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    Title: 影響股票超額報酬率因子之分析 ─以中國概念股為例
    The determinants of the excess return--evidence from the China-related stocks
    Authors: 廖芷勛
    Liao, Chih Hsuan
    Contributors: 謝淑貞
    廖芷勛
    Liao, Chih Hsuan
    Keywords: 三因子
    股票超額報酬率
    動能因子
    流動性因子
    資本資產定價模型
    中國概念股
    Fama and French
    access return
    momentum
    liquidity factor
    CAPM
    China concept stock
    Date: 2013
    Issue Date: 2015-02-03 10:16:27 (UTC+8)
    Abstract: 中國概念股近年來成為各界投資人關注的投資標的,因此,本研究欲探討中國概念股與非中國概念股股票報酬率與風險之差異,並深入了解影響股票超額報酬率的因子分別在中概股與非中概股的解釋能力與影響方向是否不同。
    本研究期間為西元2004年1月至2014年2月止共122個月,利用Fama-Macbeth(1973)迴歸來檢視中國概念股與非中國概念股是否具有正的市場風險溢酬,然T檢定結果發現中概股與非中概股十個組別中分別只有四組與兩組的檢定市場風險溢酬顯著異於零,因此整體而言,認為CAPM關係式不成立。
    本研究另以Fama and French三因子為基礎並加入動能與成交量因子的五因子模型進行影響股票超額報酬的因子分析,實證結果顯示,不論以投資組合或是個股為單位,市場因子皆對報酬率具有正向且顯著的解釋能力;規模因子以及帳面市值因子無法捕捉投資組合的報酬率變異,但在個股多因子模型中,該兩因子具有顯著且負向的影響力;動能因子不論在投資組合或是個股多因子模型中,都無法有效解釋股票報酬率;最後,流動性因子在中概股的投資組合之間普遍具有較強的解釋能力,並對報酬率有正向的影響。
    Reference: 英文文獻:
    1. Amihud. Yakov and Mendelson Haim, 1986, “Asset pricing and the bid-ask spread”, Journal of Financial Economics 17, 223-250.
    2. Banz, Rolf. W.,1981, “The relationship between return and market value of common stock”, Journal of Financial Economics 9, 3-18.
    3. Basu, Sanjoy, 1983, “The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence”, Journal of Financial Economics 12, 129-156.
    4. Black, Fischer, Michael C. Jensen and Myron S. Scholes, 1972, “The Capital Asset Pricing Model: Some Empirical Tests.”, Studies in the Theory of Capital Markets.
    5. Chan, L.K.C., Y. Hamao, and J. Lakonishok ,1991, “Fundamentals and Returns in Japan.” Journal of Finance, 46, No. 4, 1739-64.
    6. Chan, L.K.C., Jegadeesh, N., and Lakonishok, J., 1996, “Momentum Strategies”, Journal of Finance, 51 (5), 1681-1713.
    7. Carhart, M. M., 1997, “On Persistence in Mutual Fund Performance.”, Journal of Finance, LII(1), 57-82.
    8. Daniel, Kent, and Sheridan Titman, 1997, “Evidence on the Characteristics of Cross Sectional variation in stock returns. “Journal of Finance, Vol 52, 1-33.
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    10. Drew, M. E. and Veeraragavan, M., (2003), “Beta, Firm Size, Book-to-Market Equity and Stock Returns: Further Evidence from Emerging Markets.” Journal of the Asian Pacific Economy, Vol. 8, No. 3, 354–479
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    12. Fama, Eugen F. and Kenneth R. French, 1992, “The Cross-Section of Expected Stock Returns”, The Journal of Finance, Vol. 47, No. 2, 427-465.
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    18. Lintner, J., 1965, “The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios and Capital Budgets”, Review of Economics and Statistics, 13-37.
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    21. Malin, Mirela and Madhu Veeraraghavan, 2004, “On the Robustness of the Fama and French Multifactor Model Evidence from France, Germany and the United Kingdom”, International Journal of Business and Economics, Vol. 3, No. 2, 155-176.
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    中文文獻:
    1. 余招賢,1997,台灣股票市場風險、規模、淨值市價比、成交量週轉率與報酬之關係,國立交通大學管理科學研究所
    2. 張尊悌,1996,貝它、公司規模及淨值市價比三因子評價模型之研究:以台灣股市為例,國立清華大學經濟研究所
    3. 林天中,1998,台灣股票市場三因子:系統風險、公司規模及淨值市價比實證研究,國立清華大學經濟研究所
    4. 郭樂平、俞秀美,1998,以巴菲特理論評比『中國概念股』的選股迷思,會計研究月刊,第154期,頁 135-140
    5. 杜幸樺,1999,影響台灣股票報酬之共同因素與企業特性之研究-Fama-French三因子模式、動能策略與交易量因素,國立中山大學企業管理研究所
    6. 陳榮昌,2002,台灣股票報酬之結構分析,國立中山大學財務管理研究所
    7. 范龍振、余世典,2002,中國股票市場的三因子模型,上海復旦大學管理學院
    8. 陳怡君,2003,中國概念股股價指數與其他指數關聯性之研究,國立成功大學國際企業研究所
    9. 鄭燕茹,2004,盈餘、股利與股票預期報酬之橫斷面分析,國立中央大學企業管理研究所
    10. 廖士仁,2005,資本資產定價模型與三因子模型之分析與比較,國立政治大學統計研究所
    11. 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
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    101351027
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101351027
    Data Type: thesis
    Appears in Collections:[Department of International Business ] Theses

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