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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124097


    Title: 以台灣上市股票的益本比分類，形成投資組合以驗證CAPM與三因子模型的差異
    Authors: 施柏年
    Shih, Bo-Nian
    Contributors: 饒秀華
    施柏年
    Shih, Bo-Nian
    Keywords: Fama and French三因子模型
    益本比
    市場風險溢酬
    規模溢酬
    淨值市值比溢酬
    CAPM
    Date: 2019
    Issue Date: 2019-07-01 10:40:08 (UTC+8)
    Abstract: 本研究目的是在探討CAPM模型與Fama and French三因子模型之間的差異。以近代財務金融型的發展中，資本資產定價模型(Capital Assets Pricing Model, CAPM)用來解釋當市場達到均衡時，透過迴歸分析可以得出證券的預期報酬率與市場風險(Market Risk)之間存在正向線性關係；然而在之後的理論發展，Fama and French三因子模型加入市值淨值比的風險貼水(HML)、規模效應風險貼水(SML)兩因子，並發現這兩個因子對於證券的預期報酬率皆具有解釋能力。為了更進一步確認CAPM模型與Fama and French三因子模型對於證券預期報酬率的解釋能力。
    本研究將透過實證的方式，以台灣的證券市場作為研究範圍，研究期間則設定為2005年9月至2017年12月，並去除掉金融海嘯影響的年份:2008年以及2009年資料，將台灣股市的公開資料先透過公司市值(market value)區分成大公司與小公司，接著再將大公司與小公司分別按照益本比(E/P ratio)的大小排序，並驗證在資料被分類過後，CAPM模型與Fama and French三因子模型在各個類群中是否能夠都解釋規模溢酬以及價值溢酬？
    另外，為了驗證不同的分類方式是否會對於公司規模溢酬與價值溢酬產生影響，因此將原資料按照每年12月份季底的益本比(E/P ratio)做出排序，並同時驗證在此分類方式下，CAPM模型與Fama and French三因子模型在各個類群中是否都能夠解釋規模溢酬以及價值溢酬？
    Reference: 中文部分
    1. 王秀琴，辛欣(2006)。CAPM和Fama-French模型的比較研究。許昌學院學報，
    25卷5期，頁23-25。

    2. 李春旺(1988)。股價行為與規模效應：台灣股票市場實證研究。國立政治大學，企業管理研究所博士班，台北市。

    3. 吳幸娟(2009)。資本資產評價模型之實證研究-以臺灣證劵市場為例。銘傳大學，管理研究所，台北市。

    4. 林伶如(1990)。股票本益比與公司規模對股票報酬之影響─以台灣股市為例。國立中興大學，企業管理研究所，台中市

    5. 林天中(1998)。台灣股票市場三因子：系統風險、公司規模及淨值市價比實證研究。未出版碩士論文，國立清華大學，經濟學研究所，新竹市。

    6. 周賓凰、劉怡芬(1999)。「台灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？」。證券市場發展季刊，12卷1期，頁1-32。

    7. 林建廷(2001)。台灣股票市場因子探討。未出版碩士論文，國立東華大學，國際經濟研究所，花蓮市。

    8. 陳建良(1994)。我國股票市場異常現象之實證研究。國立交通大學，管理科學研究所，新竹市。

    9. 陳惠萍(1998)。股票橫斷面之橫斷面分析-以台灣與上海股票市場為例。未出版碩士論文，逢甲大學，企業管理研究所，台中市。

    10. 楊明栽(1997)。資本資產訂價理論在臺灣股票市場之實證研究。淡江大學，財務金融學系，新北市。

    11. 楊淑媛(2007)。台灣證券市場之規模溢酬與價值溢酬。Size Premium and Value Premium based on Taiwanese Stock Market。國立台灣科技大學，財務金融碩士在職專班，台北市。

    英文部分
    1. Black, F., Jensen, M. C., Scholes, M. (1972). “The capital asset pricing model: some empirical tests”, Studies in the Theory of Capital Market, Praeger Publishers Inc.

    2. Ball, Ray. (1978). “Anomalies in relationships between securities` yields and yield-surrogates”, Journal of Financial Economics, Vol. 6, Iss. 2-3, pp 103-126.

    3. Banz, R. W. (1981). “The relationship between return and market value of common stocks”, Journal of Financial Economics, Vol. 9, Iss. 1, pp 3-18.

    4. Basu, S. (1983). “The relationship between earnings’ yield, market value and return for NYSE common stocks: Further evidence”, Journal of Financial Economics, Vol. 12, Iss. 1, pp 129-156.

    5. Bhandari, L.C. (1988). “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence”, Journal of Finance, Vol. 43, No. 2, pp 507-528.

    6. Bleiberg, Steven. (1989). “How Little We Know...About P/Es, But Also Perhaps More Than We Think”, Journal of Portfolio Management, Vol. 15, Iss. 4, pp26-31.

    7. Blanco, Belen. (2012). “The use of CAPM and Fama and French Three Factor Model: portfolios selection”, Public and Municipal Finance, Vol. 1, Iss. 1, pp 61-70.

    8. Chan, L.K.C., Hamao Y., and Lakonishok J. (1991). “Fundamentals and Returns in Japan”, Journal of Finance, Vol. 46, Iss. 5, pp 1739-1764.

    9. Chordiaa, T. and Shivakumar, L. (2006). “Earnings and price momentum”, Journal of Financial Economics, Vol. 80, Iss. 3, pp 627-656.

    10. De Bondt, Werner F.M. and Thaler, Richard H. (1995). “Chapter 13 Financial decision-making in markets and firms: A behavioral perspective”, Handbook in OR & MS, Vol. 9, pp 385-410.

    11. Fama, E.F. and MacBeth, J. D. (1973). “Risk, return, and equilibrium: Empirical tests”, Journal of Political Economy, Vol. 81, No. 3, pp 607-636.

    12. Fama, E.F. and K.R. French (1992). “The Cross-Section of Expected Stock Returns”, Journal of Finance, Vol. 47, No. 2, pp 427-465.

    13. Fama, E.F. and K.R. French (1993). “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, Vol. 33, pp 3-56.

    14. Fama, E.F. and K.R. French (1995). “Size and Book-to-Market Factors in Earnings and Returns”, Journal of Finance, Vol. 50, pp 131-155.

    15. Fama, E.F. and K.R. French (1996). “Multifactor Explanations of Asset Pricing Anomalies”, Journal of Finance, Vol. 51, pp 55-84.

    16. Fama, E. F. and Kenneth R. French (2006). “The Value Premium and the CAPM”, Journal of Finance, Vol. 61, No. 5, pp 2163-2185.

    17. Fant, L.F. and Peterson, D.R. (1995). “The effect of size, book-to-market equity, prior returns, and beta on stock returns：January versus the remainder of the year”, Journal of Finance Research, Vol. 18, pp 129-142.

    18. Friend, I. and Blume, M. (1970). “Measurement of Portfolio Performance Under Uncertainty”, The American Economic Review, Vol. 60, No. 4, pp 561-575.

    19. Lintner, J. (1965). “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets”, The Review of Economics and Statistics, Vol. 47, No. 1, pp 13-37.

    20. Markowitz, H. (1952). “Portfolio selection”, Journal of Finance, Vol. 7, No. 1, pp 77-91.

    21. Petkova, Ralitsa and Zhang, Lu (2005). “Is value riskier than growth?”, Journal of Financial Economics, Vol. 78, pp 187-202.

    22. Petkova, Ralitsa (2006). “Do the Fama–French Factors Proxy for Innovations in Predictive Variables?”, Journal of Finance, Vol. 61, No. 2, pp 581-612.

    23. Reinganum, Marc R. (1981). “A new empirical perspective on the CAPM”, Journal of Financial and Quantitative Analysis, Vol. 16, pp 439-462.
    24. Rosenberg, B., Reid, K. and Lanstein, R. (1985). “Persuasive evidence of market inefficiency”, Journal of Portfolio Management, Vol. 11, No. 3, pp 9-16.

    25. Sharpe, W. F. (1964). “A theory of market equilibrium under conditions of risk”, Journal of Finance, Vol. 19, No. 3, pp 425-442.

    26. Stattman, D. (1980). “Book values and stock returns”, The Chicago MBA: A Journal of Selected Papers, Vol. 4, pp 25-45.

    27. Sattar, Mahnoor (2017). “CAPM Vs Fama-French Three-Factor Model: An Evaluation of Effectiveness in Explaining Excess Return in Dhaka Stock Exchange”, International Journal of Business and Management, Vol. 12, No. 5, pp 119-129.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    1063510103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1063510103
    Data Type: thesis
    DOI: 10.6814/NCCU201900070
    Appears in Collections:[Department of International Business] Theses

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