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    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。
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    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。
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    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。
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    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

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