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    题名: 資本資產定價模型之穩健估計分析
    作者: 顏培俊
    Yen, Pei-Chun
    贡献者: 鄭宗記
    顏培俊
    Yen, Pei-Chun
    关键词: 長期性資料
    線性混合效果模型
    穩健迴歸模型
    資本資產定價模型
    因子模型
    Longitudinal Data
    Linear Mixed Effects Model
    Robust Regression Model
    CAPM
    Factor Model
    日期: 2002
    上传时间: 2009-09-17 18:44:40 (UTC+8)
    摘要: 長期性資料(longitudinal data)的最主要特徵是為對多個被觀測個體在不同的時間點上重複測量一個或多個反應變數。而在分析長期性資料的方法中，Laird & Ware(1982)建議以線性混合效果模型(linear mixed effects model，LME)來進行估計分析，此模型方法中，資料可以允許遺失值，並可將受測個體間與個體內的變異分開說明。
    另在配適最小平方法(OLS)的迴歸模型中，係數估計經常會受到異常值的影響，而Rousseeuw & Leroy(1987)提出最小消去平方法(least trimmed squares，LTS)的穩健迴歸模型，即是解決最小平方法中對於異常值敏感的問題。
    本研究主要針對台灣股票預期報酬之三種模型：資本資產定價模型、特徵模型、因子模型分別以OLS、LTS、LME三種估計方法做配適，並比較配適模型之適當與否，樣本資料為民國七十年七月至九十年六月共252個月516家上市公司股票報酬。實證結果顯示，不論是採用OLS、LTS、LME的估計方法，股票報酬解釋變數：系統風險、公司規模、帳面權益對市值比、SMB、HML皆為股票報酬的顯著解釋因子；而在模型比較方面，不論是配適資本資產定價模型、特徵模型或因子模型，LME都較OLS為較適當配適模型。這顯示了在分析長期性資料時，LME的確是一個較佳的統計分析模型。
    參考文獻: 一.中文部分
    林秋炭，「經濟因素、公司規模與股票報酬相關之研究」，東海大學企業管理研究所，民國八十年。
    二.英文部分
    Black, F. 1972, Capital market equilibrium with restricted borrowing, Journal of Business 45, 444-455.
    Black, F. Jensen, M. C. Scholes, M. 1972, The capital asset pricing model: Some empirical tests, in: M. Jensen, ed., Studies in ths theory of capital market.
    Brigham, E.F, Gapenski, L.C.,and Ehrhardt, M.C.,1999, Financial Management:Theorey and Practice, The Dryden Press, Orlando.
    Chan, L.K.C. and Lakonishok, J., 1992, Robust measurement of beta risk.Journal of Financial and Quantitative Analysis 27, 265-282.
    Chen, N. F., Roll, R, and Ross, S.A., 1986, Economic Forces and the Stock Market, Journal of Business 59, 383-403.
    Crowder, M. and Hand, D. 1990. Analysis of Repeated Measure, Chapman & Hall, London.
    Daniel, K., Titman, S., and Wei, K. C., 1998, Explaining the Cross-Section of Stock Returns in Japan: F actors or Characteristics, working paper, Northwestern University.
    Diggle, P. J., Liang, K. Y., and Zeger S. L., 1996, Analysis of Longitudinal Data, Oxford:Clarendon Press.
    Fama, E. F. 1976, Foundations of finance: portfolio decisions and securities prices, New York.
    Fama, E. F. and French, K. R., 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427-465.
    Fama, E. F. and French, K. R., 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
    Fama, E. F. and French, K. R., 1995, Size and book-to-market factors in earings and returns, The Journal of Finance 50,131-155.
    Grizzle, J. E. and Allen, D. M. 1969, Analysis of growth and dose response curves, Biometrics, 2, 357-381.
    Hui, S. L. 1984, Curve fitting for repeated measurements made at urregular time points, Biometrics, 40, 691-697.
    Larid, N. M. and Ware, J. H., 1982, Random-effects model for longitudinal data, Biometrics 38, 963-974.
    Lindsey, J. K. 1999, Models for Repeated Measurements, Oxford: New York
    Lintner, J. 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
    Martin, R. D. and Simin, T., March 1999, Robust estimation of beta, Technical Report NO. 350, 1-38.
    Pinheiro, J. C. and Bates, D. M. 2000, Mixed-Effects Models in S and S-PLUS, NEW YORK: Springer.
    Rao, C. R. 1965, The theory of least squares when the parameters arestochastic and its application to the analysis of growth curves. Biometrics, 52, 447-458.
    Rousseeuw, P. J., and Leroy, A. M., 1987, Robust Regression and Outlier Detection, New York: Wiley.
    Ruppert, D. and Carroll, R., 1980, Trimmed least squares estimations in the linear model, Journal of the American Statistical Association 75, 828-838.
    Sharpe, W. F. 1964, Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442.
    Ware, J. H. 1985, Linear models for the analysis of longitudinal studies, The American Statistician, 39, 95-101.
    Zeger, S. L., Liang, K.-Y., and Albert, P. S. 1988, Models for longitudinal data: a generalized estimating equation approach. Biometrics, 44, 1049-1060.
    描述: 碩士
    國立政治大學
    統計研究所
    89354006
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0089354006
    数据类型: thesis
    显示于类别:[統計學系] 學位論文

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