In this paper I use an equity duration framework to develop and empirically test the hypothesis that returns on growth stock portfolios react more strongly to Federal Funds target rate change announcements, as compared to value stock portfolios. When I decompose the Federal Funds rate change, I find that portfolio returns are only sensitive to rate shocks, as opposed to the predictable component of rate change. Since growth stocks are expected to have higher duration than value stocks, I further explore the well documented polarity between value and growth stocks, by examining the interest rate sensitivities of portfolios that diverge along four fundamental-to-prices ratios: dividend yield, book-to-market value, earnings-to-price and cashflows-to-price. In each case, I find that price reactions are more pronounced for portfolios with high growth characteristics. I also document that portfolio returns react asymmetrically to positive and negative target rate surprises, and that this reaction is conditional on the state of business cycles - periods of economic expansions and recessions. To improve the robustness of my results, several statistical applications have been applied. First, I include Newey-west estimators to examine significant levels of regression estimates. Second, I check if there is any contemporaneous correlation across target rate shocks by applying ARIMA tests, and to overcome the problem resulted from serial correlation of target rate shocks, I substitute white noise residuals from the regressions on the rate shocks for target rate shocks to be new exogenous variables.

In the past, when deciding the asset allocation, fund managers only concerned the factors of assets. This incomplete way may let pension funds not cover their liabilities. To solve this problem we integrate the factors which influence fund¡¦s assets and liabilities and focus on surplus, which means assets minus liabilities. We use Surplus Optimization Model and Immunization Theory to construct our Liability Driven Investment and Dual Duration Matching Model. We decompose duration to real interest rate duration and inflation rate duration to control the sources of interest rate. Through this method, we can enhance the efficiency of asset allocation to ensure paying pension annuity punctually and avoid the risk of interest rate. Our sample period is Sept. 2001 to Aug. 2005 and sampling frequency is monthly. We use the common investment tools, stocks index, government bond index, 5 years corporate bonds, 3 years bank deposit, 30 days commercial papers, to be the assets we can allocate. We discover that when using liability driven investment and duration matching the longer years we consider the longer assets duration we need. Because government bond index¡¦s duration is shorter than stocks index¡¦s. When we consider longer years the weight of government bond index will decrease and the weight of stocks index will increase. When considered years are 50, the weight of government bond index is 54.74% and the weight of stocks index is 45.26%. The ratio of equity assets to fixed income assets is 84.51% that is similar with pension fund¡¦s ratio, 86.13%. No matter how many years we consider, the weight of bonds is high. But in pension funds¡¦ target allocation the weight of bonds is only 16% and the weights of bank deposit and T-bills are 31%. To take immunization strategy and improve the long term revenue, a large proportion should be allocated from bank deposit and T-bills to bonds.

本論文是由三篇關於金融市場的實證研究組合而成。第一篇以權益存續期間為主題，主要是利用迴歸模型估計台灣上市產業指數的實證權益存續期間，以探討股票報酬率的利率敏感度。迴歸模型中控制了三個重要的股票風險因子─市場因子、規模因子與價值因子。但其中，我們改以正交市場因子代替市場因子，以避免因為利率變動與市場報酬間存在共線性，而造成權益存續期間有可能錯估的問題。此外，基於權益存續期間具有會隨時間改變的動態特性，本文亦對各產業指數最近一次結構性變化的發生時點進行偵測，並據以推估最近期的權益存續期間。實證結果顯示：除了鋼鐵業的權益存續期間不顯著之外，其他所有產業指數皆具有負的權益存續期間，表示其報酬率與利率變動呈現出正向關係。在程度上，則以營建類指的利率敏感度最大，汽車類指最小。 第二篇應用了Diebold and Yilmaz (2009)的外溢指標分析台灣上市產業指數間的連動性，其優點是可以瞭解到產業間相互影響的方向以及程度。實證結果顯示：台灣上市產業指數間的外溢程度頗高，並以營建業為最主要的影響者，而相反地，鋼鐵業則是主要的被影響者。外溢指標具有隨時間改變的動態特性，而且透過動態外溢指標可觀察到次貸風暴蔓延的嚴重性。 第三篇應用了Goyal, Perignon and Villa (2008)所提出的多群組因素分析法，檢測美國總人口死亡率的共同因子個數。該方法最大的優點是能夠有效地辨識出真正的共同因子，避免了一般因素分析容易將解釋能力高的群組內獨特因子誤認為共同因子的缺點。根據檢測結果顯示，美國總人口死亡率的共同因子共有兩個，而且第二個因子的重要性隨時間愈來愈明顯。 / This thesis consists of three empirical essays about financial markets. The first essay analyzes the sensitivity of stock returns to changes in interest rates by estimating empirical equity duration of 18 industrial indices in the Taiwan Stock Exchange. In the regression models, we also control for the market excess return and the Fama-French mimicking returns for size and book-to-market factors. To avoid the effects of the multicolinearity between the market excess return and the interest rate changes, we replace the market excess return by the orthogonalized market factor. In addition, considering the time-varying pattern of empirical equity duration, we further adopt the reversed ordered Cusum test proposed by Pesaran and Timmermann (2002) to identify the most recent break of the regression relationship, and then extract the post-break data to re-estimate the up-to-date empirical equity duration. The result shows that except the Steel index, all industrial indices exhibit significantly negative equity durations, indicating a positive relationship between industrial index returns and interest rate changes in Taiwan. Among them, the Construction index has the largest interest rate sensitivity, while the lowest one is for the Automobile index. The second essay focuses on the nature of financial market interdependence, both in terms of returns and returns volatilities. Being capable of identifying the direction and magnitude of linkages among financial markets, the spillover index proposed by Diebold and Yilmaz (2009) is used to measure return and volatility spillovers between the top eight industrial indices based on market value in the Taiwan Stock Exchange. We find that for both returns and volatilities, the spillover effects among industrial indices in Taiwan are substantial. In particular, the Construction index is the major transmitter of shocks to other industries, and the Steel index, in contrast, suffers the most shocks from others. The spillover index fluctuates over time and indeed detects the severity of subprime mortgage crisis. The third essay adopts the multigroup factor analysis proposed by Goyal, Perignon and Villa (2008) to estimate the number of common pervasive factors for annual age-specific mortality for the entire U.S. populations. While the standard principal component analysis easily treats any group-specific factor as pervasive one due to its high contribution to total system variance, this methodology is able to estimate the space spanned by common and group-specific pervasive factors and recognize the true common factors. Empirical result shows that there are only two common pervasive factors governing the death rates in the United States; in particular, the importance of the second factor increases over time.

[pt] Este trabalho tem como objetivo explorar o benefício da inclusão de um novo fator relacionado a juros aos principais modelos de análise do cross-section dos retornos de ações, como o CAPM e o modelo de 3 fatores de Fama & French. O foco em especial é sobre a anomalia dos maiores retornos ajustados ao risco das estratégias de spread entre ações de baixo e alto beta de mercado, que também pode ser visto nos spreads entre ações de baixa e alta volatilidade. A motivação para inclusão deste fator vem da teoria de que o bom desempenho destas estratégias é simplesmente uma exposição a taxa de juros, não capturada pelos modelos usuais. Apesar da literatura apontar que as taxas de juros afetam diversas variáveis econômicas, a maior parte dos trabalhos de análise do cross-section dos retornos de ações é conduzida através de modelos de fatores compostos apenas por ações, sem fatores ou ativos diretamente relacionados a mudança da taxa de juros. A análise é feita com modelos lineares de fatores para o mercado acionário norte-americano entre 1976 até 2015. / [en] The literature shows that interest rates influence different economic variables such as consumption willingness, investment or expected asset returns. Notwithstanding, most works dealing with cross-sectional analysis of stock returns use only stock-based factor models disregarding the effects of interest rate movements. In this work, we explore the benefits of incrementing the traditional cross-sectional analysis (CAPM and Fama-French 3-factor model) with a new factor characterizing interest rate evolution over time. With this new factor, our model aims at better explaining stock return dispersion as well as a known anomaly of high risk-adjusted returns for low-volatility stock portfolios. Empirical analysis of linear factor models are carried out using US stock data using the Kenneth French database and the new factor is constructed using the US Aggregate do Barclays index that measures the return of low-risk assets.