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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124093


    Title: 假設Beta值會隨時間而改變對CAPM模型及條件CAPM模型進行比較-以台灣股市為例
    Assuming Beta will vary with time and comparing CAPM Model with Conditional CAPM Model - Evidence from Taiwan Stock Markets
    Authors: 林禹丞
    Contributors: 饒秀華
    林禹丞
    Keywords: CAPM模型
    條件CAPM模型
    Beta值
    市場超額報酬率
    CAPM
    Conditional CAPM
    Beta
    Market excess return
    Date: 2019
    Issue Date: 2019-07-01 10:39:29 (UTC+8)
    Abstract: 本研究探討CAPM模型及條件CAPM模型對於台灣股市的解釋力,並透過選擇不同的無風險利率,觀察模型解釋力是否會受到無風險利率的選擇而改變。由於台灣市場上三個月期國庫券發行頻率及數量皆不熱絡,因此在台灣的文獻中,大多以短期的定期存款利率作為替代。然而,定期存款利率具有僵固性的問題,因此無風險利率的選擇便形成了一個課題。
    本研究主要研究對象為台灣上市公司,剔除金融及保險等高槓桿產業,選取2005年1月至2017年12月的期間,並去除受金融海嘯影響較大之期間(即2009年),在台灣經濟新報(TEJ)中,所有使用到的研究變數皆具有完整月資料的台灣上市公司,一共602檔股票。
    透過Sharpe-Lintner CAPM方程式所估計出各股票的Beta值,由小至大均分為15個投資組合。本研究假設股票的Beta值會隨時間而改變,因此在投資組合形成後,將重新估計投資組合的Beta值。最後將估計出的投資組合Beta值與實際的投資組合超額報酬率,進行CAPM模型及條件CAPM模型的迴歸實證。為了驗證無風險利率的選擇是否會對模型顯著性造成影響,我們選擇使用第一銀行三個月期定存利率及二年期政府公債殖利率,分別放入迴歸實證中,並針對結論進行比較。
    實證分析的結果顯示,無風險利率的選擇並不會改變模型迴歸實證的結論,僅會改變在同一段時間內,牛市及熊市之間的月份數差。而在2010年至2017年間,CAPM模型對於台灣股市不具有解釋力,亦即投資組合的Beta值與市場超額報酬率並不具有顯著為正的線性關係。在將市場區分為牛市及熊市的條件下,投資組合的Beta值與市場超額報酬率呈統計顯著的關係,且牛市時之市場超額報酬率顯著為正,熊市時之市場超額報酬率顯著為負。
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    中文部分
    [19]金傑敏(1996)。公司規模,權益帳面價值對市值比,前期報酬及系統性風險對股票報酬之影響。未出版之碩士論文,淡江大學,財務金融學系,新北市。
    [20] 黃柏農、鄭素姻、侯翰、王祝三(2009)。台灣股票市場之動態系統風險研究。經濟研究Taipei Economic Inquiry,45(2),237-272。
    [21] 黃郁珊(2019)。金融海嘯前後台灣股市一因子和二因子條件是CAPM之比較。未出版碩士論文,國立政治大學,國際貿易與經營學系,台北市。
    [22] 張健邦,卓哲玄(2008)。台灣上市公司股票報酬之集群多因子模型研究。財金論文叢刊,第八期,106-121頁。
    [23] 張偉玲(2018)。股票風險與報酬分析-台灣實證。未出版碩士論文,國立暨南國際大學,國際企業學系,南投縣。
    [24] 楊明栽(1997)。資本資產訂價理論在台灣股票市場之實證研究。未出版之碩論文,淡江大學,財務金融學系,新北市。
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    106351026
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106351026
    Data Type: thesis
    DOI: 10.6814/NCCU201900071
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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