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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 link:	https://doi.org/10.6529/RSFM.202406_36(2).0001
DOI:	10.6529/RSFM.202406_36(2).0001
Appears in Collections:	[Department of International Business] Periodical Articles

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