自Sharpe（1964）、Lintner（1965）以Markowitz的「平均數－變異數分析」與Tobin（1958）的「分離理論」理論為共礎，導出資本資產定價模型（Capital Asset Pricing Model，CAPM）後，因其模型簡潔廣被接受。 CAPM指出在完美市場假設下，當證券市場達成均衡時，個別證券的期望報酬率與市場系統風險存在正向線性關係，且系統風險為解釋橫斷面期望報酬率的唯一因子，可用來探討證券市場中各種資本資產均衡的價格。然後續的實證研究發現系統風險無法單獨解釋個別證券的報酬率。為發展更合乎真實社會的資本資產定價方式， Black (1972)修正「無風險資產存在，投資人可以無限制借貸」之假設，假設無風險資產不存在，經由借貸不同的風險資產可形成與市場組合無關的無系統性風險資產－zero-beta資產，並以zero-beta資產代替Sharpe－Lintner版之無風險資產，重新詮釋資本資產定價模型。
實證上多以Sharpe- Lintner版之CAPM為主，本研究認為真實世界所有原始的資本資產皆具風險性，故以美國股票市場月報酬為資料樣本，採用Gibbons （1982）之多變量迴歸模型(multivariate regression model，MVRM)及聯合檢定方法，並利用最大概似估計法(Maximum Likelihood Estimatoion，MLE)及一般化動差法(Generalized Method of Moments，GMM)估計，最後則以概似比率（likelihood ratio，LR）及Newey  (1987) 提出類似概似比率檢定的 D統計量來檢定模型的正確性。實證結果發現Black版之資本資產定價模型在投資風險與報酬率之間關係的解釋能力相當顯著，同時檢定結果亦無法拒絕虛無假設。

Since its introduction by Sharpe (1964) and Lintner (1965), the capital asset pricing model (CAPM) has become one of the most widely used tools in finance for quantifying risk and the reward for bearing it. However, empirical evidences provide mixed support of the CAPM. In this study, I estimate the CAPM using the generalized method of moments (GMM) and test jointly the CAPM. The GMM approach adopted here is more flexible than the maximum likelihood approach used in Gibbons (1982) since it does not require restrictive distributional assumptions. Using the data on different portfolios, the empirical results indicate that the Black-version CAPM is consistent with the data.

目錄
論文提要內容……………………………………………………………Ⅰ
ABSTRACT…………………………………………………………………Ⅱ
目錄………………………………………………………………………Ⅲ表次………………………………………………………………………Ⅳ
圖次………………………………………………………………………Ⅴ

第一章	緒論…………………………………………………………1
第一節	研究動機與目的……………………………………………1
第二節	研究架構……………………………………………………2
第二章	文獻回顧……………………………………………………5
第一節	國外相關研究………………………………………………5
第二節	國內相關研究………………………………………………10
第三章	資本資產定價模型之發展…………………………………12
第四章	研究方法……………………………………………………22
第一節	CAPM計量模型………………………………………………23
第二節	最大概似估計法……………………………………………24
第三節	一般化動差法………………………………………………28
第五章	實證結果與分析……………………………………………34
第一節	樣本資料概況………………………………………………34
第二節	實證結果分析………………………………………………37
第六章	結論與建議…………………………………………………45
第一節	結論…………………………………………………………45
第二節	研究建議……………………………………………………46
參考文獻……………………………………………………………… 47
                      表次
表1：四種分類各個投資組合之基本統計量…………………………37
表2：以SIZE分類的估計結果…………………………………………40
表3：以BE/ME分類的估計結果……………………………………… 41
表4：以DIVIDEND YIELD分類的估計結果……………………………42
表5：以5INDUSTRY分類的估計結果………………………………… 43
表6：兩種方法的檢定結果…………………………………………  44
                 圖次
圖1 最低風險組合曲線-Markowitz模型…………………………… 15
圖2 資本市場線……………………………………………………… 18
圖 3 zero-beta組合的建立………………………………………… 20

一．中文部份
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陳榮昌 (2001)，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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楊明栽（1997），資本資產訂價理論在臺灣股票市場之實證研究，淡江大學財務金融學系碩士論文。

趙志遠 （2003），臺灣股市之效率檢定及多因素模型之探討—長期追蹤資料之計量分析，國立中央大學產業經濟研究所碩士論文。


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