Application of Generalized Measure of Riskiness to Various Asset Classes

• Main Authors: Kai-Han Huang, 黃楷瀚
• Other Authors: 曾郁仁
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/xcx2f3

碩士 === 國立臺灣大學 === 財務金融學研究所 === 105 === This paper is aimed at expanding the application of the Generalized Measure of Riskiness(GMR), introduced by Bali, Cakici, and Chabi-Yo (2011), to various kinds of assets, and testing for its feasibility for properly reflecting the pattern of riskiness and return of the underlying assets. The paper conducts the estimation of riskiness measures based on historical data between December 31, 1988 to January 31, 2009 using Generalized Method of Moments (GMM). The paper examined the time series trend, the correlation with concurrent and predictability of future Sharpe ratio and Sortino ratio, along with the relationship with macroeconomic variables of GMR calculated with GMM based on rolling and non-rolling estimation alike. The empirical results indicate that for the rolling-estimated GMR, the riskiness of stock and investment grade bond index had been gradually increasing during the sample period, which is in harmony with the results proposed by M Taboga (2009). For the non-rolling estimated GMR, it can properly reflect the concurrent risk and return of the underlying assets, and the results are robust to different degree of risk aversion. As for the predictability of future Sharpe and Sortino ratio, the indicator shows no statistically significant predicting power, which may be due to the backward-looking nature of the GMM method. Finally, The coefficients with regard to macroeconomic variables are in accordance with general economic rationale. Based on our empirical findings, we conclude that GMR is an appropriate measure for middle- to long-term historical performance feasible for various asset classes.