淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


  查詢圖書館館藏目錄
系統識別號 U0002-1905200514003400
中文論文名稱 台灣股市報酬的因子分析
英文論文名稱 An Investigation on Factors of Stock Market in Taiwan
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 吳少瑋
研究生英文姓名 Shou-Wei Wu
學號 692490864
學位類別 碩士
語文別 中文
口試日期 2005-05-14
論文頁數 61頁
口試委員 指導教授-林允永
委員-謝文良
委員-李進生
委員-陳達新
中文關鍵字 三因子模型  風險值  Panel data 
英文關鍵字 Three factor Model  Value at risk(VaR)  Panel data 
學科別分類 學科別社會科學商學
中文摘要 本研究是以Fama and French的三因子模型為基礎,研究在台灣股票市場上:市場因素、規模效應、淨值市價比效應三個變數對台灣股票市場報酬的解釋力,並且再加入一風險指標-風險值,形成四因子模型,進一步探討此四因子對於台灣股市報酬的解釋能力以及影響方向,並且看看加入風險值之後,對於模型的解釋能力是否增加。
實証結果發現在三因子模型中,只有規模因素對於股票報酬有顯著的解釋能力,而市場因素與帳面市價比效應在三因子中並不顯著。而在風險值的實証發現,利用指數加權平均法(EWMA)來估計波動性所算出來的風險值,在回溯測試的檢驗下,發現在樣本期間內的穿透次數,皆在可容許的誤差範圍內,所以用此法所算出來的風險值再現實生活中是有一定的準確性。在四因子模型中,我們發現規模因素、市場因素以及風險值在四因子模型中皆具有顯著的解釋能力,而帳面市價比還是沒有顯著的解釋能力,而在加入風險值之後也發現模型的解釋能力大幅提升,代表風險值因子為在解釋股票報酬的因子裡,為一重要的解釋因子。
英文摘要 This research is based on Fama and French’s three factor models , studying on the stock market in Taiwan: Explanation strength of stock market remuneration in Taiwan correctly of three parameters than tf market factor , scale effect , BM ratio effect , and join one more risk index - value at risk , form four factor models , probe into these four factors to the explanation ability of the remuneration of stock market in Taiwan and influence the direction further, and see that after joining value at risk , the explanation ability to the model increased.
The empirical result shows that in three factor models, only the size factor has significant explanation ability to the stock remuneration, the effect compared with BM ratio factor and market factor are not significant in three factors. The empirical result shows that value at risk making use of method of exponentially weighted averages of the index (EWMA) to estimate the volatility in value at risk, under back testing , find in sample period, all within the range of tolerable error, so there is certain accuracy in actual life again with the value at risk calculated of this law. In four factor model, we find that size factor, market factor and value at risk all have significant explanation ability, the BM ratio does not have significant explanation ability and the explanation ability to find the model after joining risk value improves by a wide margin, represent risk value at risk factor for on explaining factor, stock of remuneration, it is an important explanation factor.
論文目次 第一章 緒論 - 1 -
第一節 研究背景與動機 - 1 -
第二節 研究目的與研究架構 - 4 -
第二章 文獻回顧 - 6 -
第一節 系統風險 - 6 -
第二節 異常現象 - 8 -
第三節 風險值 - 15 -
第三章 研究方法 - 17 -
第一節 風險值(VALUE AT RISK;VAR) - 17 -
第二節 計量分析方法 - 25 -
第四章 實証結果 - 36 -
第一節 樣本資料 - 36 -
第二節 實證模型 - 37 -
第三節 變數定義 - 38 -
第四節 實証結果 - 40 -
第五章 結論與建議 - 49 -
第一節 結論 - 49 -
第二節 建議 - 51 -
參考文獻 - 52 -
附 錄 - 55 -

圖表目錄
圖一:研究架構圖......................................................................................................... - 5 -
圖二 風險值( Pr ( ) % T op X VaR α < − = ) ...................................................................... - 17 -
表4-1 樣本自變數之相關分析................................................................................... - 40 -
表4-2 全體樣本之敘述統計表................................................................................. - 41 -
表4-3 兩模型之適用研究模式ㄧ覽表..................................................................... - 42 -
表4-4 三因子模型各個變數之分析表..................................................................... - 45 -
表4-5 四因子模型各個變數之分析表..................................................................... - 48 -
附表一 風險值之回溯測試表................................................................................... - 55 -
附表二 個股報酬率之敘述統計表........................................................................... - 58 -
參考文獻 ㄧ、中文文獻
林天中,「台灣股票市場三因子:系統風險、公司規模及淨值市價比實證研究」,清華大學經濟研究所未出版碩士論文,民國八十六年。

余招賢,「台灣股票市場風險、規模、淨值/市價比、成交量週轉率與報酬之關係」,交通大學管理科學研究所未出版碩士論文,民國八十六年

胡玉雪,「益本比、淨值/市價比及公司規模對股票報酬率之影響—相似無關迴歸法之應用」,台灣大學商學研究所碩士論文,民國八十三年

張慧玲,「台灣股市規模效果與股票報酬關係之實證研究」,淡江大學財務金融學系碩士論文,民國八十七年

盧麗安,「財務基本分析與台灣股價表現」,中山大學財務管理研究所碩士論文,民國八十五年

二、英文文獻
Baltagi, Badi H.,“Econometric Analysis of Panel Data” 2nd ed., John
Wiley & Sons Ltd., England, 2001.

Baltagi, Badi H., "Econometric Analysis of Panel Data" 2nd ed., John Wiley & Sons Ltd., England, 2001.

Banz, Rolfn, 1981”The relationship between return and market value of common stocks,” Journal of Financial Economics 6,103-126

Bauman,W.S.,Miller,R.E.,1997”Investor expectations and the performance of value stocks versus growth stocks” Journal of Portfolio Management,Spring,57-68

Breuch, T. S. and Pagan, A. R.,“The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics,” Review ofEconomic Studies, Vol.47, 1980, p.239-253.

Black,F.Jenson,M.and Scholes,M.,1972”The capital asset pricing model:some empirical tests,Studied in the Theory of Capital Market” Praeger Publishers,New York

Domgcheol kim,1997”A reexamination of firm size,book-to-market,and earning price in the cross-section of expected stock return”Journal of Financial and Quantitative Analysis,32,463-489

Efron, B., 1979, “Bootstrap Methods: Another Look at the Jackknife.” The Annals of Statistics, 7, pp.1-26.

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

Fama,Eugene F.and Kenneth R.French,1992”The cross-section of expectedstock returns” Journal of Finance 47,427-465

Fama,Eugene F.,and Kenneth R.French,1993”Common risk factors in thereturns on stocks and bonds”Journal of Financial Economics,33,3-56

Fama,Eugene F.,and Kenneth R.French,1995”Size and book-to-market factors in earnings and returns”Journal of Finance 50,131-155

Fama,Eugene F.,and Kenneth R.French,1996(A)”Multifactor explanations of asset pricing anomalies”Journal of Finance,51,55-84

Fama,Eugene F.,and Kenneth R.French,1996(B) “The CAPM is wanted dead or alive”Journal of Finance,5,1947-1958

Fischer Black,1993”Beta and return”Journal of Portfolio Management,20,8-18

Hendricks, D., (1996), “Evaluation of Value-at-Risk Models Using Historical Data,” Economicpolicy review, April, Federal Reserve Bank of Philadelphia.

Jurque, G.. M.and A.K.Bera(1987).”A Test for Normality of Observations and Regression Residuals.” International Statistical Review,Vol. 55,pp163-172.

J.p.Morgan,RiskMetrices TechnicalDocunent,Fourth Edition,1997

Jorion, P. (1996), “Risk: Measuring the Risk in Value-at-Risk,” Financial Analysts Journal, Vol. 52,pp.47-56

Jorion, 1997, “Value at Risk: the new benchmark for controlling market risk”,Chicago: Irwin.

Lintner,John,1965”The valuation of risk assets and the selection of risky investments in stock portfolio and capital budgets”Review of Economicsand Statistics 47,13-37

Reinganum, Marc R.,1981”Misspecification of Capital Asset Pricing:Empirical Anomalies Based on Earnings’ Yield and Market Values”Journal of Financial Economics,March,19-46.

Turan G. Bali and Nusret Cqkici,2004”Value at risk and expected stock return”Financial Analysis Journal,60,57-73

Sharpe,William F.1964”Capital asset prices:a theory of market equilibrium under conditions of risk”Journal of Finance 19,425-442
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2006-06-20公開。
  • 不同意授權瀏覽/列印電子全文服務。


  • 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