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姓名 李傑榕(Barro Li) 查詢紙本館藏 畢業系所 財務金融學系 論文名稱 資產定價模型樣本外績效之檢定
(Out of sample test of competing asset pricing models)相關論文 檔案 [Endnote RIS 格式]
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摘要(中) 財務學者對解釋橫斷面股票報酬有相當多的研究，有許多學者認為股票報酬可以被因子所決定，他們認為因素負荷量（factor loading）高，報酬就會較高，報酬是被共變異風險所決定的。此一傳統的定價模型稱為風險因子模型(factor models)。而Daniel and Titman認為股票報酬是決定於特徵模型而非因子模型。本文以美國股票市場為研究對象，研究期間1963年到2002年利用買入持有法（buy-and-hold）來檢定何種資產定價模型具有較好的股票報酬預測能力。
本文的實證結果顯示，一年區間預測時，因子模型和特徵模型預測股票報酬能力的比較，特徵模型的股票報酬預測能力比因子模型好。
但以五年區間預測來比較時，以五年區間預測時並不能看出那一個模型是比較好的預測模型，只能看出資本資產定價模型（CAPM）預測績效是很不佳的。摘要(英) Financial economists have extensively studied the cross-sectional stock return. Some economists consider certain factors that determine stock return. They think if there is high factor loading then the return increases and is controlled by covariance. This traditional asset pricing model is known as the “risk factor model”. Daniel and Titman argue that the stock return is more closely determined by “Characteristic model” than the risk factor model.
For this research article, American stock market data from 1963 to 2002 was used. A “buy-and-hold” method was used to examine which asset pricing model would best predict the stock return.
We compared the predictions of the stock return made by the factor model and the characteristic model. The results demonstrate that over one year the prediction of the stock return made by the characteristic model is more accurate than the prediction that the factor model.
Over five years, there was no determination as to which model would make a more accurate prediction, but it was observed that the one factor model （CAPM）made an inaccurate prediction of the stock return.關鍵字(中) ★ 因子模型
★ 特徵模型
★ 資產定價模型
★ 樣本外檢定
★ 買入持有關鍵字(英) ★ factor model
★ characteristic model
★ asset pricin論文目次 目 錄……………………………………………………………………………i
表目錄………………………………………………………………………….ii
圖目錄………………………………………………………………………....iii
第一章 緒論……………………………….………………….……………...1
第一節 研究動機………………………….……………………………...1
第二節 研究目的…………………………………………………………2
第三節 研究架構………………………………………………………....2
第二章 文獻回顧………………………………………………..…………..4
第三章 實證研究設計…………………………………………………..….7
第一節 資料來源與投資標的………………….…………….…………7
第二節 建構預測報酬模型……………………………………………..7
第三節 初步分析資產定價模型的預測績效……………...........…….13
第四節 建構檢定預測報酬績效模型…………………………………16
第五節 計算模型預測報酬的相關性…………………………………18
第四章 實證結果與分析…………………………………………………19
第一節 因子資產定價模型樣本外績效檢定（一年區間預測）………..19
第二節 特徵與因子資產定價模型樣本外績效檢定（一年區間預測）..20
第三節 因子資產定價模型樣本外績效檢定（五年區間預測）………..23
第四節 特徵與因子資產定價模型樣本外績效檢定（五年區間預測）..29
第五章 結論………………………………………………………………...33
參考文獻……………………………………………………………………..34參考文獻 中文論文:
周賓凰、劉怡芬（2000）「台灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？」，證券市場發展季刊第十二卷第一期
李文聖(2000)，「因子、特徵與資產配置」，未出版碩士論文，中央大學財務管理研究所碩士論文
侯靜怡（2004）「應用SUR 估計法於因子模型、特徵模型之資產配置－以台灣股票市場為例」，未出版碩士論文，淡江大學財務金融學系金融所碩士論文
英文論文:
Fama, Eugene F. and French, Kenneth R. (1992),”The Cross-Section of Expected
Stock Returns,”Journal of Finance 47.
Fama, Eugene F. and French, Kenneth R. (1993),”Common risk factors in the returns
on stocks and bonds, “Journal of Financial Economics 33.
James L.Davis; Eugene F.Fama; Kenneth R.French（2000）, ”Characteristics, and Average Returns：1929 to 1997，“Journal of Financial,Vo1,No.1，389-406
Kent Daniel, and Sheridan Titman (1997),”Evidence on the Characteristics of Cross
Sectional Variation in Stock Returns”Journal of Finance52.
Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, “Measuring
Mutual Fund Performance with Characteristics-Based Benchmarks, ”Journal of
Finance 52, 1035-1058.
Kent Daniel, and Sheridan Titman(1998),”Characteristics or covariances”,Journal of
Portfolio Management / Summer.
Kent Daniel, Sheridan Titman, and K. C. John Wei(2001),”Explaining the Cross-
Section of Stock Returns in Japan:factors or Characteristics?”,The Journal of
Finance. Vol .Lvi, No.2.April 2001.
Nai-Fu Chen,Richard Roll,Stephen A.Ross（1986）,”Economic Forces and the Stock Market”， Journal of Business,vol.59,no.3
Pin-Huang Chou,Wen-Shen Li,Guofu Zhou（2004），”Portfolio optimization under asset pricing anomalies”，Japan and World Economy
Sharpe, William F., (1964), “Capital Asset Prices: A theory of Market Equilibrium
under Conditions of Risk,” Journal of Finance, vol. 14.指導教授 周賓凰(Pin-Huang Chou) 審核日期 2005-7-2 推文 plurk
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