淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1107200510562400
中文論文名稱 資本資產定價模型檢定-門檻模型之應用
英文論文名稱 The Test of CAPM- The Application of Threshold Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 吳佩珊
研究生英文姓名 Pei-Shan Wu
學號 791490104
學位類別 碩士
語文別 中文
口試日期 2005-05-28
論文頁數 51頁
口試委員 指導教授-黃河泉
委員-莊武仁
委員-郭迺鋒
委員-何宗武
中文關鍵字 資本資產定價模型  三因子模型  門檻  超額報酬 
英文關鍵字 CAPM  Threshold Model  beta  excess return 
學科別分類 學科別社會科學商學
中文摘要 Sharpe (1964)、Lintner (1965)所提出之資本資產定價模型(Capital Assets Pricing Model, 以下簡稱CAPM )在過去相關的研究文獻中,多以線性型態作為探討風險與報酬之依據,然而,仍有實証指出對 CAPM的完美線性架構存在與否,有檢測之必要性。故本文提出在考量市場實際可能為非線性的狀態之下,以美國股票市場為實證對象,選取1926年7月至2004年的月資料,嘗試以Fama and French (1992,1993) 所提出三因子模型之概念,納入淨值市價比(Book to Market Value Ratio, BM)及公司規模(Total Market Value Equity, ME)這兩個思考角度,輔以Bai and Perron (1998, 2003)所建議之門檻方法 (Threshold Model)探討超額報酬與系統風險之間的表現;藉由可能造成關係改變而產生之門檻值,進而探討在各區段中,是否呼應Sharpe- Lintner CAPM之理論概念,及CAPM實際適用之可能性。
主要實證結果如下:
1、無論淨值市價比及公司規模群組,以市場投資組合超額報酬作為門檻變數之下,皆明顯存在門檻效果,且對於個別資產組合超額報酬的檢定皆分別存在至少一個門檻,並平均發生在4%至5%的市場溢酬水平。
2、研究發現淨值市價比及公司規模群組,於熊市市場符合Sharpe- Lintner CAPM理論之假設,亦即支持截距項α為0的條件;牛市市場則不然。而各門檻變數下之群組,超額報酬受系統風險的影響程度,依其群組大小而產生不同程度顯著的影響,隱含著β是波動的,並非為固定之值,且與單一線性迴歸結果呈現近乎相同之變動趨勢;此外,在牛市市場的影響程度亦遠較熊市市場深。
3、實證結果發現CAPM門檻模型,雖於門檻前後可能有一致或不一致於Sharpe- Lintner CAPM的情形,指出理論假設可能在某些區域中被接受,亦可能被拒絕於另一些區域之中,然卻提供不同的角度證明Sharpe- Lintner CAPM理論於效率市場仍為有用的定價方法。
英文摘要 According to the Capital Assets Pricing Model (CAPM) proposed by Sharpe (1964) and Lintner (1965), it is the fact that most of previous studies support the linear relationship between return and risk. However, recently there are increasing researches pointing out the portfolio returns are determined by multi- factor, rather than the single one, beta, and argue that it is necessary to further test the perfect conditions that the traditional CAPM has. Therefore, it dries us to understand the possibility of the practical application of CAPM in the economic environment.
Motivated by the three-factor model asserted by Fama and French (1992,1993), we have a try to propose another empirical approach for testing the Sharpe- Lintner CAPM in betas allowing for the threshold model followed directly from the work of Bai and Perron (1998,2003) in order to discuss the relationship between expected excess return and beta. We use the mimicking portfolios composed by NYSE, AMEX, NASDAQ as the samples and sort these samples on the BM (Book to Market Value Ratio) and ME (Total Market value Equity) basis 5 regimes per set in order to capture the variation in the pricing model and the changes in betas under non-linear consideration. By adopting the monthly data in BM and ME portfolios from July, 1926 to Dec.2004,we try to find out whether there is a threshold effect and the behavior of pricing model are responded to the Sharpe- Lintner CAPM while the threshold exists at each regime.
The empirical findings suggest that-
Firstly, there is a strong evidence of threshold effect which separates each regime for all the BM-sorted and ME-sorted portfolios based on the excess return of market portfolio as the threshold variable and at least exists one threshold at each regime. Besides, it appears that most of the expected excess return falling on the level with rate 4%~ 5%.
Secondly, the results for regimes sorting by BM and ME all support the assumption of Sharpe-Lintner CAPM in bearish market, i.e., the intercepts are different significantly from zero; but otherwise in bullish market.
Moreover, the expected excess returns explained by market system risk for each regime are different. It implies that the beta coefficients in dynamic analysis exist instability feature and the traditional assumption of a stable relationship between the return and beta can be questioned. In particular, the trend for the volatility of betas appears the same as the single-equation does. In addition, the effect with regard to betas in bullish market is significantly deeper than the bearish market no matter the regimes formed by BM and ME.
Finally, we found the results of linear specifications can only permit the data to be either consistent or inconsistent with the Sharpe- Lintner CAPM. In other words, under the threshold model some regimes can accept Sharpe- Lintner CAPM, but some are not. However, it still provides different version to observe the validity of the Sharpe- Lintner CAPM in the efficient market.
論文目次 摘要……………………………………………iv
第一章 緒論
第一節 研究動機及目的…………………… 1
第二節 研究架構…………………………… 4
第二章 文獻回顧
第一節 資本資產定價模型………………… 6
第二節 資本資產定價模型相關實證研究… 9
第三章 資料說明及研究方法
第一節 研究資料與研究變數………………14
一、研究資料…………………………………14
1、樣本來源 …………………………………14
2、變數說明 …………………………………16
第二節 模型推導及建立
一、模型推導…………………………………17
二、超額報酬模型設定………………………19
三、模型建立-CAPM門檻模型………………23
四、研究探討方向……………………………29
第四章 實證結果
第一節 單一線性迴歸………………………32
第二節 CAPM門檻模型………………………34
第五章 結論與建議…………………………44
參考文獻………………………………………47

表目錄
表1.1 研究流程圖…………………………………………5
表2.1變數符號說明及資料來源…………………………16
表2.2各群組樣本包含之公司家數………………………16
表4.1 樣本敘述統計量分析 ……………………………31
表4.2 單一線性迴歸實証結果- BM ……………………33
表4.3 單一線性迴歸實証結果- ME ……………………33
表4.4 門檻效果檢定-淨值市價比(BM)…………………36
表4.5 門檻效果檢定-公司規模(ME)……………………37
表4.6 門檻估計結果-公司規模(ME)……………………42
表4.7 門檻估計結果-淨值市價比(BM)…………………43

參考文獻 一、中文文獻
黃金恩 (2001),「市場狀態、風險變異與資產報酬異常現象之研究」,國立台北大學博士論文。
楊明栽 (1996),「資本資產訂價理論在台灣股票市場之實證研究」,淡江大學碩士論文。
陳惠萍 (1998),「股票報酬之橫斷面分析-以台灣與上海股票市場為例」,逢甲大學碩士論文。

二、英文文獻
Bai, J. and Perron, P. (1998), " Estimating and testing linear models with multiple structural changes." Econometrica 66, 47-78.
Bai, J. and Perron, P. (2001), " Multiple structural change models: A simulation analysis." Working paper.
Bai, J. and Perron, P. (2003), " Computation and analysis of multiple structural change models." Journal of Applied Econometrics 18, 1-22.
Banz, R. W. (1981), " The relationship between return and market value of common stocks." Journal of Financial Economics 9, 3-18.
Basu, S. (1983), " The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence." Journal of Financial Economics 12, 129-156.
Bhardwaj, R. and Brooks, L. (1993), "Dual betas from bull and bear market:Reversal of the size effect." Journal of Financial Research 16, 269-283.
Black, F., Jensen, M. and Scholes, M. (1972), "The capital asset pricing model: Some empirical tests." in Studies in the Theory of Capital Markets edited by Michael Jensen, Praeger, New York.
Breeden, D. T. (1979), "An intertemporal asset pricing model with stochastic consumption and investment." Journal of Financial Economics 7, 265-296.
Chan, K. C. , Chen, N. and Hsieh, D. (1985), "An exploratory investigation of the firm size effect." Journal of Financial Economics 14, 451-471.
Fabozzi, F. J. and Francis, J. C. (1978), "Beta as a random coefficient." Journal of Financial and Quantitative Analysis 13, 101-116.
Fabozzi, F. J. and Francis, J. C. (1979), "The effect of changing macroeconomic conditions on the parameters of the single index market model." Journal of Financial and Quantitative Analysis 14, 351-360.
Fant, L. F. and Peterson, D. R. (1995), "The effect of size, book-to-market equity, prior returns, and beta on stock returns:January versus the remainder of the year." Journal of Financial Research 18, 129-142.
Fama, E. and French, K. R. (1992), "The cross-section of expected stock returns." Journal of Finance 47, 427-465.
Fama, E. and French, K. R. (1993), "Common risk factors in the returns on bonds and stocks." Journal of Financial Economics 33, 3-56.
Fama, E. and French, K. R. (2004), "The Capital Asset Pricing Model: Theory and evidence." Journal of Economic Perspectives 18, 25-46.
Fama, E. and MacBeth, R. (1973), "Risk, return and equilibrium: Empirical tests." Journal of Political Economy 71, 607-636.
Ghysels, E. (1998), "On stable factor structures in the pricing of risk: Do time-varying betas help or hurt?" Journal of Finance 53, 549-573.
Huang, River H. C. (2000), "Tests of regime-switching CAPM." Applied Financial Economics 10, 573-578.
Huang, River H. C. (2001), "Tests of CAPM with nonstationary beta." International Journal of Finance and Economics 6, 255-268.
Huang, River H. C. (2003), "Tests of regime-switching CAPM under price limits." International Review of Economics and Finance 12, 305-326.
Jagannathan, R. and Wang, Z. (1996), "The conditional CAPM and the cross-section of expected returns." Journal of Finance 51, 3-54.
Lintner, J. (1965), "The valuation of risk assets and the selection of risky investments in stock portfolio and capital budgets." Review of Economics and Statistics 47, 13-37.
Markowitz, H. M. (1952), "Poftfolio selection." Journal of Finance 7, 77-91.
Merton, R. C. (1973), "An intertemporal capital asset pricing model." Econometrica 41, 867-887.
Mossin, J. (1966), "Equilibrium in a capital asset market." Econometrica 34, 768-783.
Ross, S. A. (1976), "The arbitrage theory of capital asset pricing." Journal of Economic Theory 13, 341-360.
Sharpe, W. F. (1964), "Capital asset prices: A theory of market equilibrium under conditions of risk." Journal of Finance 19, 425-442.
Tobin, J. (1958), "Liquidity preference as behavior toward risk." Review of Economics Studies 2, 65-86.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2005-08-03公開。
  • 同意授權瀏覽/列印電子全文服務,於2008-08-03起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信