報酬預測與風格輪動投資策略

Return Prediction and Style Rotation Strategies

過去研究發現規模效應、價值效應與價格動能效應並非總是存在，甚至無法以理性資產定價模型來解釋，所以，一味的遵循購買小型公司或價值型股票等被動式的風格投資策略未必是最佳的投資方式。本文納入風險與投資者情緒等變數，並藉由因時而異風險值的估計以建立報酬預測模型，分別針對規模、淨值市價比與價格動能等之風格輪動的時機形成主動式投資策略。結果顯示，主動式的風格投資策略之投資績效都高於被動式的風格投資策略，其中，則以淨值市價比之風格輪動交易策略，無論市場震盪劇烈與否都具有穩定的極佳獲利表現。

Previous studies document that size effect， value effect， and price momentum do not always exist and be completely explained by rational asset pricing model. Therefore， the passive investment strategies forming by buying in small size stock or value stock can not generate the best performance. This study adopts predetermined variable regarding risk and investor sentiment to estimate time-varying expected return， and then implement style rotating strategy. The results show that active style rotation strategies outperform the passive style investment strategies; especially， regardless of the market volatility the value style rotation strategy have steady and outstanding performance.