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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30999
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30999


    Title: 產業權益成本-以台灣股市為例
    Authors: 翁筱雯
    Contributors: 盧敬植
    翁筱雯
    Keywords: 產業權益成本
    權益成本
    資產定價模型
    Fama and French三因子模型
    CAPM
    Date: 2007
    Issue Date: 2009-09-14 09:02:07 (UTC+8)
    Abstract: 權益成本估計的不確定性將嚴重影響企業價值評估的準確性,因此本文檢視CAPM單一因子模型及Fama and French三因子模型,依1982年7月至2007年12月之台灣二十八類產業為研究樣本,以傳統的所有樣本期間迴歸(Full-period Regression)與滾動式迴歸(Rolling Regression)兩種不同估計方式,發現CAPM及Fama and French三因子模型之風險係數隨著時間改變的平均真實隱含標準差均高達0.18以上。比較兩模型在產業權益成本預測能力的比較上,Fama and French三因子模型不論預測近期或遠期的表現均優於CAPM外,預測的期間越久,兩模型預測能力差距將越小,其預測能力也越接近。在我們進一步利用兩種定價模式估計產業權益成本發現,Fama and French三因子模型明顯降低了產業權益成本的波動狀況,並且CAPM與Fama and French三因子模型使用五年滾動式迴歸模型估計的差異大於使用完整樣本期間估計的方式。有鑑於此,當我們選擇資產定價模型做為資產評價上之權益成本應用時,在預測短期間的權益成本估計上,Fama and French三因子模型以長期間的完整歷史時間估計仍為有較佳方式。然而在預測遠期的權益成本估計時,CAPM仍為不錯的估算方式。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    95357003
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095357003
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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