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研究生:蔡佳吟
研究生(外文):Jia-yin Tsai
論文名稱:可分散風險與股票報酬:亞洲市場的證據
論文名稱(外文):Idiosyncratic volatility and equity returns: Evidence from Asian stock markets
指導教授:廖永熙廖永熙引用關係
指導教授(外文):Yung-hsi Liao
學位類別:碩士
校院名稱:南華大學
系所名稱:財務金融學系財務管理碩士班
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:2011
畢業學年度:99
語文別:中文
論文頁數:90
中文關鍵詞:可分散風險系統風險金融海嘯股票報酬
外文關鍵詞:Equity returnsFinancial tsunamiIdiosyncratic volatilitySystemic risk
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  風險與報酬一直是投資者關心的問題,本文以單因子模型與三因子模型計算出股票報酬,藉由迴歸分析探討亞洲股市(日本、台灣、南韓、香港、泰國、新加坡)可分散風險與報酬之間的關係。研究時間由2000年1月1日至2010年6月30日,由於研究期間包含金融海嘯,因此探討金融海嘯後可分散風險和系統風險是否有所改變。研究結果發現:
 
  一、在GSC模型(Goyal and Santa-Clara 2003)的估計結果下,在均等加權與小規模公司之可分散風險除了新加坡有正相關外,其餘國家之各個可分散風險皆為負相關。而在單因子模型的估計結果,在台灣的小規模公司之可分散風險與新加坡之均等加權與小規模公司之可分散風險為正相關外,其餘之各個可分散風險皆為負相關。最後在三因子模型的估計結果發現,在香港的小規模公司之可分散風險與新加坡之均等加權、小規模公司、系統風險與高低市值帳面為正相關外,其餘之各個可分散風險皆為負相關。
 
  二、在金融海嘯期間:GSC模型(Goyal and Santa-Clara 2003)的估計結果,日本與新加坡對於小規模公司的可分散風險來看有著正向的顯著性,而對於大規模公司的可分散風險則有負向的顯著性。在單因子模型下估計結果,日本、香港與新加坡受到大小規模公司的可分散風險有顯著性。在三因子模型下估計結果,日本與新加坡對於小規模公司的可分散風險有著正向的顯著性,而對於大規模公司的可分散風險則有負向的顯著性。
  Risk and return has been a concern of investors, the paper examines a single factor model and three factor model to calculate stock returns by regression analysis of Asian stock markets (Japan, Taiwan, South Korea, Hong Kong, Thailand ,Singapore) between idiosyncratic volatility and equity returns relationship. From January 1, 2000 to June 30, 2010, the addition of dummy variables study idiosyncratic volatility and systemic risk change. The results:
 
  In the GSC(Goyal and Santa-Clara 2003) model of the estimates, in the equal-weighted and market value of small to idiosyncratic volatility in addition a positive significant in Singapore, other countries have negative correlation to idiosyncratic volatility. In the capital asset pricing model estimates, Taiwan’s small market value of small to risk diversification and Singapore’s equal-weighted and small market value of idiosyncratic volatility is positively related, the other of idiosyncratic volatility is negative related. Finally, the estimated three-factor model found that a small market capitalization in Hong Kong and equal weighting, small market value, systematic risk, high and low book value in Singapore are positively related, the other of the idiosyncratic volatility are negatively correlated.
 
  During the financial tsunami: In the GSC(Goyal and Santa-Clara 2003) model of the estimates results, Japan and Singapore for the small market value idiosyncratic volatility has a significant positive, while for large market value of idiosyncratic volatility be a significant negative. In the capital asset pricing model estimation results, Japan, Hong Kong and Singapore can be idiosyncratic volatility by the size of the market value have significant effects. In the three-factor model estimation results, Japan and Singapore for the small market value idiosyncratic volatility has a positive significant, and for idiosyncratic volatility can be a large market value are significant negative.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
 
第二章文獻回顧 6
第一節 可分散風險之相關文獻 6
第二節 資本資產定價模型相關文獻 8
第三節 Fama and French三因子模型和可分散風險之相關文獻 10
 
第三章 研究方法 12
第一節 資料來源及研究期間 12
第二節 研究方法及模型介紹 12
 
第四章 實證結果 16
第一節 基本統計量 16
第二節 迴歸估計結果41
第二節 探討金融海嘯(加入虛擬變數)之估計結果 62
 
第五章 結論與建議 86
第一節 結論 86
第二節 後續研究與建議 88
 
參考文獻 89
中文文獻
 
1. 李昌霖,“公司個別風險對台灣股市之影響”, 國立東華大學企業管理學系碩士論文, 民國九十七年。
 
2. 林天中(1998)“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”,國立清華大學經濟學研究所碩士論文,民國八十七年。
 
英文文獻
 
1. Ang, A., Hodrick, R.J., Xing, Y., and Zhang, X. (2006). “The cross-section of volatility and expected returns” The Journal of Finance, vol.61, pp.259-299.
 
2. Angelidis, T., and Tessaromatis, N. (2008). “Idiosyncratic volatility and equity returns:UK evidence” International Review of Financial Analysis, vol.17, pp.539-556.
 
3. Bali, T.G., Cakici, N., Yan, X., and Zhang, Z. (2005). “Does idiosyncratic risk really matter?” The Journal of Finance, vol.2, pp.905-929.
 
4. Beneda, N., and Zhang, Y. ( 2009). “Heterogeneous relationship between IPO return and risk across idiosyncratic variance characteristics.” The Quarterly Review of Economics and Finance, vol.49, pp.1298-1316.
 
5. Black, F. (1972). “Capital market equilibrium with restricted borrowing.” The
Journal of Business, vol.45, pp.444-455.
 
6. Brown, D. P., and Ferreira M. A. ( 2004) “Information in the Idiosyncratic volatility of small firms” EFA 2004 Maastricht Meeting Paper.
 
7. Campbell, J.Y., Lettau M., Malkiel B.G., and Xu Y. (2001). “Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk.” Journal of Finance, vol.56(1), pp.1-43.
 
8. Campbell, J. Y., and Yogo, M. (2006). “Efficient tests of stock return predictability.” Journal of Financial Economics, vol.81(1), pp.27-60.
 
9. Drew, M. E., and Veeraraghavan M. (2002). “A Closer Look at the Size and Value Premium in Emerging Markets Evidence from the Kuala Lumpur Stock Exchange.” Asian Economic Journal, vol.16, pp.337-351.
 
10. Drew, M.E., Naughton, T., and Veeraraghavan, M. (2004). “Is idiosyncratic volatility priced? Evidence from the Shanghai Stock Exchange.” International Review of Financial Analysis, vol.13, pp.349-366.
 
11. Fama, E. F., and French, K. R. (1988). “Dividend yields and expected stock returns.” Journal of Financial Economics, vol.22, pp.3-25.
 
12. Fama, E. F., and French, K. R. (1989). “Business conditions and expected returns on stocks and bonds.” Journal of Financial Economics, vol.25, pp. 23-49.
 
13. Fama, E. F., and French, K. R. (1992). “The Cross-Section of Expected Stock Returns.” The Journal of Finance, vol.47, pp.427-465.
 
14. Fama, E. F., and French, K. R. (1993). “Common risk factors in the returns on stocks and bonds.” Journal of Finance Economics, vol.33, pp.3-56.
 
15. French, K. R., Schwert, G.W., and Stambaugh, F. R. (1987) “Expected stock returns and volatility.” Journal of Financial Economics, vol.19, pp.3-29.
 
16. Goyal, A., and Santa-Clara, P. (2003). “Idiosyncratic risk matters!” The Journal of Finance, vol.3, pp.975-1007.
 
17. Guo, H., and Savickas, R. (2003). “Idiosyncratic volatility, stock market volatility and expected stock returns.” Working paper. Federal Reserve Bank of St. Louis.
 
18. Guo, H., and Savickas, R. (2010). “Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns.” Journal of Banking and Finance, vol.34, pp.1637-1649.
 
19. Levy, H. (1978). “Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio.” American Economic Review, vol.68, pp.643-658.
 
20. Lintner, J. (1965a) “The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets.” Review of Economics and Statistics, vol.47, pp.13-37.
 
21. Sharpe, W.F. (1964) “Capital asset prices: A theory of market equilibrium under conditions of risk.” Journal of Finance, vol.19, pp.425-442.
 
22. Malin, M. and Veeraraghavan, M. (2004). “On the Robustness of the Fama and French Multifactor Model Evidence from France, Germany and the United Kingdom.” International Journal of Business and Economics, vol.3, pp.155-176.
 
23. Malkiel, B.G., and Xu, Y. (1997). “Risk and return revisited.” Journal of Portfolio Management, vol.23, pp. 9-14.
 
24. Malkiel, B. G., and Xu, Y. (2002). “Idiosyncratic risk and security returns.” Working Paper, University of Texas at Dallas.
 
25. Merton, R. C. (1987). “A simple model of capital market equilibrium with incomplete information.” Journal of Finance, vol.42, pp.483-510.
 
26. Schwert, W. G. (1989). “Why does stock market volatility change over time?” Journal of Finance, vol.44, pp.1115-1153.
 
27. Taylor, N. (2008). “Can idiosyncratic volatility help forecast stock market volatility?” International Journal of Forecasting, vol.24, pp.462-479.
 
28. Wei, S.X., and Zhang C. (2005). “Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities” Journal of Banking and Finance, vol.29, pp.603-621.
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