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    題名: 套利定價模式應用於股票報酬率預測之實證研究
    作者: 謝養
    貢獻者: 陳肇榮
    謝養
    日期: 1989
    1988
    上傳時間: 2016-05-03 14:07:29 (UTC+8)
    摘要: 論文摘要
    證券投資目前愈來愈來受重視，雖然證券之市場價格頗受當時市場供需關係的影響，但證券預期報酬的高低主要仍是由系統風險來決定，本研究目的在於驗證台灣股票市場是否能以套利定價理論解釋股票報酬率，即檢定下列假設：
    虛無假設(一)：無風險利率等於零；
    虛無假設(二)：系統風險之風險貼水等於零；
    虛無假設(三)：非系統風險之風險貼水等於零；
    虛無假設(四)：前期系統風險之風險貼水等於零；
    根據上述各虛無假設，吾人採用最大概似因素分析及橫斷面複迴歸分析以驗證理論。本研究與國內已有文獻不同之處，計有下列各點：
    (一)、使用更客觀、效率的Akaike準則以決定因素個數；
    (二)、驗證系統風險之定常性；
    (三)、驗證非系統風險是否被定價；
    (四)、驗證不同證券數目之因素模型，如個別證券之三十六家和投資組合之六家；期能補充前人之短缺，為本研究之預期貢獻。
    研究結果顯示，個別證券方面，八個因素模型之截距項不顯著，無風險利率並不存在，沒有一個系統風險被定價，而非系統風險在風險調整之後，也對報酬率不具影響；同時，前期系統風險具有定常性，而非系統風險則不具有定常性，故四項假設檢定之結果大都不支持套利定價理論。投資組合方面，六組套利定價模型中，A組沒有無風險利率、共同因素，而非系統風險也沒有被定價，B組亦同，C組之無風險利率不存在，沒有共同因素，非系統風險不顯著，其餘D及E兩組之因素模型也不顯著，F組則有無風險利率、一個共同因素，但非系統風險則被定價；另外A、B、C、D、E、及F組則無一共同因素具有定常性，六投資組合中沒有一組支持套利定價理論；總而言之，個別證券和投資組合之實證結果並不支持套利定價理論。
    參考文獻: 參考書目
    壹、中文參考資料
    1.林煜宗，現代投資學－制度、理論與實證.作者自印，二版，民國七十二年六月.
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    3.中華民國臺灣金融統計月報，中央銀行經濟研究處編印，民國七十六年十二月.
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    9.鄭華清，套利定價模式理論與實證研究分析.國立台灣大學商學研究所未出版碩士論文，民國七十四年六月，PP.1-149.
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    描述: 碩士
    國立政治大學
    企業管理學系
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002005229
    資料類型: thesis
    顯示於類別:[企業管理學系] 學位論文

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