臺灣博碩士論文加值系統

本篇研究嘗試去檢驗股票報酬波動率與特異波動率之間的關係，我們發現股票報酬波動率中特異波動率占有相當大的比例，這樣的情形於CAPM、Fama-French三因子與Q-theory (Chen et al. (2011))等資產定價模型當中都相當一致。本研究定義特異波動率除以股票報酬波動率為無法觀察資訊程度(Level of Unobserved Information(簡稱為 LUI))，實證結果顯示當公司有較低的會計管理裁量權、較低的實質選擇權價值以及較低的資訊不對稱，LUI會顯著地隨著時間經過而降低會，本研究的結果說明投資者會因為學習效果而使得LUI有顯著的下降，這樣的情形在控制公司特徵因素之後依然不變。LUI於1990年代明顯增加，而於2000年以後開始下降。

This study tests the relationship between stock return volatility and idiosyncratic volatility. Using asset pricing models, including CAPM, Fama-French and Q-factor models, we find that idiosyncratic volatility constitutes great portion of return volatility. Data support that Level of Unobserved Information (hereafter LUI), which is equal to idiosyncratic volatility divided by return volatility, declines more significantly over time when firms have lower managerial discretion, lower value of real option, and lower information uncertainty. Our results suggest that LUI is significantly decrease duo to learning. The relations persist after we control for size, book-to-market, illiqudity, investment and profitability factors. LUI increases in the 1990s and then decreases in the 2000s.

ABSTRACT........................ .i
ACKNOWLEDGEMENTS................iii
CONTENT...........................v
LIST OF FIGURES..................vi
LIST OF TABLES..................vii
1. Introduction ............1
2. Literature review ........5
2.1 Factor models ...........5
2.2 Idiosyncratic volatility..6
2.3 Learning..................12
3. Data and methodology.....14
3.1 Data......................14
3.2 Fama-French three-factor model.......15
3.3 Q-theory model ......................16
3.4 Definition of Level of Unobserved Information.....................................19
3.5 Regression Model….......................20
4. Empirical results....................................24
4.1 Characteristics of Idiosyncratic Volatility.......24
4.2 Portfolio sampling..................29
4.3 Characteristics of LUI.....................31
4.4 Regression Outcomes.................................34
5. Conclusion...........................41
References..................................44
Appendix A:Correlation Matrix of Regression Model (9) from 2000 to 2010.....................131
Appendix B:Correlation Matrix of Regression Model (9) from 1990 to 1999.....................133
Appendix C:One Factor Panel Regression on LUICAPM from 1990 to 1999........................135
Appendix D:One Factor Panel Regression on LUIFama-French from1990 to 1999...................138
Appendix E:One Factor Panel Regression on LUIQ from 1990 to 1999..............................141 
LIST OF TABLES
Table 1: Descriptive statistics of the investment factor and the ROE factor............................52
Table 2: Summary statistics: Monthly sample size.....54
Table 3: Monthly aggregate return volatility and aggregate idiosyncratic volatility................55
Table 4: Correlation matrix of monthly aggregate return volatility and aggregate idiosyncratic volatility....57
Table 5: Correlation matrix of aggregate return volatility and aggregate idiosyncratic volatility of top and bottom 30 firms selected by Size, BM ratio, ROE ratio, and IA ratio…………………………….……………………………...……………….…..58
Table 6: Fama and MacBeth regression of aggregate return volatility and aggregate idiosyncratic volatility……………………………………………………60
Table 7: Fama and MacBeth regression of aggregate return volatility and aggregate idiosyncratic volatility with illiquidity measure………………………………………….......65
Table 8: Fama and MacBeth regression of aggregate return volatility and aggregate idiosyncratic volatility with MSE..................................66
Table 9: Correlation matrix of aggregate return volatility and aggregate idiosyncratic volatility with portfolio method.............................68
Table 10: Summary Statistics........... ......72
Table 11: Correlation with LUICAPM and △LUICAPM.......... ...............................73
Table 12: Correlation with LUIFama-French and △LUIFama-French..........................................74
Table 13: Correlation with LUIQ and △LUIQ.........................................75
Table 14: One Factor Panel Regression on LUICAPM from 2000 to 2010...............................76
Table 15: One Factor Panel Regression on LUIFama-French from 2000 to 2010...........................79
Table 16: One Factor Panel Regression on LUIQ from 2000 to 2010......................................82
Table 17: One Factors Panel Regression on the △LUICAPM from 2000 to 2010...................85
Table 18: One Factors Panel Regression on the △LUIFama-French from 2000 to 2010………....88
Table 19: One Factors Panel Regression on the △LUIQ from 2000 to 2010..........................91
Table 20: Multiple Factor Panel Regression on LUICAPM from 2000 to 2010........................92
Table 21: Multiple Factor Panel Regression on LUIFama-French from 2000 to 2010...................96
Table 22: Multiple Factor Panel Regression on LUIQ from 2000 to 2010...............................98
Table 23: Multiple Factors Panel Regression on the △LUICAPM from 2000 to 2010........................100
Table 24: Multiple Factors Panel Regression on the △LUIFama-French from 2000 to 2010..................102
Table 25: Multiple Factors Panel Regression on the △LUIQ from 2000 to 2010...................104 
LIST OF FIGURES
Figure 1: Monthly sample size...............106
Figure 2: Monthly aggregate return volatility and aggregate idiosyncratic volatility............107
Figure 3: 12 month moving average of Aggregate LUI using portfolio method with different sampling size............110
Figure 4: 12 month moving average of Aggregate LUI using portfolio method with different model................113
Figure 5: Trend of LUI ranked by DAV from 2000 to 2010…120
Figure 6: Trend of LUI ranked by PMEV from 2000 to 2010..121
Figure 7: Trend of LUI ranked by CorrPD from 2000 to 2010......122
Figure 8: Trend of LUI ranked by EV from 2000 to 2010....123
Figure 9: Trend of LUI ranked by R&D from 2000 to 2010...124
Figure 10: Trend of LUI ranked by Leverage from 2000 to 2010..............125
Figure 11: Trend of LUI ranked by Age from 2000 to 2010….126
Figure 12: Trend of LUI ranked by Sales Growth from 2000 to 2010................127
Figure 13: Trend of LUI ranked by COV from 2000 to 2010..128
Figure 14: Trend of LUI ranked by DISP from 2000 to 2010.129
Figure 15: Trend of LUI ranked by CVOL from 2000 to 2010....................130

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