本篇假設投資機會影響波動度(外資持股)對股票報酬的關係等同擁有實質選擇權之公司對波動度(外資持股)的敏感度。先用Fama-MacBeth橫斷面分析法找出波動度及報酬的關係(不含投資機會)，第二步假設公司規模、年齡、R&D及未來銷售成長代表公司的投資機會，加入探討台灣股票市場中這些具投資機會的公司報酬是否受公司波動度(外資持股)影響。資料期間為1990年1月4日至2013年10月31日，股票日報酬資料樣本數約2百多萬筆，外資持股月資料樣本數約14萬筆，投資機會變數與無風險利率為月資料共約17萬筆。
實證結果發現台灣股票市場單一公司波動度與報酬呈正相關。加入投資機會變數發現，公司規模、公司年齡及未來銷售成長會使波動度對報酬的敏感度變化大。另外，結果也指出台灣市場受外資影響程度大且外資持股與報酬同樣呈正相關。公司規模、研發強度、未來銷售成長及盈餘彈性會使外資持股對報酬的敏感度變化大。簡言之，投資機會的確會讓波動度或外資持股對報酬的關係改變。

This study examines that volatility and foreign holding shares affect stock returns with investment opportunities (Book assets, age, R&D expenditures and future sales growth) in Taiwan stock market from 1990/01/04 to 2013/10/31. The results point out the volatility-return relation (foreign holding shares-return relation) in Taiwan stock market is highly positive. Adding proxies for investment opportunities represent the firm value, it shows that the volatility-return (foreign holding shares-return) relation is sensitive to firm size, firm age and future sales growth (firm size, R&D intensity, future sales growth and earnings flexibility). That is, a firm with large investment opportunities is highly sensitive to volatility and foreign holding shares.

目錄
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 研究流程圖	5
第二章 文獻回顧	6
第一節 波動度與報酬	6
第二節 外資持股與報酬	7
第三章 研究方法	9
第一節 研究樣本與資料來源	9
第二節 研究步驟	10
第四章 實證分析	17
第一節 敘述統計量	17
第二節 波動度或外資持股對報酬的關係	19
第三節 實質選擇權與資本資產訂價	27
第五章 結論	32
參考文獻	33

表目錄
表 1 原始資料	9
表 2：三因子分組	16
表 3：敘述統計量	18
表 4：變數相關係數表	19
表 5：波動度對報酬的影響	20
表 6：代理變數對波動度與報酬的關係之影響	22
表 7：外資持股對報酬的影響	23
表 8：代理變數對外資持股與報酬的關係之影響	25
表 9：波動度或外資持股對報酬的影響–電子業	26
表 10：資本資產訂價–波動度	28
表 11：資本資產訂價–外資持股	30

圖目錄
圖 1：研究流程圖 5

Albuquerque, Rui, (2012), “Skewness in stock returns: Reconciling the evidence on firm versus aggregate returns”, Review of Financial Studies 25, 1630-1673.
Ang, A., Hodrick, J. R., Xing, Y., and Zhang, X., (2006), “The cross-section of volatility and expected returns”, Journal of Finance 61, 259-299.
Ang, A., Hodrick, J. R., Xing, Y., and Zhang, X., (2009), “High idiosyncratic volatility and low returns: International and further U.S. evidence”, Journal of Financial Economics 91, 1-23.
Anne C. J. and Jeanjean T., (2006), “The negative impact of R&D capitalization: A value relevance approach”, European Accounting Review 15, 37-61.
Bernardo, A. E., and Chowdhry, B., (2002), “Resources, real options, and corporate strategy”, Journal of Financial Economics 63, 211-234.
Bernardo, Antonio, and Bhagwan Chowdhry, (2002), “Resources, real options, and corporate strategy”, Journal of Financial Economics 63, 211-234.
Black, F., (1976), “Studies of stock price volatility changes”, in proceedings of the Business and Economic Statistics Section, American Statistics Association.
Black, F., and Scholes, M., (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy 81(3), 637-654.
Bollerslev, T., Hao, Zhou, (2005), “Volatility puzzles: a simple framework for gauging return-volatility regressions”, Journal of Econimetrics 131, 123-150.
Brennan M. J. and Schwartz E. S., (1985), “Evaluating natural resource investments”, Journal of Business 58, 135-157.
Brown, G., and Kapadia, N. (2007), “Firm-specific risk and equity market development”, Journal of Financial Economics 84, 358-388.
Caballero, R., and Pindyck, R., (1992), “Uncertainty, investment, and industry evolution”,Working paper, MIT.
Campbell, J. Y., and, Hentschel L., (1992), “No news is good news: An asymmetric model of changing volatility in stock returns”, Journal of Financial Economics 31, 281-318.
Cheung, Y. and Ng, L., (1992), “Stock Price Dynamics and Firm Size: An Empirical 
Choe, H., Kho, B. C., and Stulz, R. M., (2001), “Do domestic investors have more valuable information about individual stocks than foreign investors?”, NBER working paper 8073.
Christie, A., (1982), “The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects”, Journal of Financial Econometrics 10, 407-432.
Cooper, M., Gulen, H., and Schill, M., (2008), “Asset growth and the cross-section of stock returns”, Journal of Finance 63, 1609-1652.
Da, Z., Guo, R., and Jagannathan, R., (2012), “CAPM for estimating the cost of equity capital: Interpreting the empirical evidence”, Journal of Financial Economics 103, 204-220.
Duffee, G. R., (1995), “Stock return and volatility A firm-level analysis”, Journal of Financial Economics 37, 399-420.
Duffee, Gregory, (1995), “Stock return and volatility A firm-level analysis”, Journal of Financial Economics 37, 399-420.
Duffee, Gregory, (2002), “Balance sheet explanations for asymmetric volatility”, Working paper, University of California.
Fama, E. F., and French, K. R., (1993), “Common risk factors in the returns of stocks and bonds”,  Journal of Financial Economics 33, 3-56.
Fama, E. F., and MacBeth, J., (1973), “Risk, return, and equilibrium: Empirical tests”, Journal of Political Economy 81, 607-636.
Ferreira M., and Matos P., (2008), “The Colors of Investors’ Money: The Role of Institutional Investors around the World?”, Journal of Financial Economic 88, 499-533.
French, K. R., Schwert, G. W., and Stambaugh, R. F., (1987),” Expected stock returns and volatility”, Journal of Financial Economics 19, 3-29.
Grinblatt, M., and Keloharju, M., (2000), “The investment behavior and performance of various investor types: A study of Finland’s unique data set”, Journal of Financial Economics 55, 43-67.
Grullon, G., Lyandres, E., and Zhdanov, A., (2012), “Real Options, Volatility, and Stock Returns”, Journal of Finance 67(4), 1499-1537.
Hau, H., (2001), “Location matters: An examination of trading profits”, Journal of Finance 56, 1951-1983.
Huang, R. D., and Shiu, C. Y., (2009), “Local Effects of Foreign holding shares in an Emerging Financial Market: Evidence from Qualified Foreign Institutional Investors in Taiwan”, Financial Management 38(3), 567-602.
Jegadeesh, N., and Titman, S., (1993), “Returns to buying winners and selling losers: Implications for stock market efficiency”, Journal of Finance 48, 65–91.
Karpoff, J., (1987), “The relation between price changes and trading volume: A survey”, Journal of Financial and Quantitative Analysis 22, 109-126.
Kester, W. Carl, (1984),”Today’s Option for Tomorrow’s Growth”, Harvard Business Review 84(2), 153-160.
Lai, H. N., Chang, C. C., Hsieh, P. F., (2009), “Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange”, Journal of Banking and Finance 33, 757-764.
Lemmon, M., and Zender, J., (2010), “Debt capacity and tests of capital structure theories”, Journal of Financial and Quantitative Analysis 45, 1161-1187.
Ludvigson, S. C., and Ng, S., (2007), “The empirical risk-return relation: a factor analysis approach”, Journal of Financial Economics 83, 171-222.
Majd, S., and Pindyck, R., (1987), “Time to build, option value, and investment decisions”, Journal of Financial Economics 18, 7-27.
McDonald R., and Siegel D., (1986), “The value of waiting to invest”, Quarterly Journal of Economics 101, 707-727.
Merton, R. C., (1973), “An intertemporal capital asset pricing model”, Econometrica: Journal of the Econometric Society 41, 867-887.
Mills, D., (1984), “Demand fluctuations and endogenous firm flexibility”, Journal of Industrial Economics 33, 55-71.
Myers, Stewart C., (1977),”Determinants of corporate borrowing”, Journal of Financial Economics 5(2), 147-175.
Nam, K., and Krausz, J., (2008), “Unexpected volatility shock, volatility feedback effect, and intertemporal risk-return relation, working paper.
Pagan, A. R., (1984), “Econometric issues in the analysis of regressions with generated Regressors”, International Economic Review 25, 221-247.
Pagan, A. R., (1986), “Two stage and related estimators and their applications”, Review of Economic Studies 53, 517-538.
Pindyck, R., (1988), “Irreversible investment, capacity choice, and the value of the firm”, American Economic Review 78, 969-985.
Seasholes, M. S., (2000), Smart foreign traders in emerging markets, Working paper, University of California at Berkeley.
林炎會，(1994)，「外資對台灣證券市場股價之影響」，未出版碩士論文，中興大學企業管理研究所。
林珈汶，(1996)，「外國法人持股比例變動對股票報酬之影響」，未出版碩
士論文，中興大學企業管理研究所。
陳一如與謝秀津，(1999)，「台灣股票上市公司的外資持股比例對其股價之
影響」，《台灣經濟金融月刊》，第 35 卷第 11 期，85-96。
陳彥豪，(2002)，「外資與投信法人持股比率變化對股價報酬率影響之研
究－以上市電子股為例」，未出版碩士論文，中山大學財務管理研究所。
劉明佳，(1995)，「外資引進對我國股價、匯率影響之研究」，未出版碩士
論文，政治大學財務管理研究所。