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系統識別號 U0002-2406200719123200
中文論文名稱 條件偏態於資產定價上之應用-台灣證券市場之實證研究
英文論文名稱 Conditional Skewness in Asset Pricing- Empirical Study From Taiwan Security 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 吳家華
研究生英文姓名 Chia-Hua Wu
學號 694490367
學位類別 碩士
語文別 中文
口試日期 2007-06-22
論文頁數 62頁
口試委員 指導教授-黃文光
委員-盧陽正
委員-李忠榮
委員-聶建中
中文關鍵字 共偏態  偏態  隨機折現因子  因子模型  多變量聯合檢定 
英文關鍵字 Coskewness  Skewness  Stochastic Discount Factor  Factor model, Multivariate  Statistical Test 
學科別分類 學科別社會科學商學
中文摘要 如果報酬分配有系統性的偏斜(systematic skewness),則預期報酬理當包含此偏斜風險所帶來的報償。
本論文主要目的為將系統共偏態(coskewness)加入多因子模型中,以驗證系統共偏態對資本資產定價是否有幫助。本研究以台灣證券市場上市公司的超額報酬為被解釋變數,擴充Fama and French(1993)和顧廣平(2005)所建構的因子模型,形成含有共偏態的多因子模式,並透過R2與GRS聯合檢定以檢驗共偏態效果於資產報酬定價方面是否有顯著的助益。
研究結果發現共偏態因子在多個因子模型中皆呈現顯著的狀態;且共偏態因子加入多因子模型後,對於超額報酬的共通時間序列變異解釋能力,有明顯的增加效果;而在解釋超額報酬的橫斷面變異方面,亦有不錯的表現。
英文摘要 If asset returns have systematic skewness, expected returns should include rewards for accepting this risk.
The goal of this paper is to examine the linkage between the empirical evidence on these additional factors and systematic coskewness. Our study is to take the excess return of Taiwan Security Market as the dependent variable, and form some factor models by extending the factor models of Fama and French(1993) and the factor model of Kuang-Ping Ku(2005). We also test the co-skewness is helpful to capital asset pricing model by means of R2 and joint test of GRS.
The empirical results indicate that conditional skewness has significantly effect on each factor model, and help to increase the explanation of the common time-series variation in returns. We also find that the co-skewness is helpful to the cross-sectional variation of expected returns.
論文目次 目錄
第一章 緒論
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.........................................3
第四節 研究流程圖......................................4
第二章 理論文獻探討與回顧
第一節 共偏態理論文獻回顧.........................5
第二節 因子探討.........................................10
第三節 Fama and French相關文獻探討.........13
第四節 國內文獻探討..................................16
第三章 研究方法
第一節 偏態因子定價模型............................19
第二節 研究假說.........................................22
第三節 變數衡量與定義................................23
第四節 因子模型型.......................................25
第五節 因子模型之統計檢定..........................29
第四章 實證結果分析
第一節 研究樣本與資料來源..........................30
第二節 實證結果...........................................31
第五章 結論與研究建議.................................57
參考文獻.....................................................58
一、外文部份......................................................................................................58
二、中文部份......................................................................................................61

附錄............................................................62

表目錄
【表1】因子攸關溢酬之敘述統計以及各因子間的相關係數...................................32
【表2】投資組合超額報酬之統計結果................................................................35
【表3】市場單因子模式之估計與檢定結果..........................................................37
【表4】市場、規模、淨值市價比三因子模式之估計與檢定結果.............................39
【表5】市場、成交量、營收市價比三因子模式之估計與檢定結果..........................42
【表6】市場、成交量、營收市價比、動能四因子模式之估計與檢定結果................45
【表7】市場、市值、淨值市價比、偏態四因子模式之估計與檢定結果....................48
【表8】市場、成交量、營收市價比、偏態四因子模式之估計檢定結果.....................51
【表9】市場、成交量、營收市價比、動能、偏態五因子模式之估計與檢定結果........54
【附表1】共線性檢驗值......................................................................................62
參考文獻 參 考 文 獻
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二、中文部份
1.王凱立、林嘉慧(2003),「條件高階動差於財務金融市場之應用」,《財務金融學刊》,11(2),頁1-41
2.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。
3.林丙輝、王明傳(2004),「台灣證券市場高階動差系統風險資產定價之研究」,國立台灣科技大學企業管理研究所博士論文
4.林秋炭(1991),「經濟因素、公司規模與股票報酬率關係之研究」,東海大學企業管理研究所碩士論文。
5.周賓凰和劉怡芬(2000),「台灣股市橫斷面報酬解釋因子:特徵、單因子、或多因子」,《證券市場發展季刊》,第12卷第1期,1-32。
6.郭逢春(1993),「台灣上市公司在不同投資區間下的淨值/市價比效果」, 國立台灣大學財務金融研究所未出版碩士論文。
7.陳家彬(1999),「台灣地區股票報酬之橫斷面分析:三因子模式之實證」,《興大人文社會學報》,第8期,213-235。
8.陳安琳(2002),「台灣股票報酬之穩定因素-交叉確認、因素分析與模擬分析」,《管理學報》,第19卷第3期,519-542。
9.劉亞秋、黃理哲及劉維琪(1994),「台灣股市報酬率決定因素實證分析」,《證券暨金融市場之理論與實務研討會論文集》,中山大學管理學院財務管理系所編印,頁32-45。
10.顧廣平(2002),「台灣上市(櫃)公司股票期望報酬橫斷面差異解釋因子之探討」,《亞太社會科技學報》,第2卷第1期,139-164。
11.顧廣平(2005),「單因子、三因子、四因子模式」,《證券市場發展季刊》,第第17卷第2期,101-146。
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