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 U0002-1406200717261600
中文論文名稱 台灣上市公司獨特性波動風險對股票報酬關係之研究
英文論文名稱 The Relations between Idiosyncratic Volatility Risk and Stock Return in Taiwan Stock Market
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 95
學期 2
出版年 96
研究生中文姓名 林曉梅
研究生英文姓名 Hsiao-Mei Lin
學號 694490359
學位類別 碩士
語文別 中文
口試日期 2007-05-27
論文頁數 59頁
口試委員 指導教授-邱忠榮
指導教授-林允永
委員-謝文良
委員-李進生
委員-林忠機
中文關鍵字 系統風險  市場價值  淨值市價比  獨特性風險 
英文關鍵字 Beta  Market value  Idiosyncratic Volatility Risk  Panel Data 
學科別分類 學科別社會科學商學
中文摘要 報酬與風險一直為投資人所關切的議題。本研究依據Fama and French(1992)的三因子模型為研究模型的基本架構,加入近年來波動性研究都將其重心擺在其上的獨特性波動風險因子,本文使用過去未討論過的GARCH(1,1)配置三因子殘差變異數作為獨特性波動風險因子,形成四因子資本資產定價模型,試探討此四因子模型對於股票報酬的關聯性。本研究方法以Panel data模型進行分析研究,將檢定結果加以比較三因子模型與四因子模型是否有何差異。
本研究結果顯示:在三因子模型中,所有風險因子皆為顯著且具有解釋能力;而四因子資本資產定價模型中,加入了獨特性波動風險因子,所有變數仍然皆為顯著且具有解釋能力,並且四因子模型的判定係數較三因子模型高,因此可以得知,四因子模型的配適能力較三因子模型好,並且獨特性波動風險因子存在於台灣股票市場,對於股票報酬可以更具有解釋能力,此為一新貢獻。
與被解釋變數的關聯性方面,研究結果得知貝它係數與淨值市價比對股票報酬率呈現負向關係,而規模效果與股票報酬率為正向關係,其與過去文獻的結果有不同的論調,然而,這可能是因為資料本質的不同、選取時間的長度不同、亦或是研究方法的不同,因而產生不同的影響。而新解釋變數─獨特性波動風險因子與股票報酬率為正向關係,表示獨特性的波動越大,則股票報酬率將會越高,此與過去研究發現有相同的結果。
英文摘要 In this paper we follow Fama and French (1992). We employ the common three risk factors in Fama and French (1992) and take another new risk factor- Idiosyncratic Volatility Risk (called IVR) in our model. We want to know the relationship among these four risk factors and the stock return and compare the results of the three-factor model with the four-factor model. We analyze our empirical data with Panel Data model. The sample period is from 1996 to 2006. In summary, all factors are significant in explaining stock returns in the three–factor model. In the four-factor modal, even we take IVR in our model; all risk factors are still significant in explaining stock returns. Moreover, the in the four-factor modal is higher than in the three–factor model. In this paper, we find there is negative relation between Beta (or BE/ME) and stock return. Besides, we find there is positive relation between Market value and stock return. The other factor-IVR has positive relation with stock return as well. Our result is the same with the result from Chiang (2003).This is, the higher the idiosyncratic volatility of the Taiwan listed stocks is, the higher the return of the Taiwan listed stocks increases.
論文目次 第一章 緒論 …………………………………………………………………………1
第一節 研究動機與目的…………………………………………………………1
第二節 研究流程…………………………………………………………………3
第三節 研究架構…………………………………………………………………4

第二章 文獻探討 ……………………………………………………………………5
第一節 股票報酬單一風險因子及多風險因子相關文獻探討 ………………5
弟二節 獨特性風險因子相關文獻探討 ………………………………………13
第三節 Panel data模型相關文獻探討 ………………………………………16

第三章 研究方法……………………………………………………………………17
第一節 研究模型的選取 ………………………………………………………17
第二節 變數的定義及概念 ……………………………………………………32
第三節 變數衡量方式 …………………………………………………………35
第四節 資料檢定 ………………………………………………………………36

第四章 實證結果分析………………………………………………………………39
第一節 資料來源與處理 ………………………………………………………39
第二節 估計模型之介紹 ………………………………………………………41
第三節 Panel data模型之分析 ………………………………………………43

第五章 結論與建議…………………………………………………………………52
第一節 研究結論 ………………………………………………………………52
第二節 研究限制 ………………………………………………………………54
第三節 研究建議 ………………………………………………………………54

參考文獻 ……………………………………………………………………………55

表目錄
【表4-1】 應變數與解釋變數之基本統計量表………………………………39
【表4-2】 各變數原始序列單根檢定結果……………………………………40
【表4-3】 各變數一階差分序列單根檢定結果………………………………41
【表4-4】 Panel Data三因子模型選取結果…………………………………45
【表4-5】 Panel Data四因子模型選取結果…………………………………46
【表4-6】 三因子模型之檢定結果……………………………………………46
【表4-7】 四因子模型之檢定結果……………………………………………49


圖目錄
【圖1-1】 研究流程圖 …………………………………………………………3




參考文獻 參考文獻
國外文獻

Amihud, Y., Mendelson, H., 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics, 17, pp.223-249

Arshanapalli, B., Coggin, T.D., and Doukas, J, 1998, Multifactor asset pricing analysis of international investment strategies, Journal of Portfolio Management, summer, pp.10-23

Baltagi, B.H., 2001, Econometric analysis of panel data, John Wiley

Banz, R.W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics, 9, pp.3-18

B Charlene Henderson, Steven E Kaplan, 2000, An examination of audit report lags for banks: A panel data approach, Auditing. Sarasota, 19, pp.159

Black, F., Jensen, M. C. and Scholes, M., 1972, The capital asset pricing model: some empirical tests, in Studies in the Theory of Capital Markets, edited by Jensen M.C. (New York, US:Praeger), pp.9-12

Breusch, T.S. and Pagan A.R., 1980, The Lagrange Multiplier test and its
Applications to model Specification in Econometrics, Review of Economic Studies, pp.239~253

Campbell, J.Y., Martin L., Burton G. M., and Yexiao Xu, 2001, Have individual stocks become more volatile an empirical exploration of idiosyncratic risk, Journal of Finance, 56(1), pp.1-43

Chan, K.C. and Chen, N.F., 1991, Structural and return characteristics of small and large firms, Journal of Finance, 46, pp.1467-1485

Chan, Louis K. C., Hamao Y., and Lakonishak J., 1991, Fundamentals and Stock Returns in Japan, Journal of Finance, 46(5), pp.1739-1789

Chiang, K.C.H., 2003, Idiosyncratic risk and returns in international equity markets, Working paper, University of Alaska Fairbanks

Chiang, K.C.H., and Christianc L., 2002, International diversification: The within- and between-region effects, working paper, University of Alaska Fairbanks

Engle, R. F., 1982, Autoregressive Condition Heteroskedestivity with Estimates of the Variance of United Kingdom Inflation, Econometrica, Vol. 50, pp.987-1007

Fama, E.F., MacBeth, J., D., 1973, Risk return and equilibrium:empirical test, Journal of Political Economy, 81, pp.607-636

Fama, E.F. and K.R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance, 47, pp.427-465

Fama, E.F. and K.R. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, pp.3-56.

Fama, E.F. and K.R. French, 1995, Size and Book-to-Market Factors in Earnings and Returns, Journal of Finance, 50, pp.131-155

Fama, E.F. and K.R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51, pp.55-84

Fama, E.F. and K.R. French, 1998, Value versus Growth: The International Evidence, Journal of Finance, 53, pp.1975-1999.

Fant, L.F., 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 Finance Research, 18, pp.129-142.

French, Kenneth R., G. William Schwert, and Robert F. Stambaugh, 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, pp.3–29

Granger, C. W. J. and P. Newbold, 1974, Spurious regressions in Econometrics, Journal of Econometrics, Vol. 2, pp.111-120

Granger, C.W.J. and R. Ramanathan, 1984, Improved methods of combining forecasts, International Journal of Forecasting, 3, pp.197- 204
Greene, W. H. (2000), Econometric Analysis, Fourth Edition

Hamao, Yasushi, Jianping Mei, and Yexiao Xu, 2002, Idiosyncratic Risk and Creative Destruction in Japan, Working Paper

Hausman, J.A., 1978, Specification Tests in Econometrics, Econometrica, 46, pp.1251-1271

Hun Myoung Park, 2005, Linear Regression Models for Panel Data Using SAS, STATA, LIMDEP, and SPSS, The Trustees of Indiana University

Johnston, J. and Dinardo, J., 1997, Econometric Methods, Fourth Edition

Kothari, S.P., Jay Shanken, and Richard G.Sloan, 1995, Another look at the cross-section of expected stock returns, Journal of Finance, 50, pp.185-224

Lakonishok, J. and A. Shleifer, and R. W. Vishny., 1994, Contrarian investment, extrapolation, and risk, Journal of Finance, 49, pp.1541-1578

Linther, J., 1965, The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, pp.13-37

Ljung, G.M., and Box, G.E.P., 1978, On a measure of lack of fit in time models. Biometrika, pp.297-303

MacDonald, John A, Shawky, Hany A, 1995, On estimating stock market volatility: An exploratory approach, The Journal of Financial Research, 18, pp.449

Markowitz, H.M., 1952, Portfolio selection, Journal of Finance, 7, pp.77-91

Malkiel, B.G.,Xu,Y., 1997, Risk and return revisited, Journal of Portfolio Management, Spring, pp.9-14

Malkiel, Burton G., and Yexiao Xu, 2001, Investigating the Behavior of Idiosyncratic Volatility, Journal of Business, forthcoming

Paul Harrison, Harold H Zhang., 1999, An investigation of the risk and return relation at long horizons, The Review of Economics and Statistics, 81, pp.399

Reinganum, Marc R., 1981, A new empirical perspective on the CAPM, Journal of Financial and Quantitative Analysis, 16, pp.439-462

Reinganum, M. R., 1981, Misspecification of capital asset pricing:Empirical anomalies based on earnings yields and market values, Journal of Financial Economics, 9, pp.19-46

Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 11, pp.9-17

Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic, 13, pp.341-360

Said, S. and D. Dickey, 1984, Testing for Unit Roots in Autore-ressive Moving Average Method of Unknown Order, Biometrics, Vol.71, pp.599-607

Sharpe, W., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19, pp.425-442

Tim Bollerslev, Robert F. Engle, 1986, Common Persistence In Conditional Variances, Econometrica

William H. Greene, 2003, Econometric Analysis, Prentice Hall, Fifth Edition

Yang Li, 2003, The Asian financial crisis and non-performing loans: Evidence from commercial banks in Taiwan, International Journal of Management, 20, pp.69











國內文獻

李春旺,1988,「股價行為與規模效應:台灣股票市場實證研究」,國立政治大學企業管理研究所博士論文。

李俊龍,1990,「公司規模、負債權益比與股票報酬關係之實證研究」,東海大學企業管理研究所碩士論文。

胡玉雪,1994,「益本比、淨值/市價比及公司規模對股票報酬之影響-相似無關迴歸之應用」,國立台灣大學商學研究所未出版碩士論文。

陳隆勛,1997,「台灣上市公司股票流動性與股票報酬關聯性之研究」,國立交通大學管理科學研究所碩士論文。

陳鄔福,1979,「資本資產訂價模式應用於台灣股票市場之研究」,國立政治大學企業管理研究所碩士論文。

黃啟哲,2003,「獨特性風險的估計:以台灣上市股票為例」,國立高雄第一科技大學財務管理研究所碩士論文。
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2007-07-17公開。
  • 同意授權瀏覽/列印電子全文服務,於2012-06-15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