政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124093

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124093

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/124093

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124093

Title:	假設Beta值會隨時間而改變對CAPM模型及條件CAPM模型進行比較-以台灣股市為例 Assuming Beta will vary with time and comparing CAPM Model with Conditional CAPM Model - Evidence from Taiwan Stock Markets
Authors:	林禹丞
Contributors:	饒秀華林禹丞
Keywords:	CAPM模型條件CAPM模型 Beta值市場超額報酬率 CAPM Conditional CAPM Beta Market excess return
Date:	2019
Issue Date:	2019-07-01 10:39:29 (UTC+8)
Abstract:	本研究探討CAPM模型及條件CAPM模型對於台灣股市的解釋力，並透過選擇不同的無風險利率，觀察模型解釋力是否會受到無風險利率的選擇而改變。由於台灣市場上三個月期國庫券發行頻率及數量皆不熱絡，因此在台灣的文獻中，大多以短期的定期存款利率作為替代。然而，定期存款利率具有僵固性的問題，因此無風險利率的選擇便形成了一個課題。本研究主要研究對象為台灣上市公司，剔除金融及保險等高槓桿產業，選取2005年1月至2017年12月的期間，並去除受金融海嘯影響較大之期間(即2009年)，在台灣經濟新報(TEJ)中，所有使用到的研究變數皆具有完整月資料的台灣上市公司，一共602檔股票。透過Sharpe-Lintner CAPM方程式所估計出各股票的Beta值，由小至大均分為15個投資組合。本研究假設股票的Beta值會隨時間而改變，因此在投資組合形成後，將重新估計投資組合的Beta值。最後將估計出的投資組合Beta值與實際的投資組合超額報酬率，進行CAPM模型及條件CAPM模型的迴歸實證。為了驗證無風險利率的選擇是否會對模型顯著性造成影響，我們選擇使用第一銀行三個月期定存利率及二年期政府公債殖利率，分別放入迴歸實證中，並針對結論進行比較。實證分析的結果顯示，無風險利率的選擇並不會改變模型迴歸實證的結論，僅會改變在同一段時間內，牛市及熊市之間的月份數差。而在2010年至2017年間，CAPM模型對於台灣股市不具有解釋力，亦即投資組合的Beta值與市場超額報酬率並不具有顯著為正的線性關係。在將市場區分為牛市及熊市的條件下，投資組合的Beta值與市場超額報酬率呈統計顯著的關係，且牛市時之市場超額報酬率顯著為正，熊市時之市場超額報酬率顯著為負。
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Description:	碩士國立政治大學國際經營與貿易學系 106351026
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0106351026
Data Type:	thesis
DOI:	10.6814/NCCU201900071
Appears in Collections:	[Department of International Business] Theses

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