規模和帳面市值比之探究:因子與特徵觀點

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姓名

李秋芬(Chiu-Fen Lee) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

規模和帳面市值比之探究:因子與特徵觀點
(On Factor- and Characteristic- Based Explanations of Size and BM Anomalies)

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摘要(中)

我們呈現一個資本資產定價模型的架構且使用不同的分組方法推導出隱含報酬率。使用Fama-MacBeth (1973)之橫斷面迴歸檢定：是否規模和帳面市值比是被包含在這隱含報酬率。檢驗結果發現，在某些分組方法下的隱函報酬率於1981年之後有顯著的解釋能力。然而，此隱含報酬率仍然無法將規模與帳面市值比的效果所涵蓋。除此之外，我們也利用特徵模型所推估的期望報酬與三因子模型的因子係數跑橫斷面回歸，我們發現特徵模型所推導出的期望報酬更具有解釋能力。儘管如此，規模和帳面市值比效果仍然無法被三因子模型和特徵模型所解釋。

摘要(英)

We show a CAPM framework and use different sorting ways to derive implied returns. We take advantage of Fama-MacBeth (1973) cross-section regression to test whether size and BM are included into this implied return. The results display that the implied return only has significantly explaining power under some sorting ways in post-1981 period. However, it can not subsume size and BM effects. In addition, we also make use of the expected return which is derived from Characteristic model and three-factor loadings to run cross-section regression. We find that the characteristic model has greater explaining power than three-factor model. Nevertheless, size and BM effects cannot be absorbed by the factor or characteristic model.

關鍵字(中)

★ 特徵模型
★ 三因子模型
★ 資產定價模型
★ 橫斷面迴歸
★ 帳面市值比
★ 規模

關鍵字(英)

★ BM
★ Cross-Section Regression
★ Factor Model
★ Asset Pricing Model
★ Characteristic Model
★ Size

論文目次

1. Introduction..............................................................................................................1
2. Data ...........................................................................................................................4
3. The Role of Size and BM in a CAPM Setting........................................................6
3.1. Methodology ..................................................................................................6
3.2. Empirical Results ..........................................................................................9
4. The linkage to the Three Factor model and Characteristic model....................12
5. Conclusion ..............................................................................................................14
References...................................................................................................................16
Appendix.....................................................................................................................18

參考文獻

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指導教授

周賓凰(Pin-Huang Chou)

審核日期

2006-6-19

推文