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研究生:劉振卿
研究生(外文):Chen-Ching Liu
論文名稱:衍生性金融商品交易對股票報酬影響之研究-以台灣上市公司為例
論文名稱(外文):The Impact of Corporations Use of Derivatives on the Stock Return in Taiwan
指導教授:周淑卿周淑卿引用關係
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
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:75
中文關鍵詞:CAPM四階動差模型三因子模型衍生性金融商品偏態峰態
外文關鍵詞:Three Factors ModelDerivativesKurtosisSkewnessFour-Moment CAPM Model
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本研究以CAPM模型、 Fama and French 三因子模型、CAPM四階動差模型及三因子加四階動差模型,探討2005年到2007年,694家上市公司使用衍生性金融商品,依避險或交易使用目形成投資組合條件下,以加權平均及等權平均,驗證不同模型因子對投資組合報酬率解釋力是否顯著。
經實證發現市值大公司傾向使用衍生性金融商品。平均41.9%公司以避險為目的使用衍生性金融商品,平均26.1%公司以交易為目的使用衍生性金融商品。Fama and French 三因子模型不使用特定目的(交易或避險)衍生性金融商品投資組合,以均等加權法及價值加權法異常報酬、規模因子(SMB)均具5%以上顯著性,年異常報酬13.5%-20.81%,小公司效應顯著;CAPM四階動差模型及三因子加四階動差模型對市場報酬偏態及市場報酬峰態風險報酬解釋力均不顯著。
In this study, It use CAPM model, Fama and French three factors model, four-moment CAPM model and the three factors plus the four-moment CAPM model to explain 694 listed companies in the use of derivatives from 2005 to 2007, according to the purpose of hedge or speculation they form the investment portfolio . By equal-weighted and value-weighted approach to verify the different model factors on the return of the investment portfolio is a significant explanatory power.
Evidence found by the large companies tend to use of derivatives. An average 41.9% of the corporations for the hedge purpose of the use of derivatives, with an average 26.1% of the company to use for the purpose of speculative derivatives. Fama and French three factor model does not use a specific purpose (speculation or hedge) derivatives portfolio , they have more than 5% significant about abnormal return and the size factor (SMB) by equal-weighted and value-weighted approach. They have abnormal return 13.5% -20.81% a year, and significant effects of small companies; four-moment CAPM model and three factors plus the four-moment CAPM model, they are not significant explanatory power to remuneration rewards by skewness and kurtosis of the market risk.
中文摘要
英文摘要
誌謝
目錄
表目錄
圖目錄
第一章 緒論
1.1 研究動機及目的
1.2 論文架構
第二章 文獻探討
2.1 衍生性金融商品與交易目的投資及避險會計之定義
2.2 公司使用衍生性金融商品是否增加(減少)財務風險及異常報酬
2.3 CAPM、Fama and French三因子模型、高階動差模型等解釋報酬與風險
2.3.1 CAPM 模型
2.3.2 Fama and French三因子模型
2.3.3 高階動差模型-
第三章 研究設計
3.1 研究期間、資料來源及投資組合
3.2 CAPM模型及Fama and French 三因子模型
3.3 CAPM四階動差模型VS. Fama and French三因子模型
第四章 實證分析
4.1 投資組合基本統計量分析
4.2 CAPM模型及Fama and French 三因子模型實證分析
4.2.1 CAPM 模型
4.2.2 Fama and French 三因子模型
4.3 CAPM四階動差模型VS. Fama and French 三因子模型實證分析
4.3.1 CAPM四階動差模型
4.3.2 Fama and French三因子模型VS. CAPM四階動差模型
第五章 結論與建議
參考文獻
附錄一 常態分佈的定義
附錄二 Skewness
附錄三 Kurtosis
附錄四 Value at risk
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