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姓名 黃維泰(Wei-tai Huang) 查詢紙本館藏 畢業系所 財務金融學系 論文名稱 日本市場股票報酬與總體經濟因子間關係之研究
(The Stock Return and Macroeconomic Forces in Japan)相關論文 檔案 [Endnote RIS 格式]
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摘要(中) 本論文利用Fama and MacBeth (1973)的橫斷面分析方法來分析日本市場的總體經濟變數是否被定價。此篇論文利用size建構20個投資組合及利用size與BM ratio建構25個投資組合,且嚐試利用兩種不同的預估方式,來檢驗結果是否具有敏感性,此篇結果指出日本市場中「工業生產指數」、「時間溢酬」與「匯率的變動」這三個變數被較顯著地定價。我們進ㄧ步將期間分為兩期,結果發現在景氣不好時,總體變數如同預期般會因為政府的過度干預喪失了他的解釋性。最後此篇論文中最重要的發現為,如同Shanken and Weinstein (2005) 在美國市場中所發現的結論一樣,總體因子會因為投資組合建構方式的不同而會有不同的表現。換句話說在日本市場一樣會因為研究方法上些微的改變而使得整個結果產生變化。 摘要(英) This study follows Fama and MacBeth (1973)’s cross-sectional approach to analyze the macroeconomic variables which can be priced in Japanese market. The study forms the portfolios in two ways (twenty size portfolios and twenty-five portfolios by size and BM ratio) and adopts two kinds of methods for estimation period. The period of the study is from January 1984 to December 2003. Our main results find some variables (industrial production, term spread and change in exchange rate) are significant in Japanese market. Furthermore, we separate the period into two sections. The results show that being consistent with our assumption, the macroeconomic variables lose their efficacy during recession period. Finally, the most important finding is that the results are consistent with the finding of Shanken and Weinstein (2005), which suggest that the empirical results are sensitive to alternative empirical approach. 關鍵字(中) ★ Fama-MacBeth 方法
★ 總體因子
★ 套利定價模型關鍵字(英) ★ Fama and MacBeth (1973) approach
★ APT model
★ macroeconomic variables論文目次 1. Introduction 1
2. Data and The Definition of Variables 4
2.1 Data 4
2.2 The definition of variables 5
A. Industrial Production 5
B. Unanticipated Inflation and Change in Expected Inflation 6
C. Term Spread 7
D. Default Spread 7
E. Oil Price 8
F. The Change of the Exchange Rate 8
G. Money Supply 8
3. Methodology 9
4. Empirical Results 11
4.1 Full Period Result 11
4.1.1 Five factors model (Chen, Roll and Ross) 11
4.1.2 Six Factors model 11
4.1.3 Alternative five factors model 13
4.2 Sub-period Results 14
4.2.1. Five factors (Chen, Roll and Ross) 15
4.2.2 Six factors model 15
4.2.3 Alternative five factors model 17
5. Conclusion 18
Refrence 21參考文獻 Black, F., 1972, Capital market equilibrium with restricted borrowing, Journal of Business 45, 444-455.
Chen, N.F., R. ROLL., and S.A.Ross,1986, Economic forces and the stock market, Journal of Business 59, 383-403.
Connor, G., and R. A. Korajczyk, 1986, Performace measurement with the aribitrage pricing theory: A new framework for analysis, Journal of Financial, Economics 15,373-394.
Connor, G., and R.A. Korajczyk, 1988, Risk and return in an equilibrium APT: Application of a new methodology, Journal of Financial Economics 21, 255-289.
Connor, G., and R.A. Korajczyk, 1993, A test for the number of factors in anapproximate factor model, The Journal of Finance 48, 1263-1291.
Fama, E., and Macbeth, J., 1973. Risk, return and equilibrium: empirical tests. Journal of Political Economy 81, 607-636.
Fama, E.F., and K.R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
Fama, E.F., and K.R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, E. F., and K.R. French, 1995, Size and book-to market factors in earings and returns, Journal of Finance 50, 131-155.
Fama, E.F., and K.R. French., 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84
Ferson, W., Harvey, C., 1991. The variation of economic risk premium. Journal of Finance Economic 10, 433-466.
Gibbsons, M.R., S.A. Ross, and S. Jay, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121-1152.
Lintner, John, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
Roll, R. and S.A. Ross., 1980, An empirical investigation of the arbitrage pricing theory, Journal of Financial and Quantitative Analysis 44, 29-42.
Shanken, J. and M.I. Weinstein., 2005, Economic forces and the stock market revisited, Journal of Empirical Finance 13, 129-144.
Stephen A.R., 1976, The arbitrage theory of capital asset pricing, Journal of
Economy Theory 13, 341-360.
Sharpe, F. William, 1964, Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442.
Lakonishok, J., A. Shleifer and R.W. Vishny, 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49, 1541-1578.指導教授 何耕宇(Keng-Yu Ho) 審核日期 2007-7-19 推文 plurk
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