臺灣博碩士論文加值系統

本文利用Carhart四因子模型，針對台灣股票市場之上市公司進行實證研究。由於本研究樣本有嚴重右偏的現象，為了避免估計偏誤，本文嘗試採用分量迴歸分析法來對資料進行分析。結果發現：台灣股票市場中，市場風險溢酬與股票超額報酬率呈現正向關係。台灣股票市場具有大公司規模效應，且淨值市價比與股票超額報酬率呈現負向關係，因此台灣股票市場之成長股其超額報酬率較高。動能策略適用於高股票超額報酬率的股票，而在低股票超額報酬率時，應採用反向操作策略。

This paper examines the application of Carhart''s (1997) four-factor model in Taiwan security market. We use "quantile regression" approach to avoid the highly right-biased data on TSE. We found that historical price momentum forecasts the stock returns significantly, and further, we found the well-documented profitability of momentum (contrarian) strategies from positive (negative) alpha stocks. Simultaneously, we found big-firm premium and market risk premium in Taiwan.

1. 前言 1
2. 文獻回顧 2
2.1 規模效果 2
2.2 淨值市價比效應 3
2.3 動能 4
2.4 分量迴歸 5
3. 實證模型與變數定義 6
3.1 實証模型 6
3.2 解釋變數定義 7
3.3 分量迴歸模型 8
4. 資料來源與敘述性統計 9
4.1 資料來源 9
4.2 敘述性統計 10
4.3 散佈圖 10
5. 實證結果與分析 11
6. 結論與建議 13
參考文獻 24

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