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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/30936


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30936


    Title: 資本資產定價模型與三因子模型之分析與比較
    Some Aspects about the Capital Asset Pricing Model and Three-factor Model
    Authors: 廖士仁
    Liao, Shih-Jen
    Contributors: 鄭宗記
    Cheng, Tsung-Chi
    廖士仁
    Liao, Shih-Jen
    Keywords: 資本資產定價模型
    三因子模型
    線性混合效應模型
    時間序列迴歸
    橫斷面迴歸
    Capital Asset Pricing Model
    Three-factor Model
    linear mixed-effects model
    time-series regression
    cross-sectional regression
    Date: 2004
    Issue Date: 2009-09-14
    Abstract: 資本資產定價模型已被廣泛使用於分析股票風險與要求報酬率之間的關係。然而，個別股票風險Beta是否足以解釋其報酬，也受到愈來愈多的質疑。Fama和French在1993年提出額外兩個因子來解釋股票報酬。我們將應用資本資產定價模型和三因子模型來分析1963年7月至2002年12月之美國的三大股票交易所上市公司。藉由一次改變分析過程中的一部分，以觀察參數估計值是否穩定。結果發現Beta_HML總是顯著且最為穩定，而Beta_SMB並不顯著。Beta經常顯著，但變動情況較大。另外，我們將考慮個別股票本身的變異，亦即將隨機效果納入考量。
    The Capital Asset Pricing Model (CAPM) has been widely used to analyze the relationship between risk and required rate of return on a stock, while it is doubted that individual stock`s risk Beta has enough explanatory power for it`s returns. Fama and French (1993) proposed two more factors to help explaining stock returns. We use the CAPM and the three-factor model to analyze listed companys in American stock exchanges, during the period from July 1963 to December 2002. We change part of the analyzing process a time to see if the estimates of the parameters are stable. The risk-premium Beta_HML is always significant and it performs most stable, while another risk-premium Beta_SMB is never significant. Beta is usually significant but it varies. Furthermore, we take within-stock variation into account, so random effects are considered.
    Reference: Banz, R. W. (1981) ""The Relationship between Return and Market Value of Common Stocks", Journal of Financial Economics, 9, 3-18.
    Black, Fischer (1972) ""Capital Market Equilibrium with Restricted Borrowing", Journal of Business, 45, 444-455.
    Brigham, E. F. and Ehrhardt, M. C. (2005) Financial Management: Theory and Practice, South-Western, Thomson.
    Chou, P.-H. and Liu, Y.-F. (2000) ""The Cross Section of Expected Returns in Taiwan: Characteristics, Single Factor, or Multi Factors?", Review of Securities and Futures Markets, 45, 1-32.
    Diggle, P. J., Liang, K. Y. and Zeger, S. L. (1996) Analysis of Longitudinal Data, Oxford: Clarendon Press.
    Dimson, Elory (1979) ""Risk Measurement when Shares are Subject to Infrequent Trading", Journal of Financial Economics}, 7, 197-226.
    Fama, E. F. and French, K. R. (1992) ""The Cross-Section of Expected Stock Returns", Journal of Finance, 47, 427-465.
    Fama, E. F. and French, K. R. (1993) ""Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, 33, 3-56.
    Fama, E. F. and MacBeth, J. D. (1973) ""Risk, Return, and Equilibrium: Empirical Tests", Journal of Political Economy, 81, 607-636.
    Lintner, John (1965) ""The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets", Review of Economics and Statistics, 47, 13-37.
    Rawlings, J. O., Pantula, S. G., and Dickey D. A. (1998) Applied Regression Analysis, New York: Springer-Verlag.
    Rosenberg, Barr, Reid, Kenneth and Lanstein, Ronald (1985) ""Persuasive Evidence of Market Inefficiency", Journal of Portfolio Management, 11, 9-17.
    Sharpe, W. F. (1964) ""Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal of Finance, 19, 425-442.
    Stattman, Dennis (1980) ""Book Values and Stock Returns", The Chicago MBA: A Journal of Selected Papers, 4, 25-45.
    Description: 碩士
    國立政治大學
    統計研究所
    92354001
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923540011
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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