本研究樣本為台灣證券交易所上市與中華民國櫃檯買賣中心上櫃之普通股股票月資料，主要探討股票平均報酬與公司規模、淨值市價比、成交量、營收市價比、前2至12月平均報酬及前7至12月平均報酬等六個變數之間的橫斷面關係。研究結果顯示，股票平均報酬與成交量之間呈現顯著的負向橫斷面關係，且與營收市價比及前7至12月平均報酬之間呈現顯著的正向橫斷面關係。然而平均報酬與其他三個變數之間的關係並不顯著或穩定。總而言之，成交量、營收市價比與前7至12月平均報酬等三個變數確實對平均報酬橫斷面變異有顯著的解釋能力，且此三變數與平均報酬間的顯著關係並不會因為其他變數加入模式中而受到影響。藉由敏感性分析，更進一步確認其結果的穩定性，並不會因為資料分割、期間分割而受到影響。至於各因子模式的評估比較結果發現，市場單因子模式並沒有充分捕捉到超額報酬的時間序列變異，而其他三因子模式或四因子模式則有捕捉到市場因子所遺留下來的股票超額變異。就解釋股票報酬橫斷面變異方面可發現，由市場、成交量與營收市價比所組成的三因子模式與市場、成交量、營收市價比與前7至12月平均報酬所組成的四因子模式似乎較能充分解釋台灣股票間橫斷面之變異。

This study explores the cross sectional relationships between average stock returns and market value, book-to-price, trading volume, sales-to-price, average return over the previous 7 to 12 months and average return over the previous 2 to 12 months, on Taiwan Stock Exchange from January 1978 to December 2007. Our results show that average stock returns are significantly negatively related to trading volume, and significantly positively related to sales-to-price and average return over the previous 7 to 12 months. However, the relationships between average returns and remaining three variables are insignificant or unstable. Summarily, trading volume, sales-to-price, average return over the previous 7 to 12 months seem to have a joint role in explaining the differentials in average returns. The results of three variables model are robust and insensitive to sub-sample and sub-period. By comparison, we conclude that the market, volume and sales-to-price three factor model, and the market, volume, sales-to-price and momentum four factor model can fully explain the cross sectional variation in average returns.

目錄
第一章 緒論	1
第一節	研究動機與背景	1
第二節	研究目的	4
第二章 文獻回顧	6
第一節	平均報酬與成交量之相關文獻	6
第二節	平均報酬與營收市價比之相關文獻	8
第三節	平均報酬與動能之相關文獻	11
第四節	平均報酬與規模和淨值市價比之相關文獻	13
第三章 研究方法、資料選取與變數定義	22
第一節	研究期間、研究資料及資料來源	22
第二節	變數定義	24
第三節	分析平均報酬與各變數間之關係	26
第四節	評估多種因子模式在解釋台灣股票報酬變異的適用性 	29
第四章 實證結果與分析	33
第一節	敘述統計	33
第二節	FM橫斷面迴歸模式之結果	38
第三節	敏感性分析	41
第四節	BJS時間序列分析法之結果	48
第五章 結論	60
參考文獻	62

表目錄
【表3-1 】各年度年底股票個數	23
【表4-1 】各分類投資組合的基本敘述統計	34
【表4-2 】各變數間的平均橫斷面相關係數	37
【表4-3 】FM橫斷面迴歸係數的平均數與檢定結果：單變量模式	38
【表4-4 】成交量 (VOL)、營收市價比 (S/P) 與前7至12月的平均報酬 (R7_12) 等三個因子所有可能組合成的7種FM橫斷面迴歸係數的平均數與檢定結果	40
【表4-5 】市場價值 (MV)、淨值市價比 (B/P) 與前2至12月的平均報酬 (R2_12) 等三個因子所有可能組合成的7種FM橫斷面迴歸係數的平均數與檢定結果	41
【表4-6 】成交量 (VOL)、營收市價比 (S/P) 和前7-12月的平均報酬(R7_12) 等三個因子所組合成的FM橫斷面迴歸模式係數的平均數與檢定結果：改變樣本	42
【表4-7 】成交量(VOL)、營收市價比(S/P)和前7-12月的平均報酬(R7_12)等三個因子所組合成的FM橫斷面迴歸模式係數的平均數與檢定結果：期間分割	46
【表4-8 】自變數統計量	49
【表4-9 】各因子間之相關係數	49
【表4-10】投資組合超額報酬之統計結果	50
【表4-11】市場單因子模式	51
【表4-12】市場單因子模式之截距項聯合檢定結果	51
【表4-13】市場、規模、淨值市價比三因子模式	54
【表4-14】市場、規模、淨值市價比三因子模式之截距項聯合檢定結果	54
【表4-15】市場、成交量、營收市價比三因子模式	55
【表4-16】市場、成交量、營收市價比三因子模式之截距項聯合檢定結果	55
【表4-17】市場、規模、淨值市價比、前2至12月平均報酬四因子模式	58
【表4-18】市場、規模、淨值市價比、前2至12月平均報酬四因子模式之截距項聯合檢定結果	58
【表4-19】市場、成交量、營收市價比、前7至12月平均報酬四因子模式	59
【表4-20】市場、成交量、營收市價比、前7至12月平均報酬四因子模式之截距項聯合檢定結果	59

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