臺灣博碩士論文加值系統

本文主要目的在研究臺灣股票市場報酬率與可能解釋因素間之關係，研究期間為民國七十一年七月至八十七年六月，以月資料進行實證分析。實證內容包括三部分，首先以25個Size-BE/ME投資組合之排序後月報酬率與相對應期間之經濟變數、股票市場因子進行時間序列迴歸分析；接下來將第一部分所得之投資組合因素負載量分派至各年度所形成之投資組合中的各股，作為解釋變數，以各公司超額報酬當作被解釋變數進行橫斷面迴歸分析；最後進行橫斷面風險貼水時間序列平均值t檢定，以判別哪些變數能夠解釋股票橫斷面報酬。
實證時分別依據CAPM模式、CRR總體經濟模式、公司特徵相關因子進行研究，最後再綜合上述模型，觀察變數間解釋能力之消長。公司特徵因素則分別採用Fama & French（1992）與Fama & French（1993）之定義。
結果顯示CAPM模式為臺灣股票定價之最佳模型，期望報酬與市場Beta間確實存在線性關係，且Beta為解釋橫斷面期望報酬的唯一因子；CRR模式及採用特徵模型或因子模型之公司特徵皆則無法解釋股票橫斷面報酬。

In this study, we employ the cross-sectional and time-series approaches to analyze Taiwan stock returns determinants during July 1982 to June 1998.
In our time-series regression, we use monthly post-ranking returns of 25 stock portfolios which formed by size and book-to-market equity as the dependent returns and macroeconomic factors of Chen, Roll & Ross（1986）、 market index and SMB、HML stock factors of Fama & French（1993）as the explanatory returns.
Then allocate the full-period post-ranking betas（estimations of exposure）of a Size-BE/ME portfolio to each stock in the portfolio. These betas were used as the independent variables in cross-sectional regressions, with individual''s excess stock return being the dependent variable.
At last, we test whether the time-series means of estimates of associated risk premium is significantly different from zero or not to identify the stock returns determinants.
The empirical results of this study suggest that for Taiwan stocks, market beta is the only factor that proxies for the nondiversified risk of a security, none of CRR model、FF（1992） characteristics model and FF（1993） factor model can explain the differences in average risk premiums across stocks, i.e. CAPM is still alive in Taiwan stock market.

第一章 緒論…………………………………………………………… 1
第一節 研究動機與目的………………………………………… 1
第二節 研究範圍與限制………………………………………… 4
第三節 研究架構………………………………………………… 5
第二章 文獻探討……………………………………………………… 7
第三章 研究設計……………………………………………………... 11
第一節 選樣設計………………………………………………... 11
第二節 變數定義…………………………………………….….. 14
第三節 實證程序與模型…………………………………….….. 26
第四節 研究方法與假說…………………………………….….. 29
第四章 實證結果與分析…………………………………………..… 32
第一節 樣本資料概況……………………………………….….. 32
第二節 實證結果分析…………………………………….…..… 34
第五章 結論與建議………………………………………………..… 41

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