臺灣博碩士論文加值系統

基於證券市場本質可能遭受許多經濟與非經濟因素的干擾，尤其就台灣股市而言波動度更略為明顯，其中包含國內外公佈之經濟數據、外資銀行對景氣展望、股市炒作行為、甚至國內政黨因素都會造成股市波動甚劇，並且台灣股市投資人結構特殊，自然人(散戶)投資比例偏高，其投資決策極易受到市場消息而改弦易轍，使得臺灣股市的波動性更加劇烈，就該層面而言即須有國家金融安定基金的制定與有必要存在的原因，然而本研究將針對國家金融安定基金於2008年台灣股市因美國金融風暴造成重挫影響，經由國安基金委員會授權進行市場護盤，本研究對該授權期間，針對動用國安基金購買之台灣股市標的進行深入探討，首先使用Fama and French (1992)三因子模型檢測投資標的中是否存在市場風險溢酬(RMF)、規模溢酬(SMB)、市值淨價比溢酬(HML)的顯著影響，並導入Carhart (1997)提出之動能策略(momentum strategy)對資產報酬具有顯著的影響，將三因子模型再加入動能因子，形成了四因子模型，本研究將更進一步探討上述因子間造成上市公司股價報酬的影響，最後在以同時期國內投資一般型股票之共同基金績效進行評估。

This study is to discuss the performance of National financial stabilization fund and mutual fund during the 2008 U.S. Financial Crisis, and review in greater detail the cumulative abnormal return of National Financial Stabilization Fund.
First, we use Fama and French (1992) three-factor model discussing whether RMF, SMB and HML have significant impact, then lead in the significant effect that momentum strategy proposed by Carhart (1997 ) for return on stock return. Four-factor model is formed by adding momentum factor into three-factor model. This study will make further discussion on how above factors caused stock returns of listed companies. Last, Comparison in the same period National Financial Stabilization Fund and mutual fund performance.

目錄
摘要.......................................i
Abstract ..................................ii
誌謝.......................................iii
目錄.......................................iv
表目錄.....................................vi
圖目錄.....................................vii
壹、緒論...................................1
貳、文獻回顧...............................3
参、研究方法...............................7
第一節、研究假說...........................8
一、市場風險溢酬因子.......................8
二、規模因子...............................8
三、淨值市價比因子........................10
四、動能因子..............................11
第二節、模型變數..........................12
肆、資料來源..............................15
第一節、資料來源..........................15
第二節、Pearson相關係數檢定...............18
第三節、實證模型..........................19
伍、實證結果 .............................20
第一節、Fama and Frenchn三因子實證結果....20
第二節、Carhart實證結果...................21
第三節、國安基金持有期間之累積異常報酬....22
第四節、國安基金釋股方案..................23
第五節、共同基金績效......................25
陸、結論與建議............................28
參考文獻 .................................30

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