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研究生:何柏欣
研究生(外文):Po-Hsin Ho
論文名稱:產業與股票報酬
論文名稱(外文):Industries and Stock Returns
指導教授:何耕宇何耕宇引用關係周賓凰周賓凰引用關係
指導教授(外文):Keng-Yu HoPin-Huang Chou
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:46
中文關鍵詞:展望理論資產定價模型橫斷面報酬產業
外文關鍵詞:prospect theoryasset pricing modelcross-sectional stock returnsindustry
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本論文從產業的角度,針對股票橫斷面報酬可預測性進行一系列之研究分析。本研究主要發現:首先,在資本資產定價模型 (CAPM) 的架構下,假若股票報酬只與同產業內的公司有相關,可以推導出股票隱含報酬。我們進而檢定此隱含報酬是否能夠解釋股票的「規模溢酬」 (size premium) 與「價值溢酬」 (value premium)。實證結果顯示此隱含報酬只能夠解釋百分之五的極端觀察值,而且無法解釋規模與帳面市值比的效果。

第二,我們根據產業將公司的規模與帳面市值比拆解成「產業內」與「跨產業」兩個因子,並以特徵模型進行分析;實證結果顯示:雖然兩個因子都對股票報酬具有顯著的解釋能力,但在統計檢定上此兩個因子並沒有顯著的差異。第三,我們以多因子的角度出發,利用主成分分析法 (principal component analysis)從產業投資組合中抽出五個產業解釋因子,進而檢定此五個產業因子對於股票報酬是否具有解釋能力,以及是否能夠解釋規模與帳面市值比的效果。我們發現產業因子的確能夠在規模與帳面市值比的效果之外提供解釋股票報酬的能力,但卻也無法吸收規模與帳面市值比的效果。

最後,以展望理論 (prospect theory) 為基礎,我們根據各產業的規模與帳面市值比的中位數為參考點,進一步檢視兩者在產業內是否具有不對稱性的效果;實證結果顯示股票報酬對規模與帳面市值比的關係在產業內存有不對稱性的效果。當我們以權益報酬率作為衡量經營績效之指標來檢驗此不對稱性效果是否能被權益報酬率所吸收時,我們發現此效果並不會與過去經營績效相關。

本研究的實證結果顯示股票報酬的規模與帳面市值比效果乃是獨立於產業因子之外;與Knez和Ready (1997) 的研究發現相同,亦即「小公司規模效果」其實是由百分之五的極端觀察值所影響,而這百分之五的極端觀察值有很大一部份是屬於極端正報酬的小公司。實證結果顯示同樣的現象也存在於產業內,我們更進一步發現在此現象之外,產業內存在報酬對規模和帳面市值比不對稱性的效果。
We investigate the industry aspect of cross-sectional stock returns from a few different angles. First, we test the implied returns which are related to firms of the same industry in a CAPM world. The empirical results suggest that the implied return cannot subsume the size and book-to-market equity ratio (BM hereafter) effects. Second, we examine the within- and across-industry components based on the characteristic model. The empirical results show that both the within-industry component and the across-industry component affect the stock returns. However, the difference between the within-industry component and the across-industry components are not statistically significant. Third, we extract five industry factors from the industry portfolios and examine the explanatory power of the industry factors. We find that the industry factors can provide additional explanatory power beyond size and BM, but the significance of size and BM cannot be subsumed by the industry factors. Finally, based on the prospect theory, we further investigate the asymmetric relation between return and firms' characteristics (such as size and BM) using industry median as a reference point. The empirical results reveal that, there exists an asymmetric relation between return and size and BM. Additionally, the asymmetric effect cannot be explained by the characteristics of firms' past operating performance.
1 Introduction 1

2 Literature Review 4
2.1 The Cross Section of Expected Return 4
2.2 The Empirical Results from the Industry Aspects 6
2.3 The Behavioral Finance View Point of Asset-Pricing Model 8

3 Data and Methodology 11
3.1 Data 11
3.2 Methodology 12
3.2.1 Industry Factor in a CAPM World 15
3.2.2 Within vs. Across Industry Effects in Size and Value Premium 17
3.2.3 Industries as Factors in a Multifactor World 18
3.2.4 Industries as a Behavioral Factor 20

4 Empirical Results 22
4.1 Industry Factor in a CAPM World 22
4.2 Within vs. Across Industry Effects in Size and Value Premium 24
4.3 Industries as Factors in a Multifactor World 28
4.4 Industries as a Behavioral Factor 33
4.4.1 The asymmetric effect in size and BM 33
4.4.2 The linkage to accounting fundamental 39

5 Conclusions 42

Bibliography 44
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