臺灣博碩士論文加值系統

風險(β係數)與報酬間的關係一直是投資人所關心的議題，Pettengill, Sundaram, and Mathur (1995)發現兩者的關係會受到市場超額報酬為正或為負的影響。在此，本文主要是在考量市場為多頭與空頭下，探討其風險與報酬的不對稱關係是否會依然存在。在此，以美國30大產業投資組合為研究對象，研究期間從1997年10月27日至2006年12月31日，其實證結果發現，市場超額報酬正且多頭下，β係數與報酬有顯著正相關；市場超額報酬為負且空頭下，β係數與報酬呈無顯著負相關；市場超額報酬為正且空頭下，β係數與報酬為無顯著正相關；最後，市場超額報酬為負且空頭下，β係數與報酬是顯著負相關。

Investors always care about the issue of the relationship between of risk (beta cof-ficient) and return. Pettengill, Sundaram, and Mathur (1995) discovered that their rela-tionshup would be affected positive (negative) excess market return. Therefore, this the purpose of this paper is to think about its asymmetry relationship of risk and return un-der the bull market and bear market whether it exists or not. For this reason, the study of subject is taken advantage of French (2008) about American top 30 industries portfolios and research time is from 27/10/1997 to 31/12/2006. The findings are: first, in the posi-tive excess market return and bull market both beta coefficient and return are significant positive relationship; second, in the negative excess market return and bull market both beta coefficient and return are insignificant and negative relationship; third, in the posi-tive excess market return and bear market both beta coefficient and return are insignifi-cant and positive relationship; finally, in the negative excess market return and bear market both beta coefficient and return are significant and negative relationship.

內容目錄
中文摘要　．．．．．．．．．．．．．．．．．．．．．． iii
英文摘要　．．．．．．．．．．．．．．．．．．．．．． iv
致謝詞　　．．．．．．．．．．．．．．．．．．．．．． v
內容目錄　．．．．．．．．．．．．．．．．．．．．．． vi
表目錄　　．．．．．．．．．．．．．．．．．．．．．． vii
第一章　　緒論．．．．．．．．．．．．．．．．．．．． 1
第二章　　文獻探討．．．．．．．．．．．．．．．．．． 5
　　第一節　　β係數穩定性與不穩定．．．．．．．．．． 6
第二節 雙β模型之探討．．．．．．．．．．．．． 10
第三節 牛市與熊市之定義．．．．．．．．．．．． 15
第三章 研究方法．．．．．．．．．．．．．．．．．． 18
第一節 資本資產定價理論．．．．．．．．．．．． 18
第二節 報酬與β值之關係．．．．．．．．．．．． 20
第三節 雙β模型．．．．．．．．．．．．．．．． 21
第四節 報酬與β值不對稱關係．．．．．．．．．． 23
第四章 實證結果．．．．．．．．．．．．．．．．．． 25
第一節 資料與樣本．．．．．．．．．．．．．．． 25
第二節 非條件下之分析．．．．．．．．．．．．． 26
第三節 不同市場狀態分析．．．．．．．．．．．． 28
第五章 結論．．．．．．．．．．．．．．．．．．．． 35
參考文獻．．．．．．．．．．．．．．．．．．．．．．． 38
附錄A 美國30大產業．．．．．．．．．．．．．．．． 44
附錄B 30大產業系統風險直方圖．．．．．．．．．．． 45
表目錄
表 4-1 30大產業之系統風險值．．．．．．．．．．．．．． 27
表 4-2 非條件下β與報酬之關係．．．．．．．．．．．．．． 28
表 4-3 多頭與空頭之配對t檢定．．．．．．．．．．．．．． 29
表 4-4 市場超額報酬為正與負之配對t檢定．．．．．．．．． 29
表 4-5 多頭與空頭之估計係數．．．．．．．．．．．．．．． 30
表 4-6 市場超額報酬為正與負之估計係數．．．．．．．．．． 31
表 4-7 多頭與市場超額報酬為正、負之配對t檢定．．．．．． 31
表 4-8 空頭與市場超額報酬為正、負之配對t檢定．．．．．． 32
表 4-9 市場超額報酬為正與負下之多頭、空頭估計係數．．． 33

一、中文部份

呂寶珍(2000)，與時變動市場系統風險之估計－臺灣股票市場之實證，高雄第一科技大學財務管理所未出版之碩士論文。

李俊緯(2000)，台灣股市β係數穩定性之研究－Nonparametric Kernel Method之應用，實踐大學企業管理研究所未出版之碩士論文。

許時淦(2000)，公司貝它值與權益成本估計之研究，東海大學管理研究所未出版之碩士論文。

楊踐為，陳玲慧(1997)，臺灣股票之系統風險與無風險利率於不同景氣市場時之穩定性探討，企銀季刊，21(3)，57-72。

蔡佳賓(2000)，公司貝他值估計之研究－期別與離群效果，東海大學企業管理學系未出版之碩士論文。

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