Comparison with exchange rate return pricing models including factor of value strategy

• Main Authors: Chang, Ming Yuan, 張明源
• Other Authors: 林建秀
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/6q2765

碩士 === 國立政治大學 === 金融學系 === 105 === 　　Discussing the determinants of exchange rate return model is helpful when talking about currency trading, hedging, and arbitrage activities in currency markets. This paper use the market excess return, carry trade, value strategy, to build a three-factor model of exchange rate return. The purpose is to investigate whether this model is more explainable exchange rate return model, that means the three-factor model is better and suitable. 　　In this paper, we use the factor correlation analysis and the Fama-Macbeth two-step regression to analyze the data based on both conditions excluding transact cost and including transact cost. In whichever OLS or second step cross-section regression, even in the statistical tests at the last, we find that three-factor model is better than two-factor model from Lustig, Roussanov, and Verdelhan (2011). It shows that three-factor model should be the better model compared with the two-factor model.