價值、動能投資與崩盤風險：台灣股票市場的實證

Value, Momentum, and Crash Risk in the Taiwan Stock Market

過去文獻普遍指出傳統的價值與動能策略在台灣市場並不具有獲利性，本文為首篇檢驗此二交易策略的崩盤風險之研究，俾提供此二交易策略缺乏有效性之可能原因。在1982年7月至2015年12月的樣本期間內，實證結果發現此二策略在台灣市場皆存在極端的異常損失。然而，此二現象在時間序列上的暴險程度並不相同，符合Asness et al. (2013)提出價值與動能存在互補效果之論點。我們進一步檢驗Asness et al. (2013)所提出之價值與動能簡單合併策略之獲利性，發現此合併策略並無法提升獲利性，在運用Daniel & Moskowitz (2016)的動態風險權重調整下，則可提升獲利性並降低崩盤風險。本文之結果凸顯動態的風險管理對運用交易策略於台灣市場之必要性。

While value and momentum are prevalent and pervasive strategies in U.S. and major markets, their unprofitability in the Taiwan stock market has been widely documented in the literature. To provide a plausible explanation for the absence of the two strategies, we examine the crash risk for both strategies. The evidence indicates that value and momentum both experienced severe crashes from July 1982 to December 2015. However, they exhibit different patterns in time-series exposure to crash risk, indicating that their return patterns are negatively correlated. We accordingly follow Asness et al. (2013) to examine whether a 50-50 combined strategy that invests in both value and momentum generates significant profitability. The answer is negative. Applying Daniel & Moskowitz’s (2016) dynamic weighting approach, we show that the combined strategy becomes remarkably profitable and is not subject to crash risk during panic periods. Our results highlight the importance of dynamic risk management to trading strategies in Taiwan.