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    Title: 以股利殖利率(D/P Ratio)建立投資組合,再對CAPM模型和Fama and French三因子模型進行比較
    Using dividend yield to construct portfolios and comparing CAPM model with Fama and French three factor model
    Authors: 郭珉妤
    Kuo, Min-Yu
    Contributors: 饒秀華
    Rau, Shiou-Hua
    郭珉妤
    Kuo, Min-Yu
    Keywords: CAPM模型
    Fama and French三因子模型
    公司規模
    市值
    帳面市值比
    股利殖利率
    投資組合
    市場風險溢酬
    帳面市值比溢酬
    公司規模溢酬
    CAPM
    Fama and French three factor model
    Size
    B/M ratio
    Dividend yield
    Portfolio
    Market risk premium
    HML
    SMB
    Date: 2019
    Issue Date: 2019-06-03 13:02:45 (UTC+8)
    Abstract: 本篇論文採用不同分類方式建立投資組合後,再對CAPM模型與Fama and French 三因子模型進行比較。而投資組合分類方式有二:一為公司規模與帳面市值比,二為股利殖利率。雖然已有多位學者做過相關的實證研究,但多是以國外股票市場為主體,各國的股票市場狀況應該有所不同。
    因此,本篇論文主要研究對象為台灣上市公司,去除金融、保險等高槓桿產業,以避免有偏誤之情況。並取得2005年9月至2017年12月間,去除金融海嘯期間的資料(即2008-2009年)。在台灣經濟新報(TEJ)中所有研究變數都具有完整月資料的台灣上市公司,一共為616檔股票。
    我以Sharpe-Lintner CAPM方程式與Fama and French三因子模型作為研究基礎,並用迴歸方式得出實證結果後,嘗試解釋與比較兩種模型對於台灣上市公司股票報酬率的解釋力,希望能提供投資人投資時的參考依據。
    本篇論文結論為台灣股市具有公司規模溢酬與帳面市值比溢酬,即使是以股利殖利率建立投資組合,Fama and French三因子模型仍比起CAPM模型在台灣股市中被應用得更好。此外,以股利殖利率作為投資組合分類方式得出的實證結果差異不大,和Blanco(2012)不一致。Blanco(2012)對美國市場採用股利殖利率作為投資組合分類方式後,得出CAPM模型與Fama and French三因子模型實證結果為市場風險溢酬、帳面市值比溢酬、公司規模溢酬等因子對於投資組合超額報酬率不再有解釋力。
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    106351038
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106351038
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.IB.004.2019.F06
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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