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研究生:李弘揚
研究生(外文):Hung-Yang Li
論文名稱:風險值與股票報酬相關性之研究-多因子模型之應用
論文名稱(外文):The Relations between Value at Risk and stock return - Applications of MultiFactor Model
指導教授:洪進朝洪進朝引用關係
學位類別:碩士
校院名稱:長榮大學
系所名稱:經營管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:70
中文關鍵詞:風險值預期報酬橫斷面迴歸三因子模型
外文關鍵詞:Value at Riskexpected returncross-sectional regressionthree factor models
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摘要

資本資產訂價模型(CAPM)一直以來被廣泛的應用在衡量風險與投資報酬方面,然而在CAPM模型中使用市場風險(β)來解釋預期報酬,目前在實證上還存在許多爭議。近年來風險值(VaR)日漸受到學術界的重視,在實務上也被廣泛的應用在金融相關產業,因為風險值不同於其它衡量風險的方法,是在於它明確地量化了投資決策時所需承擔的風險。
本研究主要探討風險值對股票報酬之關係,以2002年1月至2006年12月間台灣股票市場上市公司為樣本進行實證分析,根據Fama and MacBeth(1973)之橫斷面迴歸分析,測試風險值與預期股票報酬之間是否具有相關性,再以Fama and French(1992)三因子模型為基礎,再加上風險值因子所形成之四因子來解釋台灣股票市場的報酬。
研究結果發現,股票報酬與風險值間具有高度的正相關,且發現風險值衡量風險較市場風險(β)佳;在參考Fama and French(1992)所建構的25個投資組合所進行的迴歸分析中發現,在加入風險值因子後對於迴歸模型能提供額外的解釋能力,顯示在加入風險值因子之後,使我們能更準確的預測股票報酬。
Abstract
All the time Capital Assets Pricing Model(CAPM)extensive application in weighing the risk and investing return. There are a lot of disputes on the real example at present, about use the market risk (Beta) in the CAPM to explanation expectancy return.
In recent years Value at risk(VaR)receives the attention of the academia and practical realm. It is also applied to the relevant industries of finance. Because value at risk is different from other methods of measurement risk-It digitizes the risk. This way make investor understand how many risk are needed while carrying on investment decision.
This research discusses the relation the stock return of value at risk. An Empirical Analysis of Taiwan Stock Exchange Corporation listed company while using from January of 2002 to December of 2006. According to Fama and MacBeth(1973)Cross section regression testing the relation between value at risk and expected stork return. And then with the Fama and French(1992)three factor model, in addition, value at risk factor form fourth factor model to explain return of Taiwan stock market.
The result of study finds the stock return and value at risk has strong positive correlation. And find risk value weighs the risk better than the market risk(β). Consulting Fama and French(1992)to constructing 25 portfolio and find while regression analyzing, that the model can offer extra explanation ability to the regression model after add to value at risk factor. Express it after add to the value at risk factor, the expected stock return enabling us to be more accurate.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第二章 文獻探討 7
第一節 系統風險相關文獻探討 7
第二節 Fama and French三因子模型相關文獻探討 11
第三節 公司特徵值因素之相關文獻 16
第四節 國內相關文獻 20
第五節 風險值概述與文獻 23
第三章 研究方法 27
第一節 資料來源與變數說明 27
第二節 多因子模型 33
第三節 風險值 36
第四章 實證分析與結果 44
第一節 資料來源及實證分析流程 45
第二節 常態性檢定 49
第三節 相關分析 51
第四節 迴歸分析 54
第五章 結論與建議 61
第一節 結論 61
第二節 建議 63
第六章 參考資料 64
一、中文文獻 64
二、英文文獻 66
一、中文文獻
1.王冠婷(民95)財務限制會影響公司系統風險嗎。台灣管理學刊, 6(1), 頁59-84。
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3.台灣金融研訓院編譯委員會(民93)。風險管理。台北市:麥格羅希爾。
4.余招賢(民86)。台灣股票市場風險、規模、淨值/市價比、成交量週轉率與報酬之關係。未出版之碩士論文,國立交通大學管理科學研究所。
5.吳欣桐(民89)。風險值(Value at Risk)在台灣股市的應用--股票與認購權證投資組合之實證分析。國立中正大學國際經濟研究所碩士論文。
6.李春旺、劉維琪、高孔廉(民78)。股價行為與規模效應:台灣股票市場實證研究。管理評論,頁99-121.
7.李麗華(民88)。風險值應用於資產分配之研究-以股票市場為例。國立東華大學企業管理研究所碩士論文。
8.杜幸樺(民88)。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。未出版碩士論文,國立中山大學企業管理研究所。
9.周大慶、沈太白、張大成、敬永康、柯瓊鳳合著(民91)。風險管理新標竿-風險值理論與應用。台北市:智勝文化。
10.林天中(民86)。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。未出版之碩士論文,國立清華大學經濟學研究所。
11.林建廷(民90)。台灣股票市場因子探討。未出版碩士論文,國立東華大學國際經濟研究所。
12.金傑敏(民85)。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。
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14.陳建良(民83)。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。
15.陳惠萍(民87)。股票橫斷面之橫斷面分析-以台灣與上海股票市場為例。未出版碩士論文逢甲大學企業管理研究所。
16.陳榮昌(民91)。台灣股票報酬之結構分析。國立中山大學財務管理研究所碩士論文。
17.陳耀茂(民93)。共變異數構造分析。台北市:鼎茂。
18.黃姿霏(民93)。Fama三因子模式在台灣股票市場之再檢驗。樹德科技大學經營管理研究所碩士論文。
19.黃昭祥(民81)。台灣股市公司規模、本益比、殖利率與價格效應交互作用之實證研究。國立中正大學財務金融研究所碩士論文。
20.劉亞秋、黃理哲及劉維琪(民83)。台灣股市報酬率決定因素實證分析。證券暨金融市場之理論與實務研討會論文集,中山大學管理學院財務管理系所編印,頁32-45。
21.蘇虹朵(民92)。風險值在台灣股市之衡量與驗證。世新大學財務金融研究所碩士論文。
22.顧廣平(民83)。漲跌幅與公司規模對股票報酬之影響-台灣股票市場之實證研究。國立交通大學管理科學研究所碩士論文。
二、英文文獻
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