Sharpe (1964)和Lintner (1965)提出資本資產定價模型(CAPM)後，對其是否能合理並完整表達風險性資產的報酬，後續有許多學者表示不同的看法，其中Fama and French (1992、1993、1995、1996)所發表的三因子模型，更將CAPM發展延伸成一套更為完善的模型。本研究即以時間序列廻歸分析方法，採用美國股票市場在1934年7月至2004年12月之上市股票月報酬，依Fama and French 所分類的10產業投資組合和25種投資組合為研究樣本，並以三因子模型為基礎，利用最大概似法(MLE)和一般化動差法(GMM)估計廻歸參數值，找出在Sharpe-Lintner CAPM觀點下，不同的樣本資料若用不同的計量方法估計，是否會有不同的實證結果，再者，對截距項做聯合檢定（Joint Tests），以探討除三因子外，是否有其他的因素影響，造成股票市場有異常報酬產生。
實證發現如下：
一、無論選取的是10產業投資組合和25種投資組合的資料，其交叉配合最大概似法(MLE)或一般動差法(GMM)兩種不同研究方法所得出來的結果都是一致的，即市場因子、規模因子(SMB)、淨值市價比因子(HML)都對資產報酬有顯著的影響。
二、對美國股票市場而言，以MLE及GMM估計三因子模型發現，在市場因子（即系統風險）方面，無論是MLE或GMM所估計出來的結果，顯著水準都在0.01以下，顯示系統風險對股票報酬具有顯著的解釋能力，其結果與傳統CAPM系統風險與股票報酬成正向關係的說法一致，表示美國股票市場上存在著高風險高報酬、低風險低報酬的現象。
三、實證結果顯示出在控制淨值市價比的條件後，投資者藉由投資小規模公司的股票可獲得比投資大規模公司的股票更高的超額報酬，表示規模效應存在，這也支持Banz (1981)等學者所提出的規模效應理論。
四、實證結果顯示出在控制規模因子的條件後，低的淨值市價比有低的報酬率，而高的淨值市價比有高的報酬率，呈現超額報酬與淨值市價比有正的相關性，表示美國股票市場中存在有淨值市價比效果。
五、規模因子(SMB)與淨值市價比因子(HML)的係數值，皆呈現單調遞減的現象，此點與Fama and French三因子模式的實證結果相符。
六、規模因子(SMB)係數比淨值市價比因子(HML)係數有較多對股票報酬產生顯著正向影響，此代表在美國股票市場的規模效應比淨值市價比效應還要來的明顯。
七、由聯合檢定的結果得知，拒絕截距項為零的虛無假設，表示除了三因子之外，可能還有其他的因素影響，造成市場異常報酬。
論文名稱：三因子Sharpe-Lintner資本資產定價模型聯立體系之檢定　頁數：57
關鍵字：三因子模型;最大概似法;一般化動差法;聯合檢定
校系所組別：淡江大學財務金融學系碩士在職專班
畢業時間及提要別：九十三學年度第二學期碩士學位論文提要
研究生：王朝平　　　　指導教授：黃河泉博士
論文提要內容：
Sharpe (1964)和Lintner (1965)提出資本資產定價模型(CAPM)後，對其是否能合理並完整表達風險性資產的報酬，後續有許多學者表示不同的看法，其中Fama and French (1992、1993、1995、1996)所發表的三因子模型，更將CAPM發展延伸成一套更為完善的模型。本研究即以時間序列廻歸分析方法，採用美國股票市場在1934年7月至2004年12月之上市股票月報酬，依Fama and French 所分類的10產業投資組合和25種投資組合為研究樣本，並以三因子模型為基礎，利用最大概似法(MLE)和一般化動差法(GMM)估計廻歸參數值，找出在Sharpe-Lintner CAPM觀點下，不同的樣本資料若用不同的計量方法估計，是否會有不同的實證結果，再者，對截距項做聯合檢定（Joint Test），以探討除三因子外，是否有其他的因素影響，造成股票市場有異常報酬產生。
實證發現如下：
一、無論選取的是10產業投資組合和25種投資組合的資料，其交叉配合最大概似法(MLE)或一般動差法(GMM)兩種不同研究方法所得出來的結果都是一致的，即市場因子、規模因子(SMB)、淨值市價比因子(HML)都對資產報酬有顯著的影響。
二、對美國股票市場而言，以MLE及GMM估計三因子模型發現，在市場因子（即系統風險）方面，無論是MLE或GMM所估計出來的結果，顯著水準都在0.01以下，顯示系統風險對股票報酬具有顯著的解釋能力，其結果與傳統CAPM系統風險與股票報酬成正向關係的說法一致，表示美國股票市場上存在著高風險高報酬、低風險低報酬的現象。
三、實證結果顯示出在控制淨值市價比的條件後，投資者藉由投資小規模公司的股票可獲得比投資大規模公司的股票更高的超額報酬，表示規模效應存在，這也支持Banz (1981)等學者所提出的規模效應理論。
四、實證結果顯示出在控制規模因子的條件後，低的淨值市價比有低的報酬率，而高的淨值市價比有高的報酬率，呈現超額報酬與淨值市價比有正的相關性，表示美國股票市場中存在有淨值市價比效果。
五、規模因子(SMB)與淨值市價比因子(HML)的係數值，皆呈現單調遞減的現象，此點與Fama and French三因子模式的實證結果相符。
六、規模因子(SMB)係數比淨值市價比因子(HML)係數有較多對股票報酬產生顯著正向影響，此代表在美國股票市場的規模效應比淨值市價比效應還要來的明顯。
七、由聯合檢定的結果得知，拒絕截距項為零的虛無假設，表示除了三因子之外，可能還有其他的因素影響，造成市場異常報酬。

After Sharpe (1964) and Lintner (1965) proposed the Capital Asset Pricing Model (CAPM), many scholars expressed differing views as to how well the model can reasonably and completely portray the rewards of risky asset. Among them, two theorists, Fama and French (1992, 1993, 1995, 1996), introduced the three-factor model, which helped extend the CAPM into a better, more complete model. This study will utilize the time-series regression analysis method, using the monthly return of the US Stock Market from July, 1934, to December, 2004. With the 10 Industry Portfolios and the 25 Portfolios as an example and the three-factor model as a basis, the Maximum Likelihood Estimates (MLE) and the Generalized Method of Moments (GMM) methods were used to estimate the value of the regression parameter. Through the perspective of the Sharpe-Lintner CAPM, one can find out whether using different methods of estimation for varying sample data will result in different empirical outcomes. Furthermore, the Joint Tests will be applied to the intercept to see if there are other influencing factors beside the three-factor model that might induce the abnormal return observed in the stock market.

The results are as follows:
1. Regardless of what categories are chosen, either the 10 Industry Portfolios or the 25 Portfolios, the conclusions resulting from applying either of the two methodologies, Maximum Likelihood Estimates (MLE) and the Generalized Method of Moments (GMM), are all in concordance. All of the three causal factors, the market factor, the size factor (SMB), and the book-to-market factor (HML), all seem to have evident effects on the returns of stock market.
2. In regards to the US Stock Market, it was discovered, using both the MLE and the GMM methods to calculate the three-factor model, that the significant levels are all below 0.01. This shows that the system risk is integral in the explanation of return of stocks. The above conclusion coincides with the linear relationship between the traditional CAPM system risk and the market return. In other words, the US Stock Market exhibits the high-risk, high return and low-risk, low return phenomenon.
3. Empirical results also show that, with the book-to-market factor controlled, investors will receive higher excess return if they invest in the stocks of small scale companies as compared to the stocks of large scale corporations. This proves the effectiveness of the model as well as supports the size effect theory proposed by Banz (1981) .
4. The empirical results also show that, with the size factor controlled, lower book-to-market ratios result in lower rates of return and higher book-to-market values result in higher rates of return, showing that there is a positive relation between excess return and the book-to-market factor. In other words, there exists the book-to-market effect in the US stock market.
5. The values of the size factor (SMB) and the book-to-market factor (HML) present a simply diminishing phenomenon, which proves that Fama and French’s three-factor model match the empirical results.
6. The value of the size factor (SMB) has a clearer and more direct linear relationship with the stock market returns than the book-to-market factor (HML), meaning that the size effect is more evident than the book-to-marke effect in the US Stock Market.
7. The results of the Joint Tests disapprove the unrealistic assumption of setting the intercept to zero. Thus, one can conclude that there may be other influencing factors beside the three-factor model that causes the market to have abnormal returns.

目錄……………………………………………………………………………………Ⅰ
圖表目錄………………………………………………………………………………Ⅱ
誌謝……………………………………………………………………………………Ⅲ
中文提要………………………………………………………………………………Ⅳ
英文提要………………………………………………………………………………Ⅵ
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
第二章　文獻探討……………………………………………………………………7
第一節　單因子模型之相關文獻…………………………………………………7
第二節　三因子模型之相關文獻…………………………………………………10
第三節　異常現象之相關文獻…………………………………………………11
第三章　研究方法…………………………………………………………………16
第一節　研究樣本及資料來源…………………………………………………16
第二節　迴歸模型設定…………………………………………………………21
第三節　計量研究方法…………………………………………………………23
第四節　聯合檢定………………………………………………………………27
第四章　實證結果分析……………………………………………………………28
第一節　敍述統計分析…………………………………………………………29
第二節　時間序列迴歸分析……………………………………………………35
第三節　聯合檢定結果分析……………………………………………………43
第五章　結論與建議………………………………………………………………45
第一節　結論……………………………………………………………………45
第二節　後續研究建議…………………………………………………………47
國內參考文獻………………………………………………………………………48
國外參考文獻………………………………………………………………………49


圖 表 目 錄
＜圖1.3.1 本論文之研究架構＞…………………………………………………6
＜表4.1.1 10 Industry Portfolios敘述性統計表＞…………………………29
＜表4.1.2 10 Industry Portfolios月超額報酬之基本敍述性統計表＞……30
＜表4.1.3 25 Portfolios三因子的敍述性統計表＞…………………………31
＜表4.1.4 25 Portfolios月超額報酬之基本敍述性統計表＞………………32
＜表4.2.1 MLE估計式之三因子迴歸模型係數表(10 Industry Portfolios)＞34
＜表4.2.2 GMM估計式之三因子迴歸模型係數表(10 Industry Portfolios)＞36
＜表4.2.3 MLE估計式之三因子迴歸模型係數表(25 Portfolios)＞…………39
＜表4.2.4 GMM估計式之三因子迴歸模型係數表(25 Portfolios)＞…………42

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吳壽山、周賓凰、范懷文和鍾惠民，"財金計量"，雙葉，民國91年。
林天中　(1998)，"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"，國立清華大學經濟研究所碩士論文。
余招賢　(1997)，"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"，國立交通大學管理科學研究所碩士論文。
杜幸樺　(1999)，"影響台灣股票報酬之共同因素與企業特性－Fama & French三因子模式、動能策略與交易量因素"，國立中山大學企業管理研究所碩士論文。
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陳榮昌　(2002)，"台灣股票報酬之結構分析"，國立中山大學財務管理學系研究所碩士論文。
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張尊悌　(1997)，"貝他、公司規模及淨值市價比三因子評價模型之研究─以台灣股市為例"，國立清華大學經濟研究所碩士論文。
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