巢式與非巢式資產定價理論之比較與檢定

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姓名

王培銘(Pei-Ming Wang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

巢式與非巢式資產定價理論之比較與檢定
(Nested and Non-Nested Tests for Competing Asset Pricing Models)

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★ 小數化、市場流動性與交易時距	★ 資產定價模型樣本外績效之檢定
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摘要(中)

本研究比較Fama and French(1993)、Chen, Roll and Ross(1986)Sharpe(1964) and Lintner(1965)、Breeden(1979)等財務模型，何者較能解釋證券市場的報酬率。本研究使用美國證券市場為樣本，根據公司規模及帳面權益市值比將市場區分成25個投資組合，使用上述模型解釋這25個投資組合的報酬率，並且作聯合檢定，針對模型之間的關係，可區分為Nested和Non-Nested兩部分，Nested部分採用F檢定，Non-Nested部分採用Davidson and Mackinnon(1983)提出的P1檢定。由於25個投資組合的分類方式與FF三因子模型中的因子有關係,因此使用模型另外解釋12個產業投資組合。研究結果發現,解釋25個投資組合時,FF三因子模型為模型中最具有解釋能力的模型，而CCAPM為模型中最不具有解釋能力的模型,但解釋解釋產業投資組合時,只發現CCAPM為模型中最不具有解釋能力的模型。

摘要(英)

Abstract
This thesis compares various financial models, such as Fama and French (1993)、Chen, Roll and Ross (1986)、Sharpe (1964) and Lintner (1965)、Breeden (1979) to interpret which one can explain the result of return on stocks market well. The sample data of this thesis chosen from the US equity market and it divided into 25 portfolios by size of company and book-to-market ratio. This thesis use financial models to explain return on the stock and run joint test. According to the applied above relation between different models, we divided Nested from Non-Nested. We run F-test about Nested. Davidson and Mackinnon (1983) run P1-test about Non-Nested. Because 25 portfolios relates to the factor of the three-factor model, we have 12 industry portfolios. The above model explains 12 industry portfolios and 25 portfolios. When explain 25 portfolios, the three-factor model is the best among all. CCAPM model is the worst model yet lacks the power of explanation among all models. CCAPM model is the worst model of financial models in explaining 12 industry portfolios.

關鍵字(中)

★ 資本資產定價理論
★ 聯合檢定

關鍵字(英)

★ CCAPM
★ CRR
★ Nested
★ Non-Nested
★ F-test
★ CAPM
★ P1-test

論文目次

目錄
前言
1.1研究動機…………………………………………………………1
1.2研究方法及研究目的……………………………………………3
1.3研究架構…………………………………………………………4
2.文獻回顧
2.1資產定價模型……………………………………………………5
2.2Nested 與Non-Nested假說檢定………………………………7
2.2.1 J 檢定……………………………………………………8
2.2.2 P 檢定……………………………………………………9
3.實證模型設定……………………………………………………11
4.Nested 與Non-Nested檢定方法
4.1 Nested檢定方法………………………………………………13
4.2 Non-Nested 檢定方法…………………………………………15
5.資料說明與實證結果
5.1資料說明…………………………………………………………17
5.2實證結果…………………………………………………………17
6.結論………………………………………………………………21
參考文獻……………………………………………………………22
附錄…………………………………………………………………25
表目錄
1.模型係數平均值及係數標準差:Fama and French 25投資組合…26
2.模型係數平均值及係數標準差:12產業投資組合…………………27
3.Nested檢定結果……………………………………………………28
4.Non-nested檢定結果:Fama and French 25組投資組合…………29
5.Non-nested檢定結果:12組產業投資組合………………………30

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指導教授

周賓凰、徐之強
(Pin-Huang Chou、Chih-Chiang Hsu)

審核日期

2002-7-1

推文