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    Title: 價值股風險是否較成長股高-條件資本資產定價模型的應用
    Is value stock riskier than growth stock
    Authors: 楊敏宏
    Contributors: 饒秀華
    楊敏宏
    Keywords: 國立政治大學
    價值股
    成長股
    條件資本資產定價模型
    Date: 2016
    Issue Date: 2016-08-22 10:41:35 (UTC+8)
    Abstract: 本研究利用條件資產定價模型重新檢視對於台灣股票市場成長股和價值股的風險預測。因為傳統資產定價模型(CAPM)僅考慮到不同資產會有不同的β值,但是卻沒考慮到其實各資產的β值會隨著經濟狀況不同而會有所變動,也因此本研究利用條件資產定價模型捕捉價值股和成長股的β值在不同時間點下是會變動的,可能在某些時間點價值股的β值可能會低於成長股的β值,也就是某些狀況下,價值股的風險可能會低於成長股。
    為了驗證β值在會隨著經濟狀況的不同而有所變化,採用2006至2015年間共120個月的資料點來做實證分析,本研究透過淨值市價比(B/M Ratio)大小將台灣上市股市892間公司區分成五組和十組作為區分價值股和成長股的依據,另一方面則運用市場投資組合風險貼水(Market risk premium)的預測值來做為區分經濟狀況好與壞的條件,將這兩個條件套用在條件資產定價模型(Conditional CAPM)下,去驗證台灣成長股與價值股風險是否真的會有所變動。
    實證分析的結果顯示,可以發現在所有的組別中,價值股的β值皆大於成長股,研究中的所有時間點市場都是存在價值溢價的(Value premium),但是另一方面,仍然可以看出兩種股票的β值會隨著時間點而改變,其變動結果呈現兩種不同的結果。在包含金融海嘯(2008年至2010年間)的組別結果較為不理想,我們所觀察到在不同時期下價值股和成長股的β值變化方向是相同的,而非預期中是相反的。而在未包含金融海嘯的組別,結果較符合研究前的預測,價值股和成長股的β值在不同時期的變動是相反的,在經濟好時,價值股的β值降低,風險降低; 在經濟壞時,β值升高,風險增加。在經濟好時,成長股的β值降低,風險增加; 在經濟壞時,β值降低,風險降低。
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    [24] 陳榮昌(2002)。台灣股票報酬之結構分析。未出版之碩士論文,雲林科技大學,財務金融研究所,雲林縣。
    [25] 楊慶豪(2007)。台灣股票市場投資策略分析之研究:價值投資與成長投資之比較。未出版之碩士論文,國立中山大學,財務管理學系,高雄市。
    [26] 彭添德(2012)。價值型與成長型投資風格於台灣股票市場實證。未出版之碩士論文,國立政治大學,經營管理碩士學程EMBA,台北市。
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    103351030
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1033510301
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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