本文藉由Robert Shiller的實質利率和Baker–Wurgler的情緒指標分別建構利率和市場情緒週期，運用Fama–French五因子模型以探討美國股市在不同週期的因子投資策略。首先，在研究方法上運用GJR-GARCH(1,1)-M 模型分析利率和市場情緒變數對於五因子報酬、類股報酬的因子特徵。再者，以利率和市場情緒週期的五因子模型實證產業類股的超額報酬以及類股因子的風險報償模式。五因子特徵的實證顯示，規模因子對於利率、情緒的變化都表現出不對稱槓桿效應，而價值因子對於利率、情緒的變化都未表現出不對稱槓桿效應。此外，獲利能力因子乃五因子中，唯一對於利率或情緒變化都不具有風險貼水效果的因子。
類股因子特徵的實證表明，能源類股、電信通訊類股、公用事業類股以及金融類股對於利率以及市場情緒變化均不具有風險貼水效果，而健康醫療類股是唯一對於利率以及市場情緒變化都不具有不對稱槓桿效應者。最後，類股的多因子alphas回歸實證主要呈現出高利率、高情緒週期分別有高於低利率、低情緒週期的超額報酬模式；類股的跨週期平均回報則呈現出低利率、低情緒週期分別高於高利率、高情緒週期的風險報償模式。不同類股的產業投資組合在不同週期交替產生正超額報酬或最佳平均回報，顯示類股因子投資具有低相關性和高多樣性的特徵。本研究的貢獻在於貫穿因子特徵到因子投資的實證，嘗試建立以週期為投資期限的類股投資策略。

This dissertation explores the optimal factor investing of the US stock market using the Fama–French five-factor model of economic cycles constructed by Robert Shiller's interest rates and Baker–Wurgler's market sentiment. Methodologically, the GJR-GARCH(1,1)-M model is used to verify the factor characteristics of the five-factor returns and sector returns. Furthermore, the five-factor model of interest rates and market sentiment cycles is employed to analyze industry portfolios' excess return and risk–reward pattern. The result of five-factor characteristics on changes in interest rates and market sentiment indicates that the size factor possesses an asymmetric leverage effect in contrast to the value factor shows no asymmetric leverage effect. The evidence of sector characteristics on changes in interest rates and market sentiment indicates that the energy, telecommunication, utilities, and finance sectors feature no risk premium effect. The healthcare sector is the only sector that does not exhibit the asymmetric leverage effect.
Ultimately, multi-factor alphas of sectors primarily present the excess return pattern in which high-interest rate and high-sentiment cycles are superior to low-interest rate and low-sentiment cycles. By contrast, intra-cycle average returns of sectors present a risk–reward pattern in which low-interest rate and low-sentiment cycles outperform high-interest rate and high-sentiment cycles. Diverse sectors of industry portfolios alternately produce either positive excess returns or optimal average returns in different cycles, indicating that sector-based investing reveals a lower correlation and higher diversification approach. This paper contributes to establishing sector investment strategies across the cycles as investment horizons.

論文審定書 i
誌謝 ii
中文摘要 iii
Abstract iv
Chapter 1 Introduction 1
1.1 General Background 1
1.2 Research Motivation 4
1.3 Research Objective 4
1.4 Research Contribution 6
Chapter 2 Literature Review 7
2.1 Factor Investing 7
2.2 Five-Factor Model 9
2.2.1 Size factor 9
2.2.2 Value factor 10
2.2.3 Profitability factor 10
2.2.4 Investment factor 11
2.3 Interest Rates and Market Sentiment Cycles 12
2.3.1 Interest rates and the stock market 13
2.3.2 Market sentiment and the stock market 15
2.4 Sectors and Economic Cycles 16
Chapter 3 Data and Methodology 20
3.1 Research Design 20
3.2 Data Source 21
3.2.1 Interest rates 21
3.2.2 Market sentiment 23
3.2.3 Five-factor returns 25
3.2.4 Sector returns of industry portfolios 26
3.3 Construction of Asymmetric GARCH Model 29
3.4 Five-Factor Model of Interest Rates and Market Sentiment 30
Chapter 4 Empirical Results and Analyses 36
4.1 Results of Asymmetric GARCH Model 36
4.1.1 Five-factor returns 36
4.1.2 Sector returns 40
4.2 Five-Factor Model of Interest Rates and Market Sentiment 46
4.2.1 Five-factor returns 46
4.2.2 Sector returns 47
4.3 Factor Investing in Interest Rates and Market Sentiment
Cycles 53
4.3.1 Five-factor returns 53
4.3.2 Sector returns 54
4.4 Chapter Summary 57
Chapter 5 Discussions 59
5.1 Factor Returns Based on The Decade 59
5.1.1 Five-factor returns 59
5.1.2 Sector returns 61
5.2 Factor Returns in Negative Real Interest Rates 64
5.2.1 Five-factor returns 64
5.2.2 Sector returns 65
Chapter 6 Conclusions 69
6.1 Factor Characteristics 69
6.1.1 Five-factor returns 69
6.1.2 Sector returns 70
6.2 Sector Investment Strategies 70
6.2.1 Excess return 71
6.2.2 Risk–reward pattern 71
6.3 Limitations and Suggestions 73
References 75
Appendix 83

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