套利訂價模型中未知因子之分析：全球實證研究

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姓名

蔡宗廷(Tsung-Ting Tsai) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

套利訂價模型中未知因子之分析：全球實證研究
(Analyzing the Unknown Factors in the APT Model: International Evidence)

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摘要(中)

套利訂價理論隱含了預期報酬是經濟體中風險溢酬的線性組合。然而，最適因子數目與因子的內涵卻仍有爭議。而我們的研究在於檢驗能夠解釋時間序列股票報酬的因子。首先我們利用Connor and Korajczyk (1986, 1988) 所提出的主成分分析法從個股報酬中萃取因子，並使用Bai and Ng (2002) 所提出的六個模型選擇準則來決定最適因子數目。最後，我們將萃取出來的主成分與實證上常用的因子做比較，包括市場因子，Chen-Roll-Ross (1986) 的總體經濟因子，Fama and French (1993) 的SMB 與HML，Carhart (1997) 的動能因子和Lettau and Ludvigson (2001) 所提出的cay 因子。我們發現市場報酬的解釋能力明顯優於其他因子，且Fama and French (1993) 所提出的因子也有很好的解釋能力。

摘要(英)

Arbitrage pricing theory (APT) implies that the expected return is approximately a linear function of the risk premiums in the economy. However, the optimal number of factors and essence of them are left as an open question. Our study examines the factors that explain time-series stock returns. We first apply asymptotic principle components proposed by Connor and Korajczyk (1986, 1988) to extract factors from stock returns and determine the optimal number of factors by six criteria suggested by Bai and Ng (2002). We then compare the CK factors with several commonly-used factors, such as market portfolio, Chen, Roll and Ross (1986 macroeconomic variables, Fama and French (1993) SMB and HML, Carhart’s (1997) momentum factor and cay factor suggested by Lettau and Ludvigson (2001). We find that market portfolio dominates other factors in explaining CK factors, and Fama-French factors also play important roles in our empirical results.

關鍵字(中)

★ 主成分分析法
★ 因子模型
★ 套利訂價理論

關鍵字(英)

★ APT
★ Asymptotic Principle Components
★ Factor Model

論文目次

1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 Methodology . . . . . . . . . . . . . . . . . . . . . . . . 5
2.1 Asymptotic Principle Components . . . . . . 5
2.2 Number of Factors . . . . . . . . . . . . . . . . . . 6
2.3 Regression Models . . . . . . . . . . . . . . . . . . 7
3 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.1 US Data . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.2 UK Data . . . . . . . . . . . . . . . . . . . . . . . . . . .9
3.3 Japanese Data .. . . . . . . . . . . . . . . . . . . . . 10
4 Construction of Variables . . . . . . . . . . . . . . 10
4.1 Fama-French Three Factors . . . . . . . . . . . 11
4.2 Momentum Factor . . . . . . . . . . . . . . . . . . 12
4.3 Chen-Roll-Ross Macroeconomic Factors . 12
4.4 Lettau and Ludvigson CAY . . . . . . . . . . . 13
5 Empirical Results .. . . . . . . . . . . . . . . . . . . . 14
5.1 US Results . .. . . . . . . . . . . . . . . . . . . . . . . 14
5.2 UK Results . . . . . . . . . . . . . . . . . . . . . . . . 16
5.3 Japanese Results . . . . . . . . . . . . . . . . . . . . 18
5.4 Robustness Test . . . . .. . . . . . . . . . . . . . . . 19
5.5 Interpretation . . . . . . . . . . . . . . . . . . . . . . 21
6 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . .23
Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
A. Estimation of CAY . . . . . . . . . . . . . . . . . . . 28
B. AIC and BIC Criteria . . . . . . . . . . . . . . . . . 29

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指導教授

何耕宇、徐之強
(Keng-Yu Ho、Chih-Chiang Hsu)

審核日期

2006-6-20

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