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研究生:林欣蓉
研究生(外文):LIN, HSIN-JUNG
論文名稱:高階動差系統風險與橫斷面股票報酬之關聯性: 以2008年金融海嘯後台灣股票市場為例
論文名稱(外文):Comoment Risks and Cross-section of Stock Returns: Evidence from Taiwan after 2008 Financial Crisis
指導教授:賴靖宜賴靖宜引用關係
指導教授(外文):LAI, JING-YI
口試委員:賴靖宜王明昌郭良瑋
口試委員(外文):LAI, JING-YIWANG, MING-CHANGKUO, LIANG-WEI
口試日期:2018-06-05
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融系研究所
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:2018
畢業學年度:106
語文別:英文
論文頁數:35
中文關鍵詞:高階動差系統風險共偏態共峰態高階動差系統風險金融海嘯資產定價
外文關鍵詞:Comoment risksCoskewnessCokurtosisAsset PricingFinancial CrisisFama-Macbeth
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本文探討2010至2016年期間高階動差系統風險因子(Comoment)與台灣橫斷面股票報酬的關聯性。本篇論文採用Lambert 和Hübner (2013)的方法建立共變異數(Covariance)、共偏態(Coskewness)和共峰態(Cokurtosis)的風險因子,將高階動差系統風險因子加入CAPM及Fama-French三因子模型,並利用Fama-Macbeth (1973)兩階段迴歸方法探討高階動差系統風險因子對台灣橫斷面股票報酬的解釋力。

實證結果顯示(1)建立高階動差系統風險因子的排序順序過程對結果有很大影響,高階動差系統風險因子的選取會導致四階動差CAPM及四階動差Fama-French三因子模型的係數正負方向變動,(2)不論選取的高階動差系統風險因子組合為何,其模整體都有顯著解釋力且共變異數風險因子和共偏態風險因子皆為有顯著解釋力,(3)而其他風險因子,如市場因子,共峰態因子,公司規模因子,淨價市值比因子對股票報酬皆無顯著解釋力。

This work examines the relationship between comoments and cross-section of stock returns for Taiwan stock market after 2008 financial crisis. We investigate the explanatory power of the four-moment CAPM and four-moment Fama and French three factors model in describing the cross-section of stock returns. The methodology of Lambert and Hübner (2013) is applied for creating the systematic variance (covariance), systematic skewness (coskewness), and systematic kurtosis (cokurtosis) risk factors. This work adopts the Fama-Macbeth (1973) two steps regression procedure to test the relationship between comoment risks and the expected return of common equities for the Taiwan market, using monthly data of the post financial crisis period, from 2010 to 2016.

The result shows that the sorting sequence for the construction of comoment risk factors has strong impacts on outcomes. The constructed cokurtosis risk factors present positive average risk premiums (0.29% and 0.37%) no matter which sorting sequence is applied; however, the signs of average covariance (0.98% and -1.07%) and coskewness (0.97% and -0.97%) risk premiums depend on the sorting sequence. From the results of Fama-Macbeth two steps regression, we found that four-moment CAPM and four-moment Fama and French three factors model are statistically reliable to explain the cross-section of stock returns but their signs of the coefficients are not consistent across sorting procedures. That is, different sorting procedure leads to different risk premium measurements, which results in an inconsistency in signs of coefficients. Among all independent variables, covariance and coskewness factors are the only variables that display significant explanatory power to the cross-section of stock returns in Taiwan from 2010 to 2016, while market, cokurtosis, size, and book-to-market ratio risk factors are statistically insignificant. 

I. Introduction 1
II. Literature Review 5
A. Investors’ preference for higher coskewness and lower cokurtosis 5
B. Higher moments asset pricing model in difference markets 5
C. Higher comoments and stock return 6
III. Construction of Moment-related Risk Factors  7
A. Methodology 7
B. Variables 11
C. Data 13
IV. Methodology 15
A. Fama-Macbeth Two Steps Regression 15
B. Data 17
C. Models 17
D. Hypotheses 18
V. Result and Discussion 20
A. Fama and French Three Factors 20
B. Higher Comoment Risk Factors 22
C. Fama-Macbeth Two-steps Regression 26
VI. Conclusion 30


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