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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/130491


    Title: 條件資本資產定價模型運用 - 比較金融海嘯後價值股與成長股之風險
    The application of conditional CAPM - Comparison of the risk of value stocks and growth stocks after financial crisis
    Authors: 李奇潔
    Lee, Chi-Chieh
    Contributors: 顏佑銘
    Yen, Yu-Min
    李奇潔
    Lee, Chi-Chieh
    Keywords: 風險
    資產定價
    條件資產定價
    價值股
    成長股
    Date: 2020
    Issue Date: 2020-07-01 13:31:24 (UTC+8)
    Abstract: 本篇論文以條件資本資產定價模型探討金融海嘯後台灣價值股與成長股在不同經濟環境下風險之變化,根據CAPM模型,不同的投資組合會有不同的系統風險,但CAPM模型並未考慮到投資人對風險之態度會因不同時間之市場環境變化而有所不同,故本研究以條件資產定價模型檢視在不同經濟環境下價值股與成長股之風險變動。

    本次的研究中使用條件資產定價模型對成長股與價值股的風險進行分析,研究主體為2011年1月至2019年12月之台灣上市股票(共108個月份),並使用股價淨值比(Book Value-to-Market Value)將研究期間內之股票各分為五組與十組,依小至大排序,將各個組別視為一個投資組合,接下來利用預期之市場風險貼水(Expected market risk premium)將景氣分成四種經濟環境,將各個投資組合與各個景氣區間進行迴歸分析即能求出條件資產定價模型之β值。

    本論文實證結果指出,再將投資組合分成五組時,成長股在不同經濟時期β值皆有變動,在經濟佳時,成長股β值較大,經濟差時,成長股β值較小,而價值β值股則在各經濟時期變化不大,此外,不論在任何景氣區間,成長股之β值皆較價值股小,顯示其風險較價值股低,且成長股在景氣差時β值較小,因而具有避險之性質。

    而再將投資組合區分成十組時,成長股與價值股在不同經濟時期β值皆有變動,成長股與先前五組時變動相同,在經濟佳時,成長股β值較大,經濟差時β值較小,而價值股在經濟佳時,β值較小,經濟差時β值較大,變動與成長股相反,且將投資組合分成十組後,成長股與價值股之風險變化更為明顯,兩者在個景氣區間β值之差皆較五組時大。
    Reference: Chen, Nai‐fu, and Feng Zhang. (1998) "Risk and return of value stocks*." The Journal of Business 71.4, 501-535.

    Eugene F. Fama and Kenneth R. French. (1995) “ Value versus Growth: The International Evidence” The Journal of Finance. 53:

    Fama, E. F., and K. R. French. (1992) ” The cross-section of expected stock returns” The Journal of Finance. 47, 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, 3-56.

    Fama, E. F., and K. R. French. (1995) “Size and book-to-market factors in earnings and returns.” Journal of Finance. 50, 131-155.

    Fama, E. F., and K. R. French. (1996) ” Multifactor explanations of asset pricing anomalies.” Journal of Finance. 50, 131-155.

    Hauge. (1995) ” The New Finance: The Case against Efficient Markets, Prentice Hall, Englewood Cliffs, New Jersey.”

    Jagannathan, R., and Z. Wang, (1996) The conditional CAPM and the cross-section of expected returns, Journal of Finance 51, 3-53.

    Jonathan Lewellen and Stefan Nagel, (2006) The conditional CAPM does not explain asset-pricing anomalies, Journal of Financial Economics 82, 289–314

    Lakonishok, J., A. Shleifer, R. Vishny. (1994)” Contrarian investment, extrapolation, and risk. “Journal of Finance. 49, 1541-1578.

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    Lettau, M., and S. Ludvigson, (2001) Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying, Journal of Political Economy 109, 1238-1287.

    Wayne Ferson and Campbell Harvey, (1991) The Variation of Economic Risk Premiums in Real Estate Returns, The Journal of Real Estate Finance and Economics 17(3)

    Xiafei Li, Chris Brooks, Joëlle Miffre . (2009) “The Value Premium and Time-Varying Volatility.” Journal of Business Finance and Accounting, 36, 9-10, 1252–1272

    Yao, R., Hanna, S. D., & Lindamood, S. “Changes in Financial Risk Tolerance, 1983-2001” Financial Services Review, 13 (4), 249-266.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    107351012
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107351012
    Data Type: thesis
    DOI: 10.6814/NCCU202000624
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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