臺灣博碩士論文加值系統

本篇論文採用Fama and French（1995）及Davis, Fama, and French（1998）的方式，利用公司帳面市值比（B/M Ratio）及規模（Size）區分為六大投資組合，再分別探討帳面市值比效果（B/M Effect）、規模效（Size Effect）及依據獲利、風險指標討論其背後的經濟意涵，最後再比較Fama and French（1995）及Davis, Fama, and French（1998）各自採用不同的投資組合形成年前、後年限去計算之財務指摽數字是否有所差異。

資料來源為台灣經濟新報（Taiwan Economic Journal，TEJ），期間為2004年12月至2019年6月的台灣上市公司月資料（一共608檔股票），其中不包含金融海嘯期間（即2008年-2009年）、金融產業公司資料及資料較不齊全之公司。

而結果發現，帳面市值比效果及公司規模效果與台灣上市公司股票報酬率具顯著關係；整體來說，小規模公司（Small Size）、高帳面市值比（High B/M Ratio）的公司具較低的獲利能力、較高的風險，以致於債務償還能力較差，進而使得投資人要求較高的溢酬；比較Fama and French（1995）及Davis, Fama, and French（1998）的方式後，除在資產報酬率（Return-to-Asset）、帳面權益報酬率（Return-to-Book Equity）、營收市值比標準差（Standard Deviation of Earning-to-Price Ratio）有差異外，其餘指標數字均差異不大。

第一章 緒論 5
第一節 研究動機 5
第二節 研究目的 7

第二章 文獻回顧 9
第一節 財務理論模型發展 9
第二節 中文文獻 13

第三章 財務理論模型−Fama and French三因子 17

第四章 研究方法設計 20
第一節 資料來源 20
第二節 資料分類 22
第三節 研究方法說明 24

第五章 實證分析 27
第一節 樣本選擇與投資組合 27
第二節 實證分析結果 30

第六章 結論與建議 44

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