臺灣博碩士論文加值系統

市面上有非常多關於資產定價模型的研究文獻，惟針對的多數為整個市場，少有針對個別產業進行進一步的研究分析。除此之外，台灣股市的規模效應與投資效應等異常股市現象方向與Fama and French (2015) 研究美國股市所提出的理論相反，值得進一步的探討。本研究使用Fama and French (2015)所提出的五因子模型、Fama and French (1992)的三因子模型及Carhart(1997)的四因子模型，來對台灣股市─一共分為七個投資組合：全產業、全產業不含金融股、電子股、金融股、非金非電股、價值股與成長股，做OLS迴歸分析。本研究驗證了市場效應、規模效應、價值效應、獲利效應、投資效應和動能效應等股市異常現象在不同產業別對於超額報酬解釋力有其差異性。

There are a lot of studies about the asset pricing model. Although few of them take a focus on how industry factor has an impact on the explanation of stock excess returns. In addition, size effect and investment effect in Taiwan stock market turn out to have an opposite relationship with excess returns compared to Fama and French (2015).This study applied the five-factor model of Fama and French (2015), three-factor model of Fama and French (1992) and four-factor model of Carhart(1997) to seven stock portfolios formed from Taiwan stock market by different industries. The empirical results show that market effect, size effect, value effect, profitability effect, investment effect and momentum effect have differ in the power to explain excess return in different portfolios divided by industry.

口試委員會審書 i
致謝詞 ii
目錄 iii
圖表目錄 iv
中文摘要 v
英文摘要 vi
第一章、研究動機 1
第二章、文獻探討 2
第三章、研究方法 5
第一節、研究樣本區間與方法步驟說明 5
第二節、敘述統計 14
第四章、研究結果 39
第一節、三因子、四因子、五因子模型迴歸結果 39
第二節、元月效應檢測 41
第五章、結論 45
參考文獻 46
附錄 47

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Fama, Eugene F. and Kenneth R. French, 1997, Industry costs of equity, Journal of Financial Economics 43, 153-193.
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