臺灣博碩士論文加值系統

摘要
近年來有許多公司因營運不善而發生財務危機，最後導致下市或停止交易，讓投資大眾蒙受損失，因此公司的違約風險已成為關注，如何運用適當的評價模型去有效地掌握公司可能違約的情形是個值得探討的議題。以往傳統的資本資產評價模型 (Capital Asset Pricing model，CAPM) 中，只考量了系統風險因素，隨後Ross (1976) 研究發現影響股票報酬的因素其實有很多，單純的系統風險因素無法完全解釋股票報酬。後續Fama and French (1993) 進一步發展了三因子模型來捕捉CAPM模型的遺漏值。近期Vassalou和Xing(2004)的研究則檢驗美國市場發現，違約風險因子是系統性風險，並且認為應將Fama and French三因子模型中加入違約因子。但在台灣公司的違約風險是否為系統性風險？為了找出一個納入以公開資訊為主的違約風險參數，容易操作的公司信用風險模型，並且探討台灣上市櫃公司的違約風險是否為系統性風險。本研究將利用台灣上市櫃股票為樣本，運用CAPM模型、Fama and French三因子模型與Fama and French三因子模型外加違約因子，形成修正四因子模型來檢驗，此外我們也將槓桿因子、動能因子與流動因子加入我們修正四因子模型中，形成七因子模型，最後使用一般動差估計法 (generalized moment method；GMM) 在系統性的迴歸中進行估計。
本研究實證結果顯示Fama and French三因子模型對股票報酬的解釋能力優於CAPM模型，修正四因子模型對股票報酬的解釋能力優於Fama and French三因子模型，違約風險對公司股票報酬有很好的解釋能力，七因子模型對股票報酬的解釋能力優於修正四因子模型，在一般動差估計法的系統性迴歸中，違約風險與股票報酬成正向顯著，表示台灣公司信用違約風險是系統性風險。

Abstract
In recently year, many companies under poor operation cause financial failure. It would lead to stocks delisting or trading cessation, and infer investors to bear loss. Therefore, the company's default risk is concerned, so it’s an worthy and interesting issue what is appropriate evaluation model effectively to fit the company’s default scenario. The traditional model of CAPM only considers the factor of system risk. Ross (1976) finds that there are many factors that affect stock returns. Because simple system risk can’t explain stocks return completely. Furthermore, Fama and French(1993) develop the three-factor model to capture missing factors of CAPM model. The recent study of Vassalou and Xing (2004) find that default risk factor in American stock market is the system risk. They further think that the default risk adds to Fama and French model. However, is Taiwan's default risk systemic risk? In this study, we investigate whether the default risk of systemic risk or not. This study use the Taiwan listed stocks as samples and adopt CAPM, Fama and French three-factor model and adjusted four-factor model to test our proposition. In addition, we also augment leverage factor, momentum factor and liquidity factor to form our seven-factor model. Finally, apply GMM estimation method (generalized moment method, GMM) to estimate the systematic regression.
The our empirical results show Fama and French three-factor model explains the ability of stock returns better than the CAPM. The adjusted four-factor model explains the ability of stock returns than Fama and French three-factor model so the default risk of the company stock returns have a good explanatory power. In generalized moment method of systematic regression, default risk and stock returns present significantly positive, default risk can explain stock return, it means the Taiwanese company is the systemic risk of credit default risk.

目錄
摘要 I
Abstract III
致謝 IV
目錄 V
表目錄 VI
圖目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第二章 文獻探討 6
第一節 評價模型理論之相關文獻 6
第二節 公司信用違約風險之相關文獻 8
第三章 研究方法 11
第一節 資料來源及研究期間 11
第二節 公司信用違約風險 12
第三節 資產評價 14
第四節 一般動差估計法(generalized moment method；GMM) 15
第四章 實證分析 19
第一節 敘述性統計 19
第二節 CAPM迴歸 23
第三節 Fama and French三因子迴歸 26
第四節 修正四因子迴歸 29
第五節 七因子迴歸 32
第六節 系統性迴歸 35
第五章 結論 39
參考文獻 40

表目錄
表4-1 獨立變數的敘述性統計與相關係數 20
表4-2 27個投資組合敘述性統計 22
表4-3 27個投資組合的個別CAPM迴歸 24
表4-4 27個投資組合的個別Fama-French 三因子迴歸 27
表4-5 修正四因子模型的27投資組合迴歸 30
表4-6 修正四因子模型增加槓桿因子、動能因子與流動因子的27投資組合迴歸 33
表4-7 一般動差估計法分別估計資產評價模型 37

圖目錄
圖1-1 研究流程圖 5

參考文獻
中文文獻
汪子淵，日本股票市場的因子探討，未出版碩士論文，國立東華大學國際經濟研究所，民國九十一年，花蓮。
蔡富全，利用線性及非線性模型檢定台股指數期貨及其現貨領先落後關係，未出版碩士論文，私立銘傳大學應用統計資訊研究所，民國九十八年，台北。
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