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| 題名: | 台灣股票市場因子選擇
Choosing Factors in the Taiwan Stock Market |
| 作者: | 蔡宗霖 |
| 貢獻者: | 鍾令德
蔡宗霖 |
| 關鍵詞: | 資產定價
多因子模型
最大平方夏普比率
跨迴歸
GRS檢定
Asset pricing
Multi-factor model
Maximum Squared Sharpe Ratio
Spanning regression
GRS test |
| 日期: | 2025 |
| 上傳時間: | 2025-07-01 14:38:45 (UTC+8) |
| 摘要: | 本研究旨在評估多因子模型於台灣股票市場的適用性，我們採用了因子組
合的最大平方夏普比率（Sh²(f)）作為主要衡量指標，並以跨迴歸與GRS檢定來比較嵌套模型。透過分析1983年1月至2024年12月的台灣股票市場資料，本文建構了28個多空價差因子與46個做多超額報酬型因子並組成共81個因子組合。其中，我們比較了價值因子（HML）與其他估值類型因子包括股利殖利率因子（DDY）、益本比因子（EPR）。同時，我們也分析了動能因子（UMD）與其相關因子包含短期反轉因子（STR）、長期反轉因子（LTR）之表現。實證結果顯示，Fama-French 六因子模型在台灣股票市場並非最佳選擇，取而代之的為包含市場大盤、大型股、大型高股利殖利率、大型高營利、大型保守投資與大型低長期反轉報酬共6個做多超額報酬型因子的組合。此外，我們亦發現DDY為具高度解釋力之核心因子，其邊際貢獻顯著且難以被其他因子取代。本研究填補過去文獻未以Sh²(f)來比較台灣股票市場因子模型之空缺，從而避免了實證研究中挑選及建構測試資產的難題，在因子組合評估上帶來一致性與客觀性，並對因子投資在台灣股票市場上的組成與實務應用提供重要啟示。
This paper evaluates the applicability of multi-factor models in the Taiwan stock market, from January 1983 to December 2024. We use the Maximum Squared Sharpe Ratio (Sh²(f)) as the primary performance metrics for factor combinations, complemented by spanning regressions and the GRS test for nested factor models. When choosing factors, we construct 28 long-short spread factors together with 46 long-only excess return factors, resulting in 81 factor combinations. Our empirical tests compare the value factor (HML) with other valuation factors including dividend yield (DDY) and earnings-to-price ratio (EPR) factors. We also assess the momentum factor (UMD), alongside with related short-term reversal (STR) and long-term reversal (LTR) factors. Our empirical results indicate that the Fama-French six-factor model is suboptimal in the Taiwan stock market. Instead, the optimal combination comprises 6 excess return factors including the market portfolio, big cap stocks, large stocks with high dividend yields, large stocks with high operating profitability, large stocks with conservative investments, and large stocks with low long-term reversal returns. Moreover, DDY demonstrates consistently strong explanatory power and statistically significant marginal contribution, making it as a key factor in explaining cross-sectional stock returns in Taiwan. This study fills the literature gap by comparing asset pricing factor models in Taiwan with Sh²(f). By circumventing the empirical challenge in identifying and constructing appropriate test assets, it offers valuable implications for both academic research and practical portfolio construction. |
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| 描述: | 碩士
國立政治大學
國際經營與貿易學系
112351030 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0112351030 |
| 資料類型: | thesis |
| 顯示於類別: | [國際經營與貿易學系 ] 學位論文
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