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研究生:劉穎臻
研究生(外文):Ying-JhenLiou
論文名稱:評價模型之比較-根據澳洲與印尼上市櫃公司
論文名稱(外文):The Comparison of Pricing Models Based on the Listed Companies in Australia and Indonesia
指導教授:李宏志李宏志引用關係賴秀卿賴秀卿引用關係
指導教授(外文):Hong-Zhi LiHong-Zhi Li
學位類別:碩士
校院名稱:國立成功大學
系所名稱:財務金融研究所
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:2010
畢業學年度:98
語文別:英文
論文頁數:67
中文關鍵詞:淨值市價比三因子模型財務破產風險財務警示模型四因子模型股價報酬結構
外文關鍵詞:book-to-marketFama and Frenchthree-factor modelO-scorefinancial distress riskfour-factor modelstock return structure
相關次數:
  • 被引用被引用:0
  • 點閱點閱:189
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
這篇文章主要在探討: 評價模型在澳洲跟印尼實證結果的比較。眾多學者對HML是否能捕捉到風險因子、進而影響報酬沒有定論 (Fama and French, Dichev, Griffin and Lemmon等),但澳洲、印尼兩國的實證結果顯示O-score 與B/M (淨值市價比) 並非代表相同的風險因素,同時,Fama-French三因子並沒有捕捉到大部分影響報酬的因素。另外我們還應用Carhart動能因子及財務破產風險四因子模型(Lai et al.,2010) 形成兩個四因子的迴歸、動能與財務破產因子形成五因子模型,其中代表破產因子的是O-score。動能因子在印尼較為顯著,但對澳洲沒有顯著影響。破產因子在兩個國家都比較具解釋能力,因此,我們認為在這四個評價模型當中,財務破產風險四因子模型(Lai et al.,2010)在澳洲與印尼較具代表性。
The main purpose is focusing on the comparison of pricing models based on the evidence in stock market of Australia and Indonesia. Previous scholars (Fama and French, 1996, Lakonishok,Shleifer, and Vishny, 1994, Dichev, 1998, Griffin and Lemmon, 2002, etc.) have no final conclusion whether HML captures distress risk or affects variation of return . But the evidence shows O-score containing different senses from B/M ratio in Australia and Indonesia. In addition, we consider three-factor model is not a complete model because it doesn’t cover the majority of factors in return. By adding distress risk factor (O-score) to Fama-French three-factor model, we stimulate a distress risk four-factor model (Lai et al., 2010). Also, we run the five-factor regression, which combines the Fama-French model with momentum factor and distress risk factor. At the same time, we contrast distress risk four-factor model with Carhart momentum four-factor model. We find the momentum factor is significant in the model of Indonesia only. Oppositely, four-factor model with O-score possesses better explanatory capability in Australia and Indonesia. Therefore, we evidence the distress risk four-factor model (Lai et al., 2010) may be more complete in the four types of pricing models in Australia and Indonesia.
CHAPTER 1 INTRODUCTION 1
1.1 MOTIVATION AND BACKGROUND OF THE STUDY 1
1.2 CONTRIBUTIONS 4
1.3 STRUCTURE OF THE STUDY 4
CHAPTER 2 LITERATURE REVIEWS 5
2.1 SIZE EFFECT AND BOOK-TO-MARKET PREMIUM 5
2.2 MOMENTUM FACTOR AND THE RELATIONSHIPS BETWEEN DISTRESS RISK AND FIRM PERFORMANCE 6
2.2.1 Momentum Factor 6
2.2.2 Financial Distress Factor 7
CHAPTER 3 DATA AND METHODOLOGY 8
3.1 DATA AND PERIOD OF STUDY 8
3.2 METHODOLOGY 9
3.2.1 The 15 Portfolios Sorted by Probability of Financial Distress (O-score) and B/M 9
3.2.2 Asset Pricing Models 12
3.2.3 Other Assistant Statistical Methods 14
CHAPTER 4 EMPIRICAL RESULTS AND ANALYSIS 15
4.1 SUMMARY STATISTICS OF FIRMS’ CHARACTERISTICS 15
4.2 O-SCORE , B/M RATIO , AND RETURN 20
4.3 TO FIND THE MORE COMPLETE PRICING MODEL 24
4.3.1 Three-Factor Regression of Fama and French 24
4.3.2 Carhart Four-Factor Regression with Momentum Factor 32
4.3.3 Four-Factor Regression with Financial Distress Risk Factor 40
4.3.4 Five-Factor Regression 48
CHAPTER 5 CONCLUSIONS AND SUGGESTIONS 58
5.1 CONCLUSIONS 58
5.2 SUGGESTIONS 62

REFERENCE 64


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