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    Title: 違約利差和期間利差作為風險因子的適用性-Hahn and Lee(2006)模型與Fama and French三因子模型之比較
    Authors: 蔡昕穎
    Contributors: 饒秀華
    蔡昕穎
    Keywords: Fama and French三因子模型
    Hahn and Lee (2006)替代模型
    期間利差
    違約利差
    Date: 2015
    Issue Date: 2015-08-03 13:16:03 (UTC+8)
    Abstract: 本研究利用Fama and French三因子模型為架構,分析台灣股票市場的市值規模效應及淨值市價比效應影響程度,以及相對應之風險貼水。同時連結規模效應風險貼水(SMB)與違約利差間的風險關係、淨值市價比風險貼水(HML)和期間利差間的風險關係,接著利用Hahn and Lee (2006)模型以違約利差變動量取代規模效應影響因子、期間利差變動量做為淨值市價比影響因子的總體經濟替代變數,探討違約利差變動量和期間利差變動量做為規模效應及淨值市價比的代理變數是否貼切,同時比較替代模型解釋變數對應之風險貼水為何。
      一般而言,小公司比大公司體質來得不穩定、投資風險較高,需要較多風險貼水;高淨值市價比公司比低淨值市價比公司承受較多不確定性,也因此風險貼水較高。實證結果顯示,台灣股票市場無論採用Fama and French三因子模型或是Hahn and Lee (2006)替代模型分析,風險貼水係數皆不顯著,可能原因在於如國外文獻所述,違約利差和期間利差和總體經濟報酬率等的連結已自1980年代起開始削弱,本研究樣本期間自2006年起至2014年12月,已處於利差無法串連市場報酬的期間,結論與國外學者相符。
      而在Fama and French三因子模型與Hahn and Lee (2006)替代模型比較上,可以發現替代模型的解釋變數無法完整詮釋原本三因子模型的解釋變數,三因子模型中的解釋變數又沒辦法像替代模型中的變數一樣產生總體經濟的連結,而無論資料是否包含金融海嘯期間,單就台灣上市、上櫃股票市場而言,Fama and French三因子模型與Hahn and Lee (2006)替代模型對市場的解釋能力是相近的。
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    貳、中文部分
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    102351020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102351020
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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