臺灣博碩士論文加值系統

本研究主要利用淨值市價比差異(價值股的淨值市價比減去成長股的淨值市價比)、市價淨值比差異(成長股的市價淨值比減去價值股的市價值淨值比)和價差(淨值市價比差異取log減去市價淨值比差異取log)去預測股票報酬率，研究期間為1994年6月至2007年6月之月資料。此外，我們並將樣本期間分別以景氣循環週期及多空頭期間加以區分，藉以探討價差與兩者的關係。實證結果顯示，在以價值股與成長股報酬率作為應變數時，淨值市價比差異與未來報酬為正向關係的假說是不成立的，而市價淨值比差異與未來報酬為反向關係的假說是成立的，價差並不能預測股票報酬率的假說也是成立的。另外也發現景氣循環與價差兩者呈現反向變動關係，且沒有明確的趨勢可顯現多、空頭時期與價差變動方向的關係。

This paper uses monthly sample from June 1994 to 2007 June. We use the book-to-market spread (the book-to-market of value stocks minus the book-to-market of growth stocks), the market-to-book spread (the market-to-book of growth stocks minus the market-to-book of value stocks) and value spread (log book-to-market spread minus log market-to-book spread) to predict stock returns. In addition, we use two ways (business cycle date and the bull and bear) to classify sample period. The empirical evidences show that when the returns of value stock and growth stock are dependent variable, the book-to-market spread predicting future returns with a negative sign, the market-to-book spread predicting future returns with a negative sign and the hypothesis of value spread with weak predictive power for future returns was supported. It is found that the relationship of business cycle and value spread is negative and the relationship of the bull and bear and value spread is not obvious.

圖目錄 V
表目錄 V
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第貳章 文獻回顧 6
第一節 CAPM文獻 6
第二節 CAPM異常現象文獻 8
第參章 研究方法 21
第一節 資料來源、樣本選取標準及研究期間 21
第二節 變數定義及衡量方法 23
第三節 研究假說建立 26
第四節 迴歸分析 28
第五節 檢定方法 30
第肆章 實證結果 32
第一節 敘述統計分析 32
第二節 變數相關性分析 34
第三節 單根檢定與自我相關分析 36
第四節 景氣循環、多空頭階段不同與價差關係之結果 37
第五節 假說迴歸結果 38
第伍章 結論 47
第一節 實證結論 47
第二節 研究限制 48
第三節 研究建議 48
參考文獻 49
一、中文部份 49
二、英文部份 50








圖目錄
圖1-1 研究架構圖 5
圖4-1 淨值市價比差異(SBM)趨勢圖 35
圖4-2 市價淨值比差異(SMB)趨勢圖 35
圖4-3 價差(S)趨勢圖 35
圖4-4 價差(S)與景氣循環關係圖 45
圖4-5 價差(S)與多、空頭時期關係圖 46



表目錄
表3-1 台灣景氣循環基準日期 22
表4-1 敘述統計表 32
表4-2 變數相關表 34
表4-3 單根檢定表 36
表4-5 景氣循環與價差之變動方向 37
表4-6 多、空頭時期與價差之變動方向 38
表4-7 假說一結果 38
表4-8 假說二結果 38
表4-4 變數自我相關表 41
表4-9 價差(S)與各個報酬率之關係 42
表4-10 淨值市價比差異(SBM)與各個報酬率之關係 43
表4-11 市價淨值比差異(SMB)與各個報酬率之關係 44

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