Frazzini and Pedersen (2014)提出市場風險策略(betting against beta, BAB)，亦即買進低市場風險資產投資組合並賣出高市場風險資產投資組合，以此獲得風險調整後報酬，而市場風險策略會隨著流動性緊縮和事前市場風險的差異提高。另一方面，Debata and Mahakud (2018)發現在金融危機時期，經濟政策不確定性對確定股票市場流動性的作用非常重要，股市流動性的很大一部分變化是由於金融危機期間投資者情緒造成。為此，本研究調查經濟政策不確定性是否影響市場風險策略的獲利能力，試著展示經濟政策不確定性對投資人投資行為所扮演的角色。本文使用Baker et al. (2016)建構的經濟政策不確定性指標做為投資人的情緒狀態，檢測在金融危機下經濟政策不確定性對市場風險策略的影響，其相關結論如下：
1. 市場風險策略在美國股票市場中能獲得顯著且正向的報酬。
2. 在金融危機時期，投資人會面臨流動性風險的問題，進而結清現有的股票以提高自有投資組合的流動性，導致市場風險策略報酬下降。
3. 經濟政策不確定性正向影響市場風險策略報酬，表示隨著不確定性程度上升，投資人承擔市場流動性風險是可以獲得補償的。
4. 金融危機期間下的經濟政策不確定性越高，市場風險策略報酬越低，指出當市場流動性越差且經濟政策不確定性越高，投資人容易恐慌進而造成流動性風險報酬的下降，使其承受流動性的補償下降，導致他們無法利用專業的判斷來進行投資，造成市場風險策略報酬降低。

Frazzini and Pedersen (2014) proposed a market risk strategy, betting against beta, which is long leveraged low-beta assets and short high-beta assets to obtain risk-adjusted returns. On the other hand, Debata and Mahakud (2018) found that during the financial crisis, economic policy uncertainty is very important in determining the liquidity of the stock market. The literature also observed that a large part of the change in stock market liquidity was caused by investor sentiment during the financial crisis. Our study investigates whether economic policy uncertainty affects the profitability of market risk strategy, and attempt to demonstrate the role of economic policy uncertainty in the investment behavior of investors. In this study, we use economic policy uncertainty index constructed by Baker et al. (2016) as the emotional state of investors to detect the impact of economic policy uncertainty on the returns of market risk strategy during the financial crisis. Our empirical results are as following:
1. Market risk strategy can obtain significant and positive returns in the US stock market.
2. During the financial crisis, investors face the problem of liquidity risk, and then settle existing stocks to improve the liquidity of their own investment portfolios, resulting in a decline in the returns of market risk strategy.
3. Economic policy uncertainty positively affects the returns of market risk strategy, indicating that investors can be compensated for taking liquidity risk when the uncertainty increases.
4. The higher the economic policy uncertainty during the financial crisis, the lower the return of market risk strategy, indicating that when the market liquidity is worse and the economic policy uncertainty is higher, investors are prone to panic. Because of the decline in liquidity risk compensation, investors cannot use professional judgment to invest, and therefore unable to obtain returns of market risk strategy.

論文審定書 i
摘要 ii
Abstract iii
目錄 v
表次 vii
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 4
第二章 文獻探討 5
第一節 市場風險報酬相關研究 5
第二節 金融危機期間對股票報酬影響 7
第三節 經濟政策不確定性對股票報酬影響 10
第三章 建立假說 14
第四章 研究方法 16
第一節 資料來源及變數說明 16
第二節 系統性風險計算及建構 17
第三節 迴歸模型建立 19
第五章 實證結果 21
第一節 敘述性統計 21
第二節 市場風險策略報酬與股票報酬率 23
第三節 金融危機期間之市場風險策略報酬 25
第四節 經濟政策不確定性對市場風險策略報酬的影響 27
第五節 經濟政策不確定性在金融危機期間對市場風險策略的影響 29
第六章 結論與貢獻 31
第一節 結論 31
第二節 研究貢獻 33
第三節 未來研究方向 33
參考文獻 34

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