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    Title: 價值股和成長股之風險係數與預期市場風險貼水的關係-條件資本資產定價模型的應用
    The relationship between beta and expected market risk premium-the application of conditional CAPM
    Authors: 陳怡如
    Chen, Yi Ju
    Contributors: 饒秀華
    Rau, Shiou Hua
    陳怡如
    Chen, Yi Ju
    Keywords: 預期市場風險貼水
    風險beta值
    條件資本資產定價模型
    價值溢酬
    Expected market risk premium
    Risk beta
    Conditional CAPM
    Value premium
    Date: 2017
    Issue Date: 2017-04-05 15:35:11 (UTC+8)
    Abstract: 本研究參照Petkova and Zhang(2005),在條件資本資產定價模型(conditional CAPM),風險beta值與市場風險貼水為隨機變數的設定下,利用台灣上市加上櫃的股票,排除金融類股,從2003年1月至2015年12月的月資料,不包含2008年、2009年和2010年這三年金融海嘯的影響,共120筆月資料,依公司規模-市值(size)和淨值市價比(B/M ratio)作交叉分類,分成25組投資組合,並且以股利殖利率、期間利差、國庫券殖利率作為解釋變數,估算出每個投資組合的風險beta值,之後再利用預期市場風險貼水將景氣分為四個時期,觀察投資組合之風險beta係數值隨景氣好壞的變化。
    研究實證結果發現台灣的股票市場與美國的結果有許多差異,在台灣股市觀察不到股票的beta值有反循環的特性,即台灣成長股和價值股之beta值,皆與預期市場風險貼水呈正向關係,雖然不管在景氣好或壞,價值股的風險beta值都比成長股的beta值大,表示台灣股市有價值溢酬(Value effect)的現象,但此現象卻無法被conditional CAPM完全解釋。
    Reference: 中文部分:
    林季甫(1999)。價值特徵在台灣股票市場之實証研究。國立政治大學財務管理研究所碩士論文。
    施雅芬(2010)。 從價值溢酬的觀點剖析台灣股票報酬。國立高雄應用科技大學商務經營研究所碩士論文。
    張金龍(2006)。台股風格投資法之研究與探討(未出版之碩士論文)。國立中央大學財務金融研究所碩士論文。
    陳建良(1990)。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所碩士論文。
    黃一祥(2009)。人力所得、條件資本資產評價模式、及橫斷面股票報酬。財務金融學刊,17,41-74。
    楊踐為、陳玲慧(1998)。臺灣股票之系統風險與無風險利率於不同景氣市場時之穩定性探討。企銀季刊,21:3,57-72。
    楊淑媛(2006)。台灣證券市場之規模溢酬與價值溢酬。國立臺灣科技大學財務金融研究所碩士論文。
    劉秉龍(2002)。成長型與價值型投資策略之實證分析-以台灣股票市場為例。靜宜大學企業管理研究所碩士論文。

    英文部分:
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    Ghysels, E. (1998). On stable factor structures in the pricing of risk: do time-varying betas help or hurt?. Journal of Finance,53:2, 549-573.
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    Lewellen, J. and Nagel, S. (2006). The conditional CAPM does not explain asset-pricing anomalies. Journal of Financial Economics,82:2, 289-314.
    Petkova, R. and Zhang, L. (2005). Is value riskier than growth?. Journal of Financial Economics,78:1, 187-202.
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    103351042
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103351042
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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