政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30999
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113822/144841 (79%)
Visitors : 51782637      Online Users : 589
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30999


    Title: 產業權益成本-以台灣股市為例
    Authors: 翁筱雯
    Contributors: 盧敬植
    翁筱雯
    Keywords: 產業權益成本
    權益成本
    資產定價模型
    Fama and French三因子模型
    CAPM
    Date: 2007
    Issue Date: 2009-09-14 09:02:07 (UTC+8)
    Abstract: 權益成本估計的不確定性將嚴重影響企業價值評估的準確性，因此本文檢視CAPM單一因子模型及Fama and French三因子模型，依1982年7月至2007年12月之台灣二十八類產業為研究樣本，以傳統的所有樣本期間迴歸（Full-period Regression）與滾動式迴歸（Rolling Regression）兩種不同估計方式，發現CAPM及Fama and French三因子模型之風險係數隨著時間改變的平均真實隱含標準差均高達0.18以上。比較兩模型在產業權益成本預測能力的比較上，Fama and French三因子模型不論預測近期或遠期的表現均優於CAPM外，預測的期間越久，兩模型預測能力差距將越小，其預測能力也越接近。在我們進一步利用兩種定價模式估計產業權益成本發現，Fama and French三因子模型明顯降低了產業權益成本的波動狀況，並且CAPM與Fama and French三因子模型使用五年滾動式迴歸模型估計的差異大於使用完整樣本期間估計的方式。有鑑於此，當我們選擇資產定價模型做為資產評價上之權益成本應用時，在預測短期間的權益成本估計上，Fama and French三因子模型以長期間的完整歷史時間估計仍為有較佳方式。然而在預測遠期的權益成本估計時，CAPM仍為不錯的估算方式。
    Reference: 方志強、姚明慶（1998），「台灣上市公司的淨值市價比現象」，管理學報，第十五卷，第三期，367-391頁。
    林天中（1998），「台灣股票市場三因子 系統風險、公司規模及淨值市價比實證研究」，國立清華大學經濟學研究所，碩士論文。
    李鍵剛（1998） ，「台灣股票市場報酬率之橫斷面與縱斷面混合分析」，輔仁管理評論，第5卷，第1期。
    周賓凰、劉怡芬（2000），「台灣股市橫斷面報酬率解釋因子：特徵、單因子、或多因子， 證券市場發展期刊」，第十二卷， 1-32頁。
    曾昭玲、楊舜蓁（2004），「雙貝他資本資產訂價模型運用於台灣股票多頭與空頭市場知適用性研究」，東吳經濟商學學報，第四十四期，25-54頁。
    顧廣平、吳壽山、許和鈞（1995），「漲跌幅與公司規模對股票報酬之影響-台灣股票市場之實證研究」，證券市場發展季刊，第七卷第二期，73-82頁。
    Banz, Rolf 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, 444-55.
    Clarke, Roger G. and Meir Statman, 1972, Growth, Value, Good, and Bad , Financial Analysis Journal, November-December, 82-86
    Copeland , Koller, and Murrin, 1994, Valuation：Measuring and Managing the Value of Companies, 2nd Edition , N.Y., John Wiley.
    Damodaran, Aswath, 1994, Damodaran on valuation : security analysis for investment and corporate finance, John Wiley and Sons Inc.
    Damodaran, Aswath, 2000, The Dark Side Valuation: Firm with no Earning, no History, no Comparables Can Amazon.com be Valued, Stem School of Business.
    Daniel, Kent, Sheridan Titman, and K. C. John Wei, 2001, Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?, Journal of Finance 56, 743-66.
    Fama, Eugene F., and James D. MacBeth, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy 81, 607-36.
    Fama, Eugene F., and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-65.
    Fama, Eugene F., and Kenneth R. French, 1993, Common Risk Factors in the Returns on Stock and Bonds, Journal of Financial Economics 33, 3-56.
    Fama, Eugene F., and Kenneth R. French, 1995, Size and Book-to-Market Factors in Earnings and Returns, Journal of Finance 50, 131-55.
    Fama, Eugene F., and Kenneth R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance 51, 55-84.
    Fama, Eugene F., and Kenneth R. French, 1997, Industry Costs of Equity, Journal of Financial Economics 43, 153-93.
    Hamada, Robert, 1972, The Effect of the Firm’s Capital Structure on the Systematic Risk of Common Stocks, Journal of Finance27, 129-47.
    Hawawini, Gabriel, 1983, Why beta shifts as the return interval changes, Financial Analysts Journal 39, 73-77.
    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.
    Kothari, S. P., Jay Shanken, and Richard G. Sloan, 1995, Another Look at the Cross-Section of Expected Stock Returns, Journal of Finance 50, 185-224.
    Malin, Mirela, and Madhu Veeraraghavan, 2004, On the Robustness of the Fama and French Multifactor Model Evidence from France, Germany and the United Kingdom, International Journal of Business and Economics, Vol. 3, No. 2, 155-76.
    Merton, Robert C., 1973, Theory of Rational Option Pricing, Bell Journal of Economics 4, 141-183.
    Sharpe, William F., 1964, Capital Asset Prices：A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance 19, 425-42.
    Description: 碩士
    國立政治大學
    財務管理研究所
    95357003
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095357003
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2383View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback