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首页> 外文期刊>Emerging Markets Finance & Trade >The Effect of the Alternation in the Ruling Party on Three-Factor Risks and Returns in ETF: The Case of Presidential Elections in Taiwan
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The Effect of the Alternation in the Ruling Party on Three-Factor Risks and Returns in ETF: The Case of Presidential Elections in Taiwan

机译：执政党轮换对ETF的三要素风险和收益影响：以台湾总统选举为例

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摘要

This study discusses the effect of alternation in the ruling party in presidential elections on three-factor risks and returns of the three main exchange-traded funds (ETFs) in Taiwan, which has an unclearly defined international status and whose citizens have the right to vote directly for the president. We find that after the ruling party has been determined, in the period between Election Day and inauguration day, both the stock market and ETFs show a slight rise in prices. This suggests that most investors are initially optimistic after the election results have been announced. Meanwhile, the reverse book-to-market risk value deteriorates significantly. These results indicate that political uncertainty increases the risk premium of market factors and reverse book-to-market factors for some ETFs.
机译：这项研究讨论了总统选举中执政党轮换对台湾三大主要交易所交易基金（ETF）的三因素风险和回报的影响，台湾这三个交易所买卖基金的国际地位不确定，其公民有权投票直接为总统。我们发现，在执政党确定之后，在选举日至就职日之间的这段时间里，股票市场和ETF均显示价格略有上涨。这表明在宣布选举结果后，大多数投资者最初都很乐观。同时，反向账面市价风险值明显恶化。这些结果表明，政治不确定性增加了某些ETF的市场因素和逆转账面市值因素的风险溢价。

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