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研究生:呂耿光
研究生(外文):Ken-Kuang Lu
論文名稱:非系統性風險與橫斷面股價預期報酬--台灣股票市場之實證
論文名稱(外文):Idiosyncratic Volatility and the Cross Section of Expected Returns : Evidence from Taiwan
指導教授:黃一祥黃一祥引用關係
指導教授(外文):I-Hsiang Huang
學位類別:碩士
校院名稱:國立高雄大學
系所名稱:金融管理學系碩士班
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:2009
畢業學年度:97
語文別:中文
論文頁數:49
中文關鍵詞:公司特有風險系統風險分散風險股價報酬
外文關鍵詞:Idiosyncratic volatilitySystem riskDiversificationStock return
相關次數:
  • 被引用被引用:6
  • 點閱點閱:871
  • 評分評分:
  • 下載下載:151
  • 收藏至我的研究室書目清單書目收藏:3
近幾年來,公司特有風險在解釋股價報酬中所扮演的角色受到越來越多的注意。當投資人無法持有一個市場投資組合時,此時公司特有風險需要給予理性投資人相對的補償。本文主要檢驗公司特有風險與橫斷面股價報酬之間的關係。研究採取Xu and Malkiel(2003)直接分解法,其可以使用模型的殘差項來估計出公司特有風險,藉此來研究公司特有風險的特性。本研究採用日股價報酬資料做為樣本來估計公司特有風險變數,觀察公司特有風險是否對於股價報酬具有解釋能力。研究期間取自1986年7月至2007年6月之股票月內交易日,共計252個月的資料。在使用Fama and MacBeth (1973)迴歸方法將公司特有風險與股票超額報酬做迴歸分析之後,發現其在解釋股票超額報酬上,具有顯著的正向關係。本研究發現與Spiegel and Wang(2005)以及Fu(2009)的研究結果一致。
The roles played by idiosyncratic risk in determining stock returns have recently received a great deal of attention. If some investors can’t hold the market portfolio, the idiosyncratic risk could be priced to compensate rational investors for an inability to hold the market portfolio.This paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. I use Xu and Malkiel (2003) the direct decomposition method, it could be simply to estimate idiosyncratic volatility using residuals from a factor model. And I can use it to observe the characteristics of idiosyncratic risk. In this study, I use within-month daily data to calculate idiosyncratic volatility based on market model. The period covered in this study is from July 1986 to June 2007.Use Fama and MacBeth (1973) regression model, I find that idiosyncratic volatility is useful in explaining cross- sectional expected returns. I find a significant positive relation between idiosyncratic volatility and the cross-sectional expected returns. The study result is consist with Spiegel and Wang (2005) and Fu (2009).
目 錄
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 研究貢獻 5
第四節 研究流程 6
第五節 研究架構 7
第二章 文獻探討 8
第一節 公司特有風險估計相關文獻 8
第二節 公司特有風險與股票報酬關係之相關文獻 10
第三節 其它控制變數相關文獻 13
第三章 研究方法 16
第一節 研究樣本與資料來源 16
第二節 研究變數定義與來源 19
第三節 公司特有風險的估計 22
第四節 迴歸模型建立 24
第四章 實證結果分析 25
第一節 敘述性統計 25
第二節 資料控制分組檢驗 28
第三節 迴歸分析結果 32
第五章 結論與建議 37
第一節 結論 37
第二節 研究限制與建議 38
參考文獻 39

表目錄
表 3 1 樣本期間內樣本公司家數 18
表4 1各研究期間總風險與非系統性風險平均值與中位數 27
表4 2 總風險變數因子經控制變數高低分組: 30
表4 3獨特性風險因子經控制變數高低分組: 31
表4 4報酬率與公司特有風險等變數之間的關係 34


圖目錄
圖 1 1 研究流程圖 6
圖 4 1股價指數與風險變數時間趨勢圖 36
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黃一祥 (2009),「人力所得、條件資本資產評價模式、及橫斷面股票報酬」,《財務金融學刊》,第17卷第1期,41-74頁。
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1. 方智強、姚明慶 (1998),「台灣上市公司的淨值市價比現象」,《管理學報》,第15卷第3期,367-391頁。
2. 方智強、姚明慶 (1998),「台灣上市公司的淨值市價比現象」,《管理學報》,第15卷第3期,367-391頁。
3. 周賓凰、劉怡芬 (2000),「台灣股市橫斷面報酬解釋因子:特徵、單因子、或多因子?」,《證券市場發展季刊》,第12卷第1期,1-32頁。
4. 周賓凰、劉怡芬 (2000),「台灣股市橫斷面報酬解釋因子:特徵、單因子、或多因子?」,《證券市場發展季刊》,第12卷第1期,1-32頁。
5. 胡星陽 (1998),「流動性對臺灣股票報酬率的影響」,《中國財務學刊》,第5卷第4期,1-19頁。
6. 胡星陽 (1998),「流動性對臺灣股票報酬率的影響」,《中國財務學刊》,第5卷第4期,1-19頁。
7. 黃一祥 (2009),「人力所得、條件資本資產評價模式、及橫斷面股票報酬」,《財務金融學刊》,第17卷第1期,41-74頁。
8. 黃一祥 (2009),「人力所得、條件資本資產評價模式、及橫斷面股票報酬」,《財務金融學刊》,第17卷第1期,41-74頁。
9. 黃一祥、王元章、何加政、許嘉惠 (2003),「台灣股市系統性風險之估計及橫斷面預期報酬之分析」,《財務金融學刊》,第11卷第3期,1-33頁。
10. 黃一祥、王元章、何加政、許嘉惠 (2003),「台灣股市系統性風險之估計及橫斷面預期報酬之分析」,《財務金融學刊》,第11卷第3期,1-33頁。