臺灣博碩士論文加值系統

本研究探討台灣股票市場股票報酬的解釋因素，進而推導出台灣股票市場
之多因子資產訂價模式。研究期間自民國73年 5月至民國82年 4月，選取
六項因素：系統風險、規模、帳面價值、帳面價值與市場價值之比值、盈
價比、股利殖利率進行分析。橫斷面分析採用Fama-MacBeth迴歸，將所有
時點的迴歸斜率進行統計檢定，以判別那些是顯著的解釋因素；時間序列
分析採用Black，Jensen & Scholes 迴歸，判定所形成的迴歸式能否完整
地描述平均股票報酬的橫斷面，進而確定適合台灣股票市場的資產訂價模
式。經由實證研究發現： 1.規模和盈價比為解釋台灣股票市場報酬之主
要解釋因素，其中盈價比是能獨立解釋股票報酬的因素，規模為其餘因素
的替代指標。 2.以規模、盈價比和市場因素結合所形成之三因子資產訂
價模式較適於台灣股票市場之應用，其中市場因素解釋投資組合報酬與無
風險報酬之間的差異；規模和盈價比因素解釋了各投資組合報酬之間的差
異。

This paper discusses the explainational factors of stock return
in the Taiwan Stock Exchange(TSE) and produces the multi-
factor asset pricing model in the TSE. The period of the
studies is from May 1984 to April 1993. I select six factors
which contain system risk,size,book value,book value to market
value ratio,earning to price ratio,and dividend yield and
analyse. Cross-section analyses adapt the Fama-MacBeth
regression, run the statistical test of the regressional slopes
in all time, and judge which factors are significant. Time-
series analyses adapt Black, Jensen & Scholes regression to
judge whether the regression can describe the cross-section of
average stock return completely and to determine the asset
pricing model in the TSE. This paper finds: 1.Size and earning
to price ratio are the major explanation- al factors in the
TSE. Earning to price ratio can explain stock return
independently and size is the proxy of other factors. 2.Three-
factor(size,earning to price ratio,and market) asset pricing
model fits the empirical application in the TSE. Market factor
explains the difference of the portfolio''s return and free-risk
asset''s return. Size factor and earning to price ratio factor
explain the difference of the portfolios'' return.