投資期限與資產定價因子

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姓名

向淑文(Shu-Wen Hsiang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

投資期限與資產定價因子
(Investment Horizon and Asset Pricing Factors)

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摘要(中)

本研究採用Fama & French（1992）的投資組合分類方法，旨在探討解釋臺灣股票市場橫斷面報酬之最佳模型與投資期間（investment horizon）之間的關係，並觀察隨投資期間之變化，變數間解釋能力之消長。研究期間為民國七十一年七月至八十八年六月，以月、季、半年及年資料進行實證分析。實證過程分為三個部份，首先依據投資組合進行時間序列迴歸分析；再依個股進行橫斷面迴歸分析；最後針對橫斷面風險貼水時間序列平均值分別以t統計量及GMM t值進行檢定，以判別在不同之投資期間下，解釋股票橫斷面報酬之變數及模型有何變化。
本文針對CAPM模式、公司特徵因子模式與CRR總體經濟模式進行研究，以觀察模型之解釋能力；接著綜合上述模型，衡量各變數解釋能力之消長，並進一步觀察解釋模型隨投資期間之增長所產生之變化。其中公司特徵因子包含Fama & French（1992）及Fama & French（1993）之定義。
研究結果顯示當投資期間在半年以下時，CAPM模式為臺灣股票定價之最佳模型，Beta為解釋台灣股票市場橫斷面期望報酬之唯一因子。然當投資期間為一年時，Beta不具解釋能力，可能原因是資料期間不夠長，僅十七筆資料而已。而無論於何種投資期間，FF（1992）特徵、FF（1993）三因子、CRR及考慮消費因子和油價變動因子之定價模型皆無法解釋股票橫斷面報酬。但隨投資期間之增長，Beta的解釋能力緩慢下降，而消費因子、公司特徵及其模擬因子之解釋能力則有緩慢上升的趨勢。

關鍵字(中)

★ 投資期限
★ 資本資產定價理論
★ 套利定價理論
★ 公司特徵
★ 總體經濟因子

關鍵字(英)

★ investment horizon
★ CAPM
★ APT
★ characteristics
★ macroeconomic factors

論文目次

目錄................................................................................................................Ⅰ
表目錄................................................................................................................Ⅱ
圖目錄................................................................................................................Ⅱ
第一章緒論........................................................................................................ 1
第一節研究動機............................................................................................ 1
第二節研究目的............................................................................................ 3
第三節研究限制.............................................................................................5
第四節研究架構.............................................................................................7
第二章文獻探討................................................................................................ 9
第三章研究設計...............................................................................................14
第一節選樣設計...........................................................................................14
第二節變數定義...........................................................................................16
第三節實證模型...........................................................................................23
第四節研究方法與假說...............................................................................26
第四章實證結果與分析...................................................................................28
第一節樣本資料概況...................................................................................28
第二節實證結果分析...................................................................................30
第五章結論與建議...........................................................................................40
參考文獻.............................................................................................................44
表目錄
表一變數參考出處及資料來源說明...............................................................22
表二半年資料期間下所有變數之相關係數矩陣...........................................28
表三半年資料期間之投資組合平均報酬.......................................................29
表四各模型時間序列迴歸分析結果...............................................................30
表五各投資期間下公司特徵因素之相關係數...............................................31
表六單因子（市場投組）模式時間序列平均值...........................................32
表七 Fama & Fench-公司特徵相關因子模式時間序列平均值.......................34
表八 CRR總體經濟模式....................................................................................37
表九消費及能源因子時間序列平均值...........................................................38
附表一：各投資期間下所有變數之相關係數矩陣.........................................42
附表二：各投資期間之投資組合平均報酬.....................................................43
圖目錄
圖一研究架構.....................................................................................................8

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指導教授

周賓凰(Pin-Huang Chou)

審核日期

2000-6-20

推文