| Summary: | 碩士 === 國立中山大學 === 財務管理學系研究所 === 102 === In financial theories, it commonly accepted that high return comes from high risk, however there is an anomaly which violates this hypothesis. In the United States market, stocks with the lowest risk achieved better returns in the past 50 years.
We present empirical evidence that stocks with low risk earn high return in the Taiwan market. The average annual return spread of low versus high volatility quintile portfolios amounts to 9.86% for past 22 years. Furthermore, portfolios which are ranked by historical volatility perform better than those ranked by beta, using longer time periods to estimate risk performs better than shorter time periods, and the difference between of return high and low risk portfolios is greater in large-cap stocks. In order to exploit the anomaly, we build a zero-beta portfolio, and the portfolio realizes a 6.46% annual return for past 22 years. Finally, we try different ways of building the portfolio, and find that the risk parity re-establishes in zero-beta strategy.
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