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| Title: | 分量因子迴歸-臺灣股票市場的應用
Quantile Factor Regression: An Application to the Taiwan Stock Market |
| Authors: | 陳玉庭
Chen, Yu-Ting |
| Contributors: | 徐士勛
Hsu, Shih-Hsun
陳玉庭
Chen, Yu-Ting |
| Keywords: | 分量因子模型
時間變動因子負載量
資本資產定價模型
Fama-French 三因子模型
仿射轉換
Quantile Factor Model
Time-Varying Factor Loadings
Capital Asset Pricing Model
Fama-French Three Factor Model
Affine Transformation |
| Date: | 2025 |
| Issue Date: | 2025-08-04 12:52:23 (UTC+8) |
| Abstract: | 本論文以臺灣股票市場為研究對象，採用具有分量變動與時間變動因子負載量 (factor loadings) 的分量因子模型 (Quantile Factor Model, QFM) 進行實證分析，探討股票超額報酬在不同分量下與不同變數之間的關係。本研究所使用的模型架構係借鏡自 Atak et al. (2023)，有別於傳統僅針對平均值進行估計的線性因子模型，QFM 能夠捕捉在不同分量下的因子異質性，更細緻地呈現超額報酬的動態特徵。
實證方法首先運用傳統的線性迴歸模型，結合區域主成分分析法（Local Principal Component Analysis, LPCA）以估計潛在共同因子及其對應的負載量，並估計控制變數的迴歸係數。第二階段中，將所估得的共同因子納入分量迴歸架構中，進一步以分量的角度分析臺灣股票超額報酬與公司特徵變數、資產定價因子之間的關聯性。
實證結果顯示，市場風險溢酬（MKTRF）、規模因子（SMB）與市帳值比（MBR）在多數分量與模型設定下皆達統計顯著水準，顯示臺灣股票市場中存在明確的「規模效果」與「價值股效果」。整體而言，本研究凸顯了在金融計量模型中採用具彈性與分布敏感性的估計方法之重要性，並有助於更全面地理解股票超額報酬之動態行為。
This thesis examines the presence of common factors in various quantiles of excess stock returns within the Taiwan stock market, using a quantile factor model (QFM) characterized by quantile-varying and time-varying loadings. The empirical model for this research is derived from Atak et al. (2023). In contrast to conventional linear factor models that estimate the sensitivities to observed covariates through a mean process, our methodology captures the heterogeneity in factor exposures across different quantiles, thereby offering a more refined understanding of the dynamics of the variables under investigation.
The analysis begins with the application of mean linear regression, supplemented by local principal component analysis (LPCA) to estimate latent common factors, their associated factor loadings, and the coefficients of the control variables. In the subsequent stage, the estimated common factors are incorporated into a quantile regression framework. An empirical analysis of stock excess returns is then conducted, utilizing both firm-specific covariates and common pricing factors within the QFM framework.
The findings indicate that market risk premium portfolios (MKTRF), size factor (SMB), and market-to-book ratio (MBR) consistently exhibit statistical significance in various quantiles and model specifications. These results suggest the existence of size and value stock effects within the Taiwan stock market. In general, the results highlight the advantages of employing flexible and distribution-sensitive models in financial econometrics and contribute to a more thorough understanding of the dynamics of returns. |
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| Description: | 碩士
國立政治大學
經濟學系
112258033 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112258033 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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