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研究生:陳柏助
研究生(外文):PoChu Chen
論文名稱:台灣股票市場股票報酬之時間序列研究
論文名稱(外文):The Time Series Analysis of the Stock Returns in the Taiwan Stock Exchange
指導教授:郭維裕郭維裕引用關係
指導教授(外文):Weiyu Kuo
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:英文
中文關鍵詞:資產評價股票異常報酬規模效果淨值市價比動量流動性效果多因子評價模型
外文關鍵詞:asset pricingmarket anomaliessize effectbook-to-market ratiomomentumliquidity effectmuiti-factor pricing model
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本論文採用Fama and French[1993]所提出之三因子模式為基礎,以公司規模[firm size]、帳面淨值市價比[book to market ratio]、及市場超額報酬[market excess return]為三因子,配合動能因子[momentum]及三種不同的流動性指標[成交量,成交值,成交量週轉率]來延伸探討五因子的時間序列資產定價模式。
本文的研究資料為西元1992年1月到西元2000年12月間的452家上市公司週資料,期望能解釋月資料所無法包含的資訊內涵。
結論:
1.台灣股票市場確實有規模效果,淨值市價比效果,動能效果,及流動性效果。
2.市場因子具有解釋能力。
3.小公司投資組合解釋效果不佳,在台灣股票市場可能有其他因素未放入評價模式中驗證。
4.流動性指標在台灣股票市場上,確實和股票報酬有負向的關係存在,且建議以成交量週轉率作為流動性的代表指標。
5.台灣股票市場有顯著的動能存在,投資者可藉由動能策略獲得更高的超額報酬。
This article provides evidence that stock returns listed in the Taiwan Stock Exchange do have shared variation due to the “market anomalies”, such as size, book-to-market ratio, momentum, and liquidity, which have been argued by scholars and investment professionals for many years. The evidence shows that small-cap effect plays an important role in explaining the violation in stock returns after controlling for other determinants of stock returns. Besides, value, momentum, and liquidity effect do exist in the Taiwan stock market. Moreover, we suggest that turnover rate is a better proxy for liquidity in terms of its stronger relations with the stylized portfolio returns. We empirically estimate the intercepts of our asset-market models using weekly time-series data for individual securities over the sample period from 1992 to 2000 and across 452 securities. To emphasize particularly, our result does not imply that the Taiwan stock market is not an efficient market.
第一章緒論………………………………………………………..3
第二章研究資料……………………………………………………10
第三章研究方法……………………………………………………15
第四章實證結果……………………………………………………18
第五章結論與建議…………………………………………………27
參考文獻………………………………………………………………30
附錄……………………………………………………………………33
參考文獻:
1. 陳建良,民國83年,‘我國股票市場異常現象之實證研究’,國立交通大學管理科學研究所碩士論文
2. 金傑敏,民國85年,‘公司規模、權益帳面價值對市價比、前期報酬及系統風險對股票報酬之影響’,私立淡江大學金融研究所碩士論文
3. 余招賢,台灣股票市場風險、規模、淨值/市價、成交量周轉率與報酬之關係,國立交通大學管理科學研究所碩士論文,民國86年。
4. 杜幸樺,民國87年,‘影響台灣股票報酬之共同因素與企業特性之研究─Fama-French三因子模式、動能策略與交易量因素’,國立中山大學企業管理研究所碩士論文
5. 林天中,「台灣股票市場三因子:系統風險、公司規模及淨值市價比實證研究」,國立清華大學經濟研所碩士論文,民國87年6月。
6. 林志龍,「臺灣證券市場股票價格過度反應之實證研究」,東吳大學管理學研究所碩士論文,民國81年。
7.  金傑敏,「公司規模、權益帳面價值對市值比、前期報酬及系統性風險對股票報酬之影響,淡江大學金融研究所碩土論文,民國84年。
8.  施純玉,「淨值市價比效果之探討」,國立台灣大學財務金融學研究所碩士論文,民國86年6月。
9.  翁弘林,「臺灣股市中異常現象之實證研究─以月份效應為例」,國立中興大學企管研究碩士論文,民國83年。
10. 張國平,「台灣股票市場三因子:市場風險、公司規模及淨值市價比實證研究」,國立清華大學經濟研究所碩士論文,民國87年6月。
11. 劉玉珍,「最後進出喊價價差與股票報酬的關係」,國立中山大學企業管理研究所未出版碩士論文,民國七十七年六月。
12. 胡星陽,1998,「流動性對台灣股票報酬率的影響」,中國財務學刊Vol.5,No.4,792-809。
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