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研究生:廖士仁
研究生(外文):Liao, Shih-Jen
論文名稱:資本資產定價模型與三因子模型之分析與比較
論文名稱(外文):Some Aspects about the Capital Asset Pricing Model and Three-factor Model
指導教授:鄭宗記鄭宗記引用關係
指導教授(外文):Cheng, Tsung-Chi
學位類別:碩士
校院名稱:國立政治大學
系所名稱:統計研究所
學門:數學及統計學門
學類:統計學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:英文
論文頁數:52
中文關鍵詞:資本資產定價模型三因子模型線性混合效應模型時間序列迴歸橫斷面迴歸
外文關鍵詞:Capital Asset Pricing ModelThree-factor Modellinear mixed-effects modeltime-series regressioncross-sectional regression
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資本資產定價模型已被廣泛使用於分析股票風險與要求報酬率之間的關係。然而,個別股票風險Beta是否足以解釋其報酬,也受到愈來愈多的質疑。Fama和French在1993年提出額外兩個因子來解釋股票報酬。我們將應用資本資產定價模型和三因子模型來分析1963年7月至2002年12月之美國的三大股票交易所上市公司。藉由一次改變分析過程中的一部分,以觀察參數估計值是否穩定。結果發現Beta_HML總是顯著且最為穩定,而Beta_SMB並不顯著。Beta經常顯著,但變動情況較大。另外,我們將考慮個別股票本身的變異,亦即將隨機效果納入考量。
The Capital Asset Pricing Model (CAPM) has been widely used to analyze the relationship between risk and required rate of return on a stock, while it is doubted that individual stock's risk Beta has enough explanatory power for it's returns. Fama and French (1993) proposed two more factors to help explaining stock returns. We use the CAPM and the three-factor model to analyze listed companys in American stock exchanges, during the period from July 1963 to December 2002. We change part of the analyzing process a time to see if the estimates of the parameters are stable. The risk-premium Beta_HML is always significant and it performs most stable, while another risk-premium Beta_SMB is never significant. Beta is usually significant but it varies. Furthermore, we take within-stock variation into account, so random effects are considered.
1.Introduction 1
2.The Capital Asset Pricing Model 2
2.1.Systematic and Unsystematic Risk 2
2.2.The Capital Asset Pricing Model 3
2.3.Capital Market Line and Security Market Line 4
3.Fama and French Three-Factor Model 8
3.1.Three Common Risk Factors 8
3.2.Fama and MacBeth Two-stage Procedure 9
3.2.1.5x5 Size-BE/ME Portfolios 9
3.2.2.First-stage: Time-series Regression 10
3.2.3.Second-stage: Cross-sectional Regression 10
4.Longitudinal Data Analysis 11
4.1.Linear Mixed-effects Model 11
4.2.Parameter Estimation 12
5.Empirical Study 15
5.1.Data Description 15
5.2.Descriptive Statistics 15
5.3.Time-series Regression Analysis 19
5.4.Cross-sectional Regression Analysis 23
5.5.Linear Mixed-effects Analysis 24
6.Conclusion 25
Appendix 26
References 51
Banz, R. W. (1981) ``The Relationship between Return and Market Value of Common Stocks", Journal of Financial Economics, 9, 3-18.

Black, Fischer (1972) ``Capital Market Equilibrium with Restricted Borrowing", Journal of Business, 45, 444-455.

Brigham, E. F. and Ehrhardt, M. C. (2005) Financial Management: Theory and Practice, South-Western, Thomson.

Chou, P.-H. and Liu, Y.-F. (2000) ``The Cross Section of Expected Returns in Taiwan: Characteristics, Single Factor, or Multi Factors?", Review of Securities and Futures Markets, 45, 1-32.

Diggle, P. J., Liang, K. Y. and Zeger, S. L. (1996) Analysis of Longitudinal Data, Oxford: Clarendon Press.

Dimson, Elory (1979) ``Risk Measurement when Shares are Subject to Infrequent Trading", Journal of Financial Economics}, 7, 197-226.

Fama, E. F. and French, K. R. (1992) ``The Cross-Section of Expected Stock Returns", Journal of Finance, 47, 427-465.

Fama, E. F. and French, K. R. (1993) ``Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, 33, 3-56.

Fama, E. F. and MacBeth, J. D. (1973) ``Risk, Return, and Equilibrium: Empirical Tests", Journal of Political Economy, 81, 607-636.

Lintner, John (1965) ``The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets", Review of Economics and Statistics, 47, 13-37.

Rawlings, J. O., Pantula, S. G., and Dickey D. A. (1998) Applied Regression Analysis, New York: Springer-Verlag.

Rosenberg, Barr, Reid, Kenneth and Lanstein, Ronald (1985) ``Persuasive Evidence of Market Inefficiency", Journal of Portfolio Management, 11, 9-17.

Sharpe, W. F. (1964) ``Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal of Finance, 19, 425-442.

Stattman, Dennis (1980) ``Book Values and Stock Returns", The Chicago MBA: A Journal of Selected Papers, 4, 25-45.
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