum Strategy

Hongwei Chuang (Institute of Statistical Science, Academia Sinica), Hwai-Chung Ho (Department of Finance, National Taiwan University)

ABSTRACT

Examining the properties of stock returns has long been a central topic in finance. Most quantitative analyses conducted by academic researchers and practitioners focus only on the return distribution. However, the return distribution itself hardly helps to determine whether the price of a winner stock picked by using the momentum strategy reaches the level where the risk incurred from the falling of prices is imminent. Therefore, we construct an implied price risk index to quantify the downside risk of a stock and use it to manage the tail risk of the momentum strategy. The empirical results demonstrate that our modified strategy can not only achieve significant improvement on the overall performance but also substantially reduce the drastic losses suffered from the 2008 global recession. We also establish the connection between the implied price risk index and the cross-sectional return differences based on the well-known three factors, the market beta, the firm size, and the book-to-market ratio.

原文鍊接：

http://www.stat.sinica.edu.tw/hcho/PDF/Ho-2013-RevFin-draft.pdf

翻譯：金明