臺灣博碩士論文加值系統

本研究以中國大陸1996年7月至2005年6月間上海與深圳A股股票為研究對象，參考了過去的研究，選定了五個較有可能影響股價報酬的因子，分別為前期Beta、總市值、淨值市價比、動能、週轉率，試著找出何者對本研究對象有解釋能力，且探討是否可以被Fama -French的三因子模型所解釋，研究結果如下：(1)中國股票市場有顯著的市場規模效應、淨值市價比效應與週轉率效應。(2)市場規模較低、淨值市價比較高、週轉率低所形成的投資組合其超額報酬率，都不能完全被他們的市場β值所解釋，在市場風險下，都有正的異常溢酬，只能說明與市場超額報酬有關，但還有其他影響因子存在。(3)仿照Fama and French(1993)的研究方法，利用市值因子(SMB)、淨值市價比因子(HML)與市場超額報酬，建構出的三因子模型，只能解釋市場規模與淨值市價比投資組合的超額報酬，卻無法解釋週轉率投資組合的超額報酬。(4)週轉率因子是一個異於Fama-French三因子之外對股價報酬有顯著解釋能力的因子。

Referring to the past studies, we choose the stock market of Shanghai and Shenzhen from July 1996 to June 2005 as the object and five more influential factors in the return of stock, which are pre-ranking beta, size, book-to-market ratios(B/M), momentum, and turnover respectively, trying to find out which of them could analyze the object and whether to be explained by Fama-French three factor asset pricing model or not. The results are as follows: (1) The China stock market has remarkable size effect, book-to-market ratios effect and turnover effect. (2) The excess return of the portfolio of the investment with smaller size, the higher book-to-market ratios and lower turnover couldn’t be explained by their market’s beta. Even so, under market risk, they still have positive risk-premium which we may illustrate they have some reference to market excess return, but there exist the other factor.(3) Following the Fama –French three factor asset pricing model (1993), the three factor model, a structure of SMB, HML and market excess return could only explain the excess return of the portfolio of size and B/M; the turnover could not be explained. (4) The turnover factor which has remarkable explanation to stock return is a factor out of Fama –French three factor asset pricing model.

目次
中文摘要..........................................................i
英文摘要....... ..................................................ii
目次........... ....................................................iii
表目次............................................................. iv
第一章 緒論....................................................1
第一節 研究背景與動機....................................1
第一節 研究背景與機.......................................1
第二節 研究架構..............................................1
第二章 文獻探討............................................. 4
第一節 效率市場之相關研究..............................4
第二節 異常現象的文獻探討..............................5
第三節 中國大陸與國內相關文獻探討.................7
第三章 研究設計.............................................10
第一節 研究期間、選樣標準及資料來源.............10
第二節 變數衡量.............................................10
第三節 研究方法.............................................12
第四章 實證結果.............................................15
第一節 迴歸分析.............................................15
第二節 各因素影響的動態投資組合分析.............16
第三節 投資組合的迴歸分析.............................16
第五章 結論與建議..........................................18
參考文獻........................................................34

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