臺灣博碩士論文加值系統

資本資產定價模型在股票市場被廣範的使用。本研究目的旨在實證大中華區的資產訂價模型，包含台灣、上海、深圳和香港，研究期間針對西元2001年6月1日到2013年6月30日。本研究採用傳統的CAPM模型，三因子模型以及四因子模型在四個地區的研究。我們的實證發現，在所有的樣本市場都有市場溢價和規模溢價，然而價值溢價和動能僅出現在台灣和深圳的大型股。局部的規模-B/M投資組合中的模型測試都是失敗的，僅上海市場規模-動能投資組合的三種資產定價模型是成功。

The capital asset pricing model has been applied widely in stock markets. This study empirically examines asset pricing of stock markets among Greater China Region, including Taiwan, Shanghai, Shenzhen, and Hong Kong, covering thesample period fromJune 1, 2001 to June 30, 2013. This study employs the asset pricing models of the traditional CAPM, three-factor model, and four-factor model in the four regions. Our empirical results suggest the prevalence of market premium and size premium in all sample markets, howevervalue premium and momentumonly appear in big stocks of Taiwan and Shenzhen. Local models are failed in tests on portfolios formed on size-B/M.Only Shanghai market shows successful for the three asset pricing models in tests on portfolios formed on size-momentum.

目錄
中文摘要………………………………………………………………………………ⅰ
英文摘要………………………………………………………………………………ⅱ
目錄……………………………………………………………………………………ⅲ
圖目錄…………………………………………………………………………………ⅳ
表目錄…………………………………………………………………………………ⅴ

第壹章 緒論………………………………………………………………1
第一節 研究背景與研究動機……………………………………………1
第二節 研究目的…………………………………………………………2
第三節 論文架構…………………………………………………………3
第貳章 文獻回顧…………………………………………………………6
第一節 Fama and French 三因子模型及四因子模型之探討…………6
第二節 整合股票市場之探討……………………………………………17
第參章 研究方法…………………………………………………………24
第一節 研究期間與資料選取……………………………………………24
第二節 Fama and French 三因子模型及四因子模型…………………26
第肆章 實證結果與分析…………………………………………………34
第一節 解釋性報酬………………………………………………………34
第二節 4x4 組合的超額報酬……………………………………………37
第三節 對規模-B/M 組合的資產定價測試.……………………………40
第四節 對規模-動能組合的資產定價測試.……………………………47
第伍章 結論………………………………………………………………54
參考文獻 ……………………………………………………………………………56

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