從日、美看台灣股市的資產定價實證研究

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姓名

蔡依恬(I-Tien Tsai) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

從日、美看台灣股市的資產定價實證研究
(The Empirical Research of Asset Pricing in Taiwan Stock Market from Japan and US)

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摘要(中)

本文選用兩種抽樣方法: 以公司規模和權益市值比為基準衡量的配對抽樣以及隨機抽樣，並以台股為兩兩比較的基準，重新選取日股以及美股，再以兩階段模型、四因子模型和兩種條件模型比較。
由配對抽樣的結果發現，除了公司規模和權益市值比之外，還有其他的因素造成了日、美、台三國股市的差異。另外，以隨機抽樣的結果發現，台股的某些市場特性並不是因為樣本數較少而造成，這些特性是確實存在於台灣股市的。

摘要(英)

We use paired sample on the basic of size and book-to-market equity and random sample to choose Japanese and US stocks to compare with Taiwanese stocks individually.
We find that other reasons that influence stock returns in addition to size and book-to-market equity. Besides, we also find that some characteristics of Taiwan stock market exist certainly, and this characteristics are not fewer samples in the market.

關鍵字(中)

★ 隨機抽樣
★ 配對抽樣
★ 因子模式
★ 條件模型

關鍵字(英)

★ paired sample
★ factor model
★ random sample
★ conditional model

論文目次

表目錄VI
1 前言 1
2 文獻回顧 5
3 資料與研究方法 7
3.1 樣本資料. . . . . . . . . . . . . . . . . . . . . 7
3.2 抽樣方法. . . . . . . . . . . . . . . . . . . . . 8
3.3 分析方法. . . . . . . . . . . . . . . . . . . . . 9
3.3.1 兩階段迴歸. . . . . . . . . . . . . . . . . . 9
3.3.2 四因子模型. . . . . . . . . . . . . . . . . . 10
3.3.3 條件模型—利用Pettengill et al. (1995)的方法 . 12
3.3.4 條件模型—利用Lewellen (1999)的方法. . . . . . 13
4 實證結果 14
4.1 全樣本的情況下, 三個市場的實證結果. . . . . . . . 14
4.1.1 兩階段迴歸結果. . . . . . . . . . . . . . . . 17
4.1.2 四因子模型之結果. . . . . . . . . . . . .. . . 18
4.1.3 條件模型的結果—利用Pettengill et al. (1995)的
方法. . . . . . . . . . . . . . . . . . . . . 22
4.1.4 條件模型的結果—利用Lewellen (1999)的方法. . . 27
4.2 配對抽樣樣本的情況下, 三個市場的實證結果. . . . . 37
4.2.1 經過配對抽樣的兩階段迴歸結果. . . . . . . . . 37
4.2.2 經過配對抽樣的四因子模型之結果. . . . . . . . 37
4.2.3 經過配對抽樣的條件模型結果—利用Pettengill et
al. (1995)的方法. . . . . . . . . . . . . . . .40
4.2.4 經過配對抽樣的條件模型結果—利用Lewellen (1999)
的方法. . . . . . . . . . . . . . . . . . . . 40
4.3 隨機抽樣樣本的情況下, 三個市場的實證結果. . . . . 49
5 結論 49
參考文獻 52
A 附錄一: 修正後三因子模型結果 56
B 附錄二: 隨機抽樣樣本的情況下, 三個市場的實證結果 71
B.1 經過隨機抽樣的兩階段迴歸結果. . . . . . . . . . . . .71
B.2 經過隨機抽樣的四因子模型之結果. . . . . . . . . . . 72
B.3 經過隨機抽樣的條件模型結果—利用Pettengill et al.
(1995)的方法. . . . . . . . . . . . . . . . . . . . .72
B.4 經過隨機抽樣的條件模型結果—利用Lewellen (1999)的
方法. . . . . . . . . . . . . . . . . . . . . .. . . 72

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指導教授

賴弘能(Hung-Neng Lai)

審核日期

2007-7-9

推文