政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/58704

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政大典藏 > College of Social Science > Department of Economics > Theses > Item 140.119/58704

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58704

Title:	台灣八大產業之風險報酬抵換關係 The risk-return trade-off relations of eight industries on Taiwan stock market
Authors:	辛盈盈 HSIN, YING YING
Contributors:	饒秀華徐世勛辛盈盈 HSIN, YING YING
Keywords:	跨期資本定價模型 ICAPM model
Date:	2012
Issue Date:	2013-07-01 17:37:50 (UTC+8)
Abstract:	研究結合台灣八大產業類股為橫斷面資料和跨期資本定價模型(ICAPM)的風險溢酬之抵換關係。以雙變量GARCH模型去估計與時鉅變的市場風險因子¬各股與市場超額報酬的條件共變異數。並以條件共變異數代表風險值去估計八大類股風險報酬的關係，實證研究顯示在未限制各類股風險報酬關係之斜率一致下，大部分產業估計出的斜率(相對市場風險趨避係數)幾乎都不顯著，在此情形下，不符合其ICAPM理論的高風險高報酬的推論；但在限制各類股風險報酬關係的斜率一致下所估出的斜率可得到正向顯著關係，則符合ICAPM理論的高風險高報酬關係。除了探討市場風險因子與各大類股的風險報酬關係之外，我們另外也加入了其他影響投資機會風險因子對各類股超額報酬的關係，更進一步強化ICAPM模型，我們以三個狀態變數對各類股超額報酬的條件共變異數當作投資機會風險因子。分別為違約利差、股價殖利率、去掉時間趨勢的短期利率。在同時考慮市場風險因子和投資機會風險因子對各類股超額報酬的關係，發現原本市場風險與報酬關係系數值維持正向顯著，也發現投資風險因子對各類股超額報酬關係也都顯著並符合經濟上的合理性:短期利率風險因子為負向顯著，違約利差風險因子、殖利率風險因子為正向顯著。
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Description:	碩士國立政治大學經濟學系 100258010 101
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0100258010
Data Type:	thesis
Appears in Collections:	[Department of Economics] Theses

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