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系統識別號 U0002-2006201413142600
中文論文名稱 公司特徵與獨特性風險對報酬的影響
英文論文名稱 The Effects of Firm Characteristics and Idiosyncratic Risk to Return
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 102
學期 2
出版年 103
研究生中文姓名 林哲煒
研究生英文姓名 Je-Wei Lin
學號 601530966
學位類別 碩士
語文別 中文
口試日期 2014-06-01
論文頁數 61頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-涂登才
委員-黃健銘
委員-林蒼祥
中文關鍵字 獨特性風險  股價報酬  公司特徵 
英文關鍵字 Idiosyncratic risk  stock returns  firm characteristics 
學科別分類
中文摘要 獨特性風險在預測報酬的能力,目前在財金研究中仍眾說紛紜。由於各學者在實證方面使用的方法或母體不同,模型的建構及變數的衡量亦有許多不同。故本文想深入探討台灣股票市場的公司特徵、獨特性風險與報酬的影響關係。
首先,本文主要檢驗個股獨特性風險與面股價報酬的關係,研究採取Fama and French (1993)三因子模型之直接分解法 (direct decomposition method) Xu and Malkiel (2003)與Goyal and Santa-Clara (2003)即以殘差之標準差作為獨特性風險的估計值。本研究採用月股價報酬資料做為樣本來估計獨特性風險變數,觀察獨特性風險是否對於股價報酬具有解釋能力。在使用Fama and MacBeth(1973)迴歸方法將獨特性風險與股票超額報酬做迴歸分析之後,發現其在解釋股票超額報酬上,具有顯著的正向關係。與Spiegel and Wang(2005)以及Fu(2009)的研究結果一致。本研究更進一步探討公司特徵和獨特性風險對報酬之間的關係,為尚未形成定論之議題增添新的研究結果。
英文摘要 Idiosyncratic risk ability to predict the socks return is currently still in the research of Finance opinions. Due to the different methods or maternal various scholars used in empirical construct and measure variables there are many different models. Therefore, this article would like to discuss the Taiwan stock market, the firm characteristics a unique impact on the relationship between idiosyncratic risk and expected return.
First, this paper examine the relationship between idiosyncratic risk stocks and stock returns in the cross-sectional study to take Fama and French (1993) three-factor model of direct decomposition of (direct decomposition method) Xu and Malkiel (2003) and Goyal and Santa-Clara (2003) that is used as the standard deviation of the residuals of the estimated value of the idiosyncratic risk In this study, monthly stock return data as sample to estimate the idiosyncratic risk variables to observe whether the unique risks for stock returns have explanatory power. After using the Fama and MacBeth (1973) regression method to idiosyncratic risk and stock excess returns regression analysis found that its interpretation of the excess return on the stock, with a significant positive relationship. And consistent with Spiegel and Wang (2005) Fu (2009) findings. This study further explore the characteristics of the company of the relationship between the idiosyncratic risk and return.
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 3
第三節 研究架構 4
第四節 研究流程 5
第二章 文獻探討 6
第一節 獨特性風險估計方法相關文獻 6
第二節 獨特性波動之重要性與早期研究文獻 7
第三節 相關控制變數之文獻 8
第四節 相關公司特徵之文獻 13
第五節 相關公司治理之文獻 14
第三章 研究方法 16
第一節 資料說明 16
第二節 獨特性波動估計 18
第三節 FAMA AND FRENCH三因子模型及其變數 21
第四節 迴歸模型建立 28
第四章 實證結果與分析 29
第一節 敘述統計 30
第二節 橫斷面迴歸分析結果 31
第三節 不同公司特徵比例下之獨特性風險與報酬關係探討 36
結論 50
參考文獻 53


表目錄
表 1敘述統計量 30
表 2共線性 31
表 3迴歸結果_控制變數 33
表 4迴歸結果_槓桿 34
表 5迴歸結果_營業額 34
表 6迴歸結果_每股盈餘 35
表 7迴歸結果_董事會規模 35
表 8迴歸結果_經理人持股比例 36
表 9依槓桿分兩組的迴歸結果 40
表 10依營業額分兩組的迴歸結果 41
表 11依每股盈餘分兩組的迴歸結果 42
表 12依公司成立年份分兩組的迴歸結果 43
表 13依董事會規模分兩組的迴歸結果 44
表 14依經理人持有比例分兩組的迴歸結果 45
表 15各分組虛擬迴歸結果-槓桿 48
表 16各分組虛擬迴歸結果-營業額 48
表 17各分組虛擬迴歸結果-每股盈餘 49
表 18各分組虛擬迴歸結果-公司成立年份 49
表 19各分組虛擬迴歸結果-董事會規模 50
表 20各分組虛擬迴歸結果-經理人持股比例 50

圖目錄

圖 1研究流程圖 5


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