日本市場價值與成長股票投資組合風險與報酬關係之研究

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姓名

陳威均(Wei-chun Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

日本市場價值與成長股票投資組合風險與報酬關係之研究
(The Risk-Return Relation between Value and GrowthPortfolios: Additional Evidence from Japan)

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摘要(中)

本研究是探討日本市場內價值股與成長股之風險和報酬的關係。我們同時運用事後及事前的方法來區分經濟狀態，這二種方法所得到的實證結果是相似的。我們發現均等加權與價值加權所得到的條件市場貝他在不同的經濟狀態是不一致的，這隱含以均等加權的價值成長投資組合與價值加權的價值成長投資組合在不同的經濟狀態有著不同的風險。均等加權的價值成長投資組合比較符合行為財務的觀點，沒有承擔隨著時間變動的風險和共變動風險；相反的，價值加權的價值成長投資組合比較不符合行為財務的觀點。最後在過度反應議題普遍被注意下，價值加權的價值成長投資組合的價值異常能被條件資本市場評價模型所解釋。

摘要(英)

Our study measures the risk-return relation between value and growth portfolios in Japanese market. We use both ex-post and ex-ante methods to determine economic states and find that the empirical results from these two methods are similar. The results show that there are inconsistent conditional market betas in different economic states for equally weighted and value weighted value and growth portfolios. Specifically, the equally weighted HML portfolio and the value weighted HML portfolio face incoherent risks in dissimilar economic states, respectively. The results of equally weighted HML portfolio are more consistent with the view of behavioral
finance, while the results of value weighted HML portfolio are less consistent. Finally, the value anomaly from the value weighted HML portfolio can be explained by conditional CAPM after the overreaction issue is prevalently noted.

關鍵字(中)

★ 隨著時間變動的風險
★ 條件資本市場評價模型
★ 價值異常

關鍵字(英)

★ Value Anomaly
★ Conditional CAPM
★ Time-Varying Risk

論文目次

I. INTRODUCTION..................................1
II. DATA DESCRIPTION.............................3
III. METHODOLOGY.................5
IV. EMPIRICAL RESULT....................7
A. EMPIRICAL RESULTS BASED ON GDP....8
A.1. Time-varying risk for rolling betas......9
A.2. Time-varying risk for fitted betas....9
A.3. Covarity for rolling betas and fitted betas..................................10
B. EMPIRICAL RESULTS BASED ON EXPECTED RISK PREMIUM............................10
B.1. Time-varying risk for rolling betas.....11
B.2. Time-varying risk for fitted betas.......12
B.3. Time-varying risks of rolling betas and fitted betas in common ...........12
B.4. Covarity for rolling betas and fitted betas .............................13
C. RESULTS BASED ON UP-MARKET AND DOWN-MARKET ...................................15
D. RETURN PATTERNS OF LARGE AND SMALL BOOK-TO-MARKET PORTFOLIOS...17
E. THE EXPLANATION POWER OF CCAPM..................................20
V. CONCLUSION.......................................21
REFERENCE..................................22

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指導教授

何耕宇(Keng-Yu Ho)

審核日期

2007-6-28

推文