政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124943

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124943

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政大典藏 > College of Social Science > Department of Economics > Theses > Item 140.119/124943

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124943

Title:	二因子CAPM之檢定 : Fama-MacBeth二階段方法之應用
Authors:	黃之灝 Huang, Chih-Hao
Contributors:	饒秀華蕭明福黃之灝 Huang, Chih-Hao
Keywords:	CAPM 二因子CAPM Fama-MacBeth方法 Measurement Error
Date:	2019
Issue Date:	2019-08-07 16:49:23 (UTC+8)
Abstract:	資本資產訂價模型 (CAPM)是最廣為人知且在實務財務領域最泛用的模型，因此，CAPM的適用與否就顯得特別重要，在國內外已有許多論文在實證其國家的股票報酬率與 CAPM的關係，看其模型是否能夠成立。在國內外文獻之中，有些作者使用個別股票有些作者使用投資組合來建立CAPM的模型與檢定，在此之前並無詳細探究到底是應使用投資組合報酬率還是個股報酬率，且在多因子模型中，本文認為建構投資組合的方式，應納入對市場報酬外其餘因子的考量。在本篇論文中，實證結果發現，投資組合確實可以比個別股票建構出較符合CAPM理論的模型。且台灣文獻中討論橫斷面報酬率所被廣為使用 Fama-MacBeth方法在台灣股票股票市場中，並無法使市場風險溢酬顯著，這與先前文獻中所觀察到市場風險溢酬多半為不顯著一致。爾後，改以平均報酬的方式來估計 CAPM模型，發現此時 CAPM模型是可以合理解釋市場風險溢酬的，也就是線性關係存在。在二因子的CAPM中，本文的實證結果發現，若將個別股票對於其他風險因子 (例如 : 總體指標變化率 )之反應納入來建構 CAPM之檢定，會得出只考慮市場風險因子所建構的投資組合不同的結果，台灣存在產業風險。
Reference:	(一)中文文獻王崇育，2013。「總體商業訊息與台灣股票報酬之關係: 以Fama-MacBeth兩階段方法實證」，國立政治大學經濟學系碩士論文。古今安，2012。「投資人情緒與個別股票風險對股票報酬的橫斷面影響」，國立東華大學會計與財務碩士學位學程論文。李智揚，2015。「違約利差和期間利差作為風險因子的適用性—由橫斷面資料研究」，國立政治大學國際經營與貿易研究所碩士論文。沈俞瑄，2011。「台灣股票市場中個別公司報酬率風險和報酬的關係」，國立中央大學經濟學系碩士論文。林昭芃，2007。「股市之價值溢酬及多因子模型之探討—以台灣股票市場為例」，國立中央大學產業經濟研究所碩士論文。林欣蓉，2018。「Comoment Risks and Cross-section of Stock Returns: Evidence From Taiwan After 2008 Financial Crisis」，國立中正大學財務金融研究所。周賓凰、劉怡芬，2000。「台灣股市橫斷面報酬解釋因子:特徵、單因子或多因子?」，Review of Securities &Futures Markets，12：1，1-32。胡星陽，1998。「流動性對臺灣股票報酬率的影響」，Journal of Financial Studies，5：4，1-19。陳信儒，2015。「台灣股票報酬率之實證研究: Fama-MacBeth 方法之應用」，世新大學管理學院財務金融學系碩士學位論文。張眾卓、王祝三，2012。「台灣時間序列與橫斷面股票報酬之研究: 不同模型設定、投資組合建構以及樣本選擇下之再檢測」，經濟研究，49:1，31-38。顧廣平，2002。。「臺灣上市（櫃）公司股東期望報酬橫斷面差異解釋因子之探討」，Asia Pacific Review of Social Science and Technology，2：1，139-164。 (二)英文文獻 Ansari, V. A. (2000). Capital asset pricing model: Should we stop using it? Vikalpa: The Journal for Decision Makers, 25 (1), 55–64. Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3–18. Bajpai, S and A. K. Sharma (2015). “An Empirical Testing of Capital Asset Pricing Model in India,” Procedia - Social and Behavioral Sciences Volume 189,p 259-265. Black, F (1993). "Beta and Return," Journal of Portfolio Management, Vol 20, pp 8-18. Black, F; MC. Jensen and M. Scholes (1972). "The Capital Asset Pricing Model: Some Empirical Tests," in Jensen (ed.), Studies in the Theory of Capital Markets, New York: Praeger, p79-121. Bodie, Z, A. Kane, A. J. Marcus (2013). “Investments, 10th Edition”. Fama, E. F., and K. R. French (1992). The Cross-section of expected stock returns. The Journal of Finance, 47(2), 427–465. Fama, E. F., and K. R. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. Fama, E. F., and K. R. French (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 50(1), 131–155. Fama, E. F., and K. R. French (2004a). The capital asset pricing model: Theory and evidence. The Journal of Economic Perspectives, 18 (3), 25–46. Fama, E. F., and K. R. French (2004b). The capital asset pricing model: Theory and evidence. The Journal of Economic Perspectives, 18(3), 25–46. Fama, E. F., and J. D. MacBeth (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636. Friend, I., and M. Blume (1970). Measurement of portfolio performance under uncertainty. The American Economic Review, 60(4), 561–575. Gupta, O. P., and S. Sehgal (1993). An empirical testing of capital asset pricing model in India. Finance India, 7(4),863–874. Jensen, M. C., F. Black and M. S. Scholes (n.d.). The Capital Asset Pricing Model: Some Empirical Tests (SSRN Scholarly Paper No. ID 908569). Madhusoodanan, T. P. (1997). Risk and Return: A New Look at the Indian Stock Market. Finance India, 1(2), 285–304. Obaidullah, M. (1994). Indian Stock Market: Theories and Evidence. Hyderabad, ICFAI. Roll, R. (1977). A critique of the asset pricing theory’s tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4 (2), 129–176. Varma, J. R. (1988). Asset Pricing Model under Parameter, Non-stationarity (Doctoral Dissertation). Indian Institute of Management, Ahmedabad. Wang, F. (2013). “A Test of CAPM in China’s Stock Market,” dissertation, degree of Master of Finance, Saint Mary’s University. Yalawar, Y. B. (1988). Bombay stock exchange: Rates of return and efficiency. Indian Economics Journal, 35(4),68–121.
Description:	碩士國立政治大學經濟學系 106258019
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G1062580191
Data Type:	thesis
DOI:	10.6814/NCCU201900386
Appears in Collections:	[Department of Economics] Theses

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