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研究生:邵靜瑋
研究生(外文):Ching-Wei Shao
論文名稱:股票報酬與現金流量風險因子關係研究-以台灣股票市場為例
指導教授:張大成張大成引用關係
學位類別:碩士
校院名稱:東吳大學
系所名稱:國際經營與貿易學系
學門:商業及管理學門
學類:貿易學類
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:60
中文關鍵詞:現金流量風險值Fama and French三因子模型
外文關鍵詞:Cash-Flow-at-the-RiskFama and French Three Factor Model
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本研究利用Stein et al(2001)所提出的top-down 法來計算現金流量風險值,並利用回溯測試來判斷本模型的準確性。並進一步探討市場風險因子、規模、淨值市價比與現金流量風險因子對台灣上市股票報酬之影響,並分析現金流量風險因子是否為系統性風險。實證結果發現台灣上市股票市場不具有規模與淨值市價比效果;而在控制規模下,不具有現金流量風險的效果;而在控制淨值市價比
下,在中與低淨值市價比的投資組合中具有現金流量風險的效果。另外,將現金流量風險因子納入Fama and French(1993)的三因子模型中,研究結果發現市場風險溢酬、規模溢酬、淨值市價比溢酬對股票報酬皆具有顯著的解釋能力;然而,只有在納入信賴水準99%的現金流量風險溢酬的模型中,可發現現金流量風險因子為系統性風險。
My study refer to the method of Stein et al(2001) to calculate the cash-flow-at-risk(CFaR) and try to use back-testing to judge the accuracy of the model. Further, I try to asses the effect of market risk, size, book-to-market, and
cash-flow-at-risk on public-listed equity return. And measuring whether cash-flow-at-risk is system risk. The result shows that size and book-to-market effect do not exist in different cash-flow-at-risk portfolio;when controlling the size, there are no cash-flow-at-risk effect; However, when controlling the book-to-market, only in medium and low book-to-market portfolio have cash-flow-at-risk effect. Besides,we put the factor of cash-flow-at-risk into the Fama and French three factors model,the result shows that market risk、size and book-to-market could significantly explain
the stock return. But only the model which including the cash-flow-at-risk at 99% confidence level, we can find the cash-flow-at-risk is systematic risk.
目錄

第壹章 前言 1
第貳章 研究方法 7
第一節 現金流量風險值模型 7
一、現金流量風險值的定義 7
二、現金流量風險值的建構步驟 8
第二節 回溯測試 11
第三節 四因子的定價模型 12
一、變數之定義與衡量 12
二、投資組合分析法 13
三、四因子模型的建構及迴歸分析 14
第四節 樣本範圍與期間 17
第參章 實證 18
第一節 敘述統計 18
第二節 現金流量風險值 21
第三節 現金流量風險值之回溯測試 23
第四節 投資組合分析 24
一、規模效果 24
二、淨值市價比效果 29
三、現金流量風險效果 33
第五節 Fama-MacBeth橫斷面分析 40
一、第一階段迴歸分析 40
二、第二階段迴歸分析 45
第肆章 結論與建議 51
參考文獻 52
參考文獻
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