博碩士論文 108458021 詳細資訊




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姓名 蔡采潤(Tsai Jun, Tsai)  查詢紙本館藏   畢業系所 財務金融學系在職專班
論文名稱
(Do high capital expenditure companies outperform low capital expenditure companies in the long term?)
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摘要(中) Fama and French (2015)在三因子模型中加入營利因子及投資因子後,大幅增加了對股票報酬的解釋力,但該論文中也發現對高資本支出、低盈利能力的小公司來說,存在負數的超額報酬。
本研究證實在台灣股票市場中高資本支出比率的公司確實享有超額報酬,並且傾向為大規模的公司。此現象在高研發支出比率的公司則有不同的結果,實證結果顯示高研發支出比率的公司並沒有超額報酬的現象,也無大規模的特性。
摘要(英) Fama and French (2015) added profit factors and investment factors to their original three factor model to create a five factor model, which greatly increased the prediction accuracy of stock returns. However, their paper also found negative extra returns for small companies with high capital expenditures and low profitability. This study confirms that companies with high capital expenditures in the Taiwan stock market actually enjoy excess returns, and tend to be large companies, but the companies with high R&D expenses do not experience excess returns and do not have the characteristic of large scale.
關鍵字(中) ★ 五因子模型
★ 資本支出
關鍵字(英) ★ Fama and French
★ five factor model
★ capital expenditure
論文目次 Abstract i
Acknowledgements iii
Table of Contents iv
Index of Tables v
Index of Figures vi
1. Introduction 1
2. Literature Review 3
i. Evolution of the Pricing Model 3
ii. Findings Pertaining to the Taiwan Market 4
3. Data Selection and Methodology 6
4. Results of Empirical Analysis 10
i. The Three Factor Model 10
ii. The Five Factor Model 13
iii. Investment Factor Regression Results 16
iv. The Revised Three Factor Model 17
5. Conclusion 19
References 22
參考文獻 Projected GDP Ranking. (2021, March 16). StatisticsTimes.com. https://statisticstimes.com/economy/projected-world-gdp-ranking.php
Sharpe, W., 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19, 425–442.
Rolf W. Banz., 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9, 3-18.
Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
Fama, E., French, K., 2015. A five-factor asset pricing model. Journal of Financial Economics 116, 1-12.
Fama, E., French, K., 2017. International test of a five-factor asset pricing model. Journal of Financial Economics 123, 441-463.
Titman S., Wei C., Xie F., 2013. Market development and asset growth effect: international evidence. Journal of Financial and Quantitative Analysis 48, 1405-1432.
Wang, H. P., & Chung, L. Y., 2017. The application of factor models in Taiwan’s stock market.
Hung, J. C., Li, G. N., Tsai, Y. S., 2013. The effect of capital expenditure on stock prices – a case study on Taiwan Semi-conductor industry. DOI: 10.6285/MIC.2(1).14, 187-198.
指導教授 徐政義(Cheng Yi, Shiu) 審核日期 2021-6-10
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