臺灣博碩士論文加值系統

本研究主要在探討從1962年至2004年間美國市場的特徵風險。我們發現特徵風險隨著時間的演進而逐漸變大，但是各種風險在總風險中所佔的比例幾乎是固定的。接著，我們探討會影響特徵風險的各種公司特質，除了先前的研究所發現的公司規模以及股價外這兩個因素外，本研究發現股票的周轉率、前期的報酬以及公司所屬的產業這三個因素與特徵風險的關係也都是顯著的。而回歸的結果以及子區間的分析也都證實了我們的結果。

This study examines the idiosyncratic risk of U.S. stocks for the period from 1962 to 2004. The aggregated idiosyncratic risk is demonstrated to have increased with time, while the percentage of each risk component has remained relatively stable. I also examine firm characteristics affecting the idiosyncratic risk. In addition to those factors that have been identified by previous research, such as firm size and stock price level, this study finds that trade turnover, prior return, and industry classification have significant relationship with idiosyncratic risk. Alternative regression models and sub-period analysis are performed to confirm the robustness of our results.

Contents
I. Introduction 1
II. Literature Reviews 4
a. Volatility Measurement 4
b. Time Trend or Speculative Episodes 4
c. The Relationship between Average Stock Return and Average Stock Return Volatility 5
d. Why Does The Idiosyncratic Risk Become More Volatile? 6
III. Data and Methodology 9
a. Data 9
b. Volatility Measurement 10
IV. Empirical Results 15
a. The Time Trend of Volatility 15
b. Internet versus Non-internet Industry 16
c. The Determinants of Idiosyncratic Risk 17
V. Conclusion 23
References 24


Table 1. Descriptive Statistics 26
Table 2. Mean and Median Value of Each Variance Component Suggested by CLMX in Each Period 27
Table 3 Preliminary Analysis of Idiosyncratic Risk and Stock Characteristic 28
Table 4. The Performance of Idiosyncratic Risk of 32
Winner and Loser in Different Market Type. 32
Table 5. The Determinants of Idiosyncratic Risk in Different Period 33












Figure 1. Value Weighted Average Total Volatility 39
Figure 2. Market Volatility 39
Figure 3. Industry Volatility 40
Figure 4. Firm Volatiltiy 40
Figure 5. MKT, IND, FIRM MA(12) 41
Figure 6. The Bar Chart of Each Variance Component 42
Figure 7. Value Weighted Volatility MA(12) between Internet and Non-internet Industry 43
Figure 8. Compare The Idiosyncratic Risk between Winner and Loser. 43
Figure 9. Turnover Rate Effect 44
Figure 10. MB Effect 44
Figure 11. Size Effect 45
Figure 12. Price Effect 45

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