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

隐含价格风险和动量策略

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

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

摘要：研究股票收益的规律性长久以来就是金融界的核心问题。大多数学者进行的量化分析往往只关注了收益的分布。然而收益的分布并不能帮助预测由动量策略选出的多头股票何时面临即将下跌的风险。因此我们构建了隐含价格风险指数来量化个股的下跌风险并用它来管理动量策略的尾部风险。实证检验证明这一修正策略不仅能显著改善总体收益，同时也能大大地降低来自2008年金融危机的极端损失。我们也基于著名的三因子，市场因子，规模和账面市值比构建了隐含价格风险指数和截面收益的关系。

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.

原文链接：

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

翻译：金明