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系統識別號 U0002-2006201415324900
中文論文名稱 台灣股票市場獨特性風險與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 102
學期 2
出版年 103
研究生中文姓名 王鴻維
研究生英文姓名 Hung-Wei Wang
電子信箱 wang108020@hotmail.com
學號 601530941
學位類別 碩士
語文別 中文
口試日期 2014-06-01
論文頁數 57頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-林蒼祥
委員-涂登才
委員-孫效孔
中文關鍵字 獨特性風險  Fama & French 三因子模型  法人持股比例 
英文關鍵字 Idiosyncratic Risk  Fama&French three-factor Model  institutional investors’holding 
學科別分類
中文摘要 本研究利用Fama&French(1993)三因子模型進行台灣上市股票市場獨特性波動的估計。研究期間從2005年1月到2010 年12月為止,共計6 年。本文主要檢驗獨特性風險與橫斷面股價報酬之間的關係。控制變數中除了文獻中常見的Beta、公司規模、淨值市價、週轉率、動能等因子外,額外加入了法人持股比率,進一步再依法人持股比例進行樣本分組,深入了解法人持股對於特性風險與橫斷面股價報酬之間關係的影響。最後將市場總獨特性風險加入Fama&French(1993)三因子模型成為第四個因子,探討此四因子模型對於報酬的解釋能力。
實證結果顯示台灣股票市場上獨特性風險與報酬呈現顯著的正相關,顯示在無法分散獨特性風險下,投資者理當要求正的風險溢酬。且在依法人持股比例分組後的子樣本回歸結果發現,法人持股比例越低(散戶持有率高)的子樣本中,獨特性風險與報酬的正相關越顯著,顯示了散戶比起法人分散投資(Diversification)的能力較差,理應要求更高的獨特性風險溢酬。最後,在四因子模式中的所有變數仍然皆為顯著且具有解釋能力,並且四因子模型的調整後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。
英文摘要 The focus of this paper is to examine the relationship between idiosyncratic volatility and the cross-section stock returns. Control variables included in beta,company size, book-to-market ratio, turnover rate and momentum effect ,we added additional institutional ownership ratio. We want to understand of the effect of institutional ownership ratio to the relationship between idiosyncratic volatility and the cross-section stock returns. Finally, we use total idiosyncratic volatility risk as the fourth risk factor-ratio and add it to Fama & French (1993) three-factor 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.
The results show the relationship between idiosyncratic volatility and the stock returns is significantly positive. And in accordance with the subsample grouping by institutional ownership, we found that the lower the proportion of institutional ownership,the potive relationship between idiosyncratic volatility and stock returns is more significantly. Finally, all factors are significant in explaining stock returns in the three–factor model and four–factor model. Moreover, the adjusted R-squared in the four-factor modal is higher than in the three–factor model.

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 4
第三節 研究架構 6
第四節 研究流程 7
第二章 文獻探討 8
第一節 Fama and French 三因子模型之文獻 8
第二節 獨特性風險估計方法相關文獻 12
第三節 獨特性風險之重要性與早期研究文獻 14
第四節 相關控制變數之文獻 17
第三章 研究方法 21
第一節 研究資料說明 21
第二節 獨特性波動的估計 23
第三節 橫斷面股票報酬分析及其變數 26
第四節 法人持股分類組合的橫斷面分析 30
第五節 三因子與四因子模型 32
第四章 實證結果與分析 33
第一節 敘述統計分析 33
第二節 橫斷面回歸分析結果 38
第三節 不同法人持股比例下之獨特性風險與預期報酬關係探討 43
第四節 三因子與四因子模型之迴歸結果 51
第五章 結論 53
參考文獻 55

表目錄
表1.各變數敘述統計(全樣本期間) 34
表2.各變數敘述統計(金融海嘯期間) 34
表3.各變數敘述統計(金融海嘯外)35
表4.各變數相關係數矩陣 36
表5.模型共線性檢定 37
表6.全樣本回歸結果 39
表7.金融海嘯期間回歸結果 41
表8.金融海嘯期間外回歸結果 42
表9.依法人持比例分兩組的回歸結果 45
表10.依法人持比例分三組的回歸結果 45
表11.依法人持比例分五組的回歸結果 46
表12.不同分組下回歸結果的獨特性風險係數以及t值 47
表13.各分組虛擬回歸結果 50
表14.Fama andFrench(1993)三因子模型回歸結果 52
表15.四因子模型回歸結果 52

圖目錄
圖1 .研究流程圖 7
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