English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110944/141864 (78%)
Visitors : 48023768      Online Users : 967
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/130499


    Title: 系統風險和帳面市值比效應探討-台灣股票市場實證分析
    β Risk & B/M Effects in Taiwan Stock Market Research
    Authors: 謝宗運
    Hsieh, Tsung-Yun
    Contributors: 饒秀華
    Rao, Xiu-Hua
    謝宗運
    Hsieh, Tsung-Yun
    Keywords: 資本資產定價模型
    三因子模型
    違約風險
    市場風險
    Date: 2020
    Issue Date: 2020-07-01 13:32:52 (UTC+8)
    Abstract: 本研究透過2005年7月至2019年6月之月資料,研究資產定價模型及三因子模型各自風險因子在不同的投資組合中,對股票報酬的風險敏感度為和;最後再用假說檢定方式,檢驗台灣股票市場是否除了違約風險(Default Risk)外,還有市場風險(Market Risk)的存在。本研究有三個主要發現,第一,透過線性迴歸分析CAPM模型,本研究發現小規模公司和高帳面市值比公司β值皆較高;第二,透過三因子迴歸分析,本研究發現無論市場風險溢酬、公司規模溢酬還是帳面市值比溢酬的β值,小規模公司和高帳面市值比公司投資組合皆較高。第三,藉由報酬差額和GRS檢定,檢驗CAPM模型中市場風險是否存在,本研究發現雖GRS檢定不符合CAPM理論,但顯著性並不高,即無明確證據指出台灣市場僅由違約風險主導股票報酬敏感度。
    Reference: Black, Jenson and Scholes(1972). The Capital Asset Pricing Model: Some Empirical Tests, Studies in the Theory of Capital Markets,1972.
    Carmen Fernández ,Peter J. Green, (2002). Modelling Spatially Correlated Data Via Mixtures: A Bayesian Approach, Journal of the Royal Statistical Society, Vol. 64, Issue 4, pp. 805-826.
    Eugene F. Fama ,Kenneth R. French, (1992). The Cross‐Section of Expected Stock Returns, Journal of Financial Economics, Vol. 47, Issue 2, pp.427-465.
    Eugene F. Fama ,Kenneth R. French, (1993). Common Risk Factors In The Returns On Stocks and Bonds, Journal of Financial Economics, Vol. 33, Issue 1, pp.3-56.
    Eugene F. Fama ,Kenneth R. French, (1996). Multifactor Explanations of Asset Pricing Anomalies, Journal of Financial Economics, Vol. 51, Issue 1, pp.55-84.
    Eugene F. Fama ,Kenneth R. French, (2006). Profitability, Investment and Average Returns, Journal of Financial Economics, Vol. 82, Issue 3, pp.491-518.
    Harry Markowitz, (1952). Portfolio Selection, The Journal of Finance, Vol. 7, No. 1. (Mar., 1952), pp. 77-91.
    Jan Mossin, (1966). Equilibrium in a Capital Asset Market, Econometrica, Vol. 34, No. 4 (Oct., 1966), pp. 768-783.
    John Lintner, (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, The Review of Economics and Statistics, Vol. 47, No. 1 (Feb., 1965), pp. 13-37.
    Marc R. Reinganum, (1981). Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings` Yields and Market Values, Journal of Financial Economics, 1981, vol. 9, issue 1, pp. 19-46.
    Nejla Bergaoui, (2015). Are Size And Book-To-Market Effects, Risk Compensations? Evidence from the Tunisian Stock Exchange, American International Journal of Contemporary Research, Vol.5, No.6.
    Ray Ball (1978). Anomalies In Relationships Between Securities` Yields and Yield-Surrogates. Journal of Financial Economics, Vol. 6, June–September 1978, pp. 103-126.
    Robert Davis ,Don Wong, (2007).Conceptualizing and Measuring the Optimal Experience of the eLearning Environment, Journal of Innovative Education, Vol. 5, Issue 1, pp.97-126.
    Sanjoy Basu, (1975). The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence, Journal of Financial Economics, Vol. 12, Issue 1, June 1983, pp. 129-156.
    Steven Bleiberg, (1989). How Little We Know, The Journal of Portfolio Management Summer 1989, 15 (4) 26-31.
    William F. Sharpe, (1964). Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk, The Journal of Finance, Vol. 19, No. 3. (Sep., 1964), pp. 425-442.

    彭國根(1997),規模及淨值. 與規模比對股票報酬之影響-台灣股票市場之實證研究,碩士論文、私立東吳大學企業,管理研究所。
    李春旺(1988)。 股價行為與規模效應-台灣股票市場實證。碩士論文,政治大學,企業管理研究所。
    劉怡芬(1999),臺灣股市橫斷面報酬率決定因子:特徵、單因子或多因子,碩士論文、國立中央大學,財務金融所。
    金傑敏(1996),公司規模、權益帳面價值對市價比、前期報酬及系統. 性風險對股票報酬之影響,碩士論文,私立淡江大學,財務金融研究所。
    邱世淦(2013),以資本資產定價模型為基礎驗證台灣上市公司個股期望報酬與實際報酬之關係,碩士論文,國立中山大學,企業管理學系研究所。
    陳建良(1993)。我國股票市場異常現象之實證研究。碩士論文,國立交通大學,管理科學系所。
    沈素梅(1999),台灣地區股票市場規模效果之實證研究,碩士論文,私立淡江大學,財務金融學系。
    楊明栽(1997),資本資產訂價理論在台灣之實證研究,碩士論文,私立淡江大學,財金所。
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    107351038
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107351038
    Data Type: thesis
    DOI: 10.6814/NCCU202000578
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File Description SizeFormat
    103801.pdf1813KbAdobe PDF2375View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback