臺灣博碩士論文加值系統

本文將Fama-French three-factor 模型改寫為PSTR 的架構，並以金融科技借貸利率為轉換變數，估計零售銀行股價報酬的非線性動態情形，以及金融科技借貸利率對於股價報酬與三因子連結的潛在差異性效果。實證上，採用 2015 年第一季到 2017 年第四季的 240 家美國零售銀行為對象，共計 2880 筆縱橫資料。實證結果顯示：
1.零售銀行股價報酬呈現非線性平滑轉換的過程，門檻值分別為金融科技借貸利率位於 22.32% 與27.75%。
2.市場、規模與價值等三因子對股價報酬的影響是顯著的，方向則是不確定，決定於金融科技借貸利率位於不同的水準。
3.投資人應逐期觀察 P2P 借貸利率的變化，以作為調整投資決策之參考。當金融科技借貸利率小於 22.32% 或大於 27.75% 時，市場溢酬、規模溢酬與價值溢酬均為正值，以持有小規模與價值型零售銀行為有利；反之，當金融科技借貸利率介於22.32% 與 27.75% 之間時，三種溢酬均為負值，以持有大規模與成長型零售銀行為有利。
4.絕大多數的樣本資料顯示，P2P 借貸利率介於 22.32% 與 27.75% 之外。

This paper rewrites the Fama-French three-factor model to the PSTR framework and uses the FinTech lending rate (FTLR) as the transition variable to estimate the nonlinear path of retail banks’ stock returns and the threshold effect of FTLR on the linkage between the stock returns and their three drivers. Empirically, a total of 2,880 observations are used for 240 US retail banks from 2015: Q1 to 2017: Q4. The empirical results show that:
1.The retail banks’ stock returns show a nonlinear smooth transition process, with two thresholds of FTLRs being 22.32% and 27.75%.
2.The impact of the three factors on the stock returns is significant, but the direction is uncertain, depending on the different levels of FTLRs.
3.When the FTLR is less than 22.32% or greater than 27.75%, the market premium, scale premium, and value premium are positive, holding small-scale and value retail banks is beneficial; otherwise, holding large-scale and growth retail banks is beneficial.
4.The vast majority of sample data support to hold small-scale and value retail banks.

摘要
Abstract
致謝
目錄
表目錄
圖目錄
第壹章 緒論
第一節 研究背景與動機
第二節 研究目的
第三節 研究流程與架構
第貳章 文獻回顧
第一節 P2P 借貸與傳統銀行借貸的替代與互補關係
第二節 資產定價模型
第參章 實證模型
第一節Fama & French 三因子模型
第二節PSTR 縱橫平滑轉換模型
第肆章 檢定方法
第一節 非線性單根檢定
第二節 線性檢定與無剩餘非線性檢定
第伍章 實證結果
第一節 資料說明
第二節 非線性單根檢定
第三節 實證結果
第陸章 結論與政策建議
第一節 政策建議
第二節 結論與建議
參考文獻

表目錄
表 5-1 敘述統計分析
表 5-2 非線性單根檢定－Emirmahmutoglu and Omay (2014)
表 5-3 線性模型估計結果
表 5-4 線性檢定結果
表 5-5 無剩餘非線性檢定結果
表 5-6 PSTR 模型估計結果

圖目錄
圖 1-1 研究架構流程
圖 3-1 m=1 邏輯型轉換函數
圖 3-2 m=2 指數型轉換函數

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