English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51713624      Online Users : 776
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153840


    Title: 因子訂價模型有效性之比較：臺灣股市實證
    A Comparison of the Effectiveness of Factor Pricing Models: Empirical Evidence from the Stock Market in Taiwan
    Authors: 徐政義;王芯儀;陳姿伶;賴弘能
    Shiu, Cheng-Yi;Wang, Shin-Yi;Chen, Tzu-Ling;Lai, Hung-Neng
    Contributors: 國貿系
    Keywords: 資產訂價;生產者理論;因子模型;股票報酬率;臺灣市場
    Asset Pricing;Production Theory;Factor Models;Stock Returns;Taiwan Market
    Date: 2024-06
    Issue Date: 2024-10-04
    Abstract: 本文探討七種因子訂價模型解釋臺灣上市櫃公司股票報酬率的有效性。我們的研究結果顯示，Fama與French（2018）提出的六因子模型，可以解釋大多數的臺灣經濟新報建構的投資組合、以Fama與French（2015）建構因子的變數分組的投資組合，以及產業指數。Hou, Mo, Xue與Zhang（2021, HMXZ）所提出的q^5模型在以上三類投組與指數的表現略為遜色，但是在解釋其建構因子的變數投組的表現優於六因子模型。個股的橫斷面分析中，則無哪種模型明顯勝出的證據。
    This paper investigates to what extent seven asset pricing models explain stock returns of listed firms in Taiwan. Our investigation reveals that the six-factor model proposed by Fama and French (2018) explains the majority of the returns from the portfolios provided by Taiwan Economic Journal, returns from the portfolios grouped by the variables employed by Fama and French (2015) to construct factors, and industry index re- turns. The q^5 model proposed by Hou, Mo, Xue and Zhang (2021, HMXZ) performs slightly worse than the six-factor model in the aforementioned portfolio and index returns but better in explaining the portfolio returns grouped by the variables to construct their factors. The cross-sectional regressions on individual stocks do not provide evidence that prefers one model to another.
    Relation: 證券市場發展季刊, Vol.36, No.2, pp.1-64
    Data Type: article
    DOI 連結: https://doi.org/10.6529/RSFM.202406_36(2).0001
    DOI: 10.6529/RSFM.202406_36(2).0001
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML62View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback