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題名 台灣上市櫃股票市場之總體經濟風險因子模型
A Macroeconomic Risk Model for the Taiwanese Stock Market作者 劉湘淇
Liu, Hsiang-Chi貢獻者 鍾令德
Chung, Ling-Tak
劉湘淇
Liu, Hsiang-Chi關鍵詞 總體經濟因子
套利定價理論
台灣上市櫃股票市場
Macroeconomic Factors
Arbitrage Pricing Theory
Taiwanese Stock Market日期 2023 上傳時間 6-Jul-2023 16:31:50 (UTC+8) 摘要 本研究探討 Chen, Roll, and Ross (1986) 的 CRR 五因子模型是否適用於台灣上市櫃股票市場。該模型包含了五個總體經濟因子：工業生產成長率、未預期 通貨膨脹率、通貨膨脹率變化、利率期限結構利差、及信用利差。我們透過規模、價值、及動能等特徵來切分股票，從中建構出 50 組依照個別股票特性分類的投資組合。最後以總體經濟五因子作為自變數、和 50 組台灣上市櫃股票投資組合作為應變數，透過 Fama and MacBeth (1973) 的時間序列與橫斷面兩階段迴歸分析及 Gibbons, Ross, and Shanken (1989) 的 GRS 檢定方法來檢定五因子模型之定價能力。結果顯示總體經濟五因子模型之調整後判定係數高達 90% 以上，亦通過 GRS 檢定，整體表現優於台股組成的 Fama and French (1993) 三因子模型。從模型估算得出之風險溢酬，我們觀察到台灣股市與總體經濟數據息息相關。
This paper investigates the performance of the Chen, Roll, and Ross (1986) (CRR) five-factor model in pricing assets in the Taiwanese stock market. The model incorporates five macroeconomic factors: the growth rate of industrial production, unexpected inflation, the change in expected inflation, term spread, and default spread. After constructing 50 testing asset portfolios based on size, value, and momentum, we examine pricing ability of the CRR five-factor model through the Fama and MacBeth (1973) two-pass regression and the Gibbons, Ross, and Shanken (1989) GRS test. Our results show that the determination coefficient of the macroeconomic five-factor model exceeds 90%, and passes the GRS test. The macroeconomic risk model also has better explanatory power than the Fama and French (1993) three-factor model constructed from Taiwanese stocks. Moreover, the estimated risk premium from the macroeconomic risk factor model reflect the strong tie between the Taiwanese stock market and the macroeconomic conditions.參考文獻 Adrian, Tobias, Arturo Estrella, and Hyun Song Shin, 2010, Monetary cycles, financial cycles and the business cycle, FRB of New York Staff Report 421.Alhenawi, Yasser, 2015, On the interaction between momentum effect and size effect, Review of Financial Economics 26, 36–46.Banz, Rolf W, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18.Basu, Sanjoy, 1977, Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis, The Journal of Finance 32, 663–682.Beckers, Stan, Richard Grinold, Andrew Rudd, and Dan Stefek, 1992, The relative importance of common factors across the European equity markets, Journal of Banking and Finance 16, 75–95.Bekaert, Geert, and Eric Engstrom, 2010, Inflation and the stock market: Understanding the “Fed Model”, Journal of Monetary Economics 57, 278–294.Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.Celebi, Kaan, and Michaela Hönig, 2019, The impact of macroeconomic factors on the German stock market: Evidence for the crisis, pre-and post-crisis periods, International Journal of Financial Studies 7, 18.Chen, Nai-Fu, Richard Roll, and Stephen A Ross, 1986, Economic forces and the stock market, Journal of Business 59, 383–403.Cochrane, John H, 1996, A cross-sectional test of an investment-based asset pricing model, Journal of Political Economy 104, 572–621.Cochrane, John H, 2005, Asset pricing (Princeton University Press).Cooper, Ilan, Andreea Mitrache, and Richard Priestley, 2022, A global macroeconomic risk model for value, momentum, and other asset classes, Journal of Financial and Quantitative Analysis 57, 1–30.Dhakal, Dharmendra, Magda Kandil, and Subhash C Sharma, 1993, Causality between the money supply and share prices: a VAR investigation, Quarterly Journal of Business and Economics 52–74.Ergungor, O Emre, 2016, Recession probabilities, Federal Reserve Bank of Cleveland, Economic Commentary https://doi.org/10.26509/frbc–ec–201609.Estrella, Arturo, and Frederic S Mishkin, 1998, Predicting US recessions: Financial variables as leading indicators, Review of Economics and Statistics 80, 45–61.Estrella, Arturo, and Mary R Trubin, 2006, The yield curve as a leading indicator: Some practical issues, Federal Reserve Bank of New York, Current Issues in Economics and Finance 12, 1.Fama, Eugene F, 1981, Stock returns, real activity, inflation, and money, The American Economic Review 71, 545–565.Fama, Eugene F, and Kenneth R French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.Fama, Eugene F, and Kenneth R French, 2018, Choosing factors, Journal of Financial Economics 128, 234–252.Fama, Eugene F, and Michael R Gibbons, 1984, A comparison of inflation forecasts, Journal of Monetary Economics 13, 327–348.Fama, Eugene F, and James D MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607–636.Fisher, Irving, 1930, The theory of interest, Macmillan 43, 1–19.Gibbons, Michael R, Stephen A Ross, and Jay Shanken, 1989, A test of the efficiencyof a given portfolio, Econometrica 57, 1121–1152.Hahn, Jaehoon, and Hangyong Lee, 2006, Yield spreads as alternative risk factors for size and book-to-market, Journal of Financial and Quantitative Analysis 41, 245–269.He, Jia, and Lilian K Ng, 1998, The foreign exchange exposure of Japanese multinational corporations, The Journal of Finance 53, 733–753.Hicks, John R, 1946, Value and Capital (Oxford University Press).Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, 2021, An augmented q-factor modelwith expected growth, Review of Finance 25, 1–41.Jagannathan, Ravi, and Zhenyu Wang, 1996, The conditional CAPM and the cross-section of expected returns, The Journal of Finance 51, 3–53.Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance 48, 65–91.Kamstra, Mark J, and Ruoyao Shi, 2023, Testing and Ranking of Asset Pricing Models Using the GRS Statistic, SSRN Working Paper.Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.Liu, Laura Xiaolei, and Lu Zhang, 2008, Momentum profits, factor pricing, and macroeconomic risk, The Review of Financial Studies 21, 2417–2448.Merton, Robert C, 1973, An intertemporal capital asset pricing model, Econometrica 41, 867–887.Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783. Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341–360.Serra, Ana Paula, 2003, The cross-sectional determinants of returns: Evidence fromemerging markets’ stocks, Journal of Emerging Market Finance 2, 123–162.Sharpe, William F, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442.Stambaugh, Robert F, and Yu Yuan, 2017, Mispricing factors, The Review of Financial Studies 30, 1270–1315.Wright, Jonathan, 2006, The yield curve and predicting recessions, Technical report, Board of Governors of the Federal Reserve System (US).向淑文, 2000, 投資期限與資產定價因子, 碩士論文, 國立中央大學.張愷凌, 2009, 景氣循環、總體經濟變數與台灣股價指數的關係性研究, 碩士論文, 國立交通大學. 描述 碩士
國立政治大學
國際經營與貿易學系
110351033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351033 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.advisor Chung, Ling-Tak en_US dc.contributor.author (Authors) 劉湘淇 zh_TW dc.contributor.author (Authors) Liu, Hsiang-Chi en_US dc.creator (作者) 劉湘淇 zh_TW dc.creator (作者) Liu, Hsiang-Chi en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:31:50 (UTC+8) - dc.date.available 6-Jul-2023 16:31:50 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:31:50 (UTC+8) - dc.identifier (Other Identifiers) G0110351033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145787 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 110351033 zh_TW dc.description.abstract (摘要) 本研究探討 Chen, Roll, and Ross (1986) 的 CRR 五因子模型是否適用於台灣上市櫃股票市場。該模型包含了五個總體經濟因子：工業生產成長率、未預期 通貨膨脹率、通貨膨脹率變化、利率期限結構利差、及信用利差。我們透過規模、價值、及動能等特徵來切分股票，從中建構出 50 組依照個別股票特性分類的投資組合。最後以總體經濟五因子作為自變數、和 50 組台灣上市櫃股票投資組合作為應變數，透過 Fama and MacBeth (1973) 的時間序列與橫斷面兩階段迴歸分析及 Gibbons, Ross, and Shanken (1989) 的 GRS 檢定方法來檢定五因子模型之定價能力。結果顯示總體經濟五因子模型之調整後判定係數高達 90% 以上，亦通過 GRS 檢定，整體表現優於台股組成的 Fama and French (1993) 三因子模型。從模型估算得出之風險溢酬，我們觀察到台灣股市與總體經濟數據息息相關。 zh_TW dc.description.abstract (摘要) This paper investigates the performance of the Chen, Roll, and Ross (1986) (CRR) five-factor model in pricing assets in the Taiwanese stock market. The model incorporates five macroeconomic factors: the growth rate of industrial production, unexpected inflation, the change in expected inflation, term spread, and default spread. After constructing 50 testing asset portfolios based on size, value, and momentum, we examine pricing ability of the CRR five-factor model through the Fama and MacBeth (1973) two-pass regression and the Gibbons, Ross, and Shanken (1989) GRS test. Our results show that the determination coefficient of the macroeconomic five-factor model exceeds 90%, and passes the GRS test. The macroeconomic risk model also has better explanatory power than the Fama and French (1993) three-factor model constructed from Taiwanese stocks. Moreover, the estimated risk premium from the macroeconomic risk factor model reflect the strong tie between the Taiwanese stock market and the macroeconomic conditions. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 3第二章 文獻回顧 4第一節 總體經濟因子模型實證研究 4第二節 總體經濟五因子實證研究 5第三章 研究資料與方法 7第一節 資料來源 7第二節 研究方法 9第四章 研究結果與分析 13第一節 樣本資料概況 13第二節 檢定結果 16第三節 與 Fama-French 三因子模型比較 22第四節 總體經濟五因子模型之強度檢驗 27第五章 結論與建議 30第一節 結論 30第二節 限制與建議 31參考文獻 33 zh_TW dc.format.extent 1109938 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351033 en_US dc.subject (關鍵詞) 總體經濟因子 zh_TW dc.subject (關鍵詞) 套利定價理論 zh_TW dc.subject (關鍵詞) 台灣上市櫃股票市場 zh_TW dc.subject (關鍵詞) Macroeconomic Factors en_US dc.subject (關鍵詞) Arbitrage Pricing Theory en_US dc.subject (關鍵詞) Taiwanese Stock Market en_US dc.title (題名) 台灣上市櫃股票市場之總體經濟風險因子模型 zh_TW dc.title (題名) A Macroeconomic Risk Model for the Taiwanese Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Adrian, Tobias, Arturo Estrella, and Hyun Song Shin, 2010, Monetary cycles, financial cycles and the business cycle, FRB of New York Staff Report 421.Alhenawi, Yasser, 2015, On the interaction between momentum effect and size effect, Review of Financial Economics 26, 36–46.Banz, Rolf W, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18.Basu, Sanjoy, 1977, Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis, The Journal of Finance 32, 663–682.Beckers, Stan, Richard Grinold, Andrew Rudd, and Dan Stefek, 1992, The relative importance of common factors across the European equity markets, Journal of Banking and Finance 16, 75–95.Bekaert, Geert, and Eric Engstrom, 2010, Inflation and the stock market: Understanding the “Fed Model”, Journal of Monetary Economics 57, 278–294.Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.Celebi, Kaan, and Michaela Hönig, 2019, The impact of macroeconomic factors on the German stock market: Evidence for the crisis, pre-and post-crisis periods, International Journal of Financial Studies 7, 18.Chen, Nai-Fu, Richard Roll, and Stephen A Ross, 1986, Economic forces and the stock market, Journal of Business 59, 383–403.Cochrane, John H, 1996, A cross-sectional test of an investment-based asset pricing model, Journal of Political Economy 104, 572–621.Cochrane, John H, 2005, Asset pricing (Princeton University Press).Cooper, Ilan, Andreea Mitrache, and Richard Priestley, 2022, A global macroeconomic risk model for value, momentum, and other asset classes, Journal of Financial and Quantitative Analysis 57, 1–30.Dhakal, Dharmendra, Magda Kandil, and Subhash C Sharma, 1993, Causality between the money supply and share prices: a VAR investigation, Quarterly Journal of Business and Economics 52–74.Ergungor, O Emre, 2016, Recession probabilities, Federal Reserve Bank of Cleveland, Economic Commentary https://doi.org/10.26509/frbc–ec–201609.Estrella, Arturo, and Frederic S Mishkin, 1998, Predicting US recessions: Financial variables as leading indicators, Review of Economics and Statistics 80, 45–61.Estrella, Arturo, and Mary R Trubin, 2006, The yield curve as a leading indicator: Some practical issues, Federal Reserve Bank of New York, Current Issues in Economics and Finance 12, 1.Fama, Eugene F, 1981, Stock returns, real activity, inflation, and money, The American Economic Review 71, 545–565.Fama, Eugene F, and Kenneth R French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.Fama, Eugene F, and Kenneth R French, 2018, Choosing factors, Journal of Financial Economics 128, 234–252.Fama, Eugene F, and Michael R Gibbons, 1984, A comparison of inflation forecasts, Journal of Monetary Economics 13, 327–348.Fama, Eugene F, and James D MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607–636.Fisher, Irving, 1930, The theory of interest, Macmillan 43, 1–19.Gibbons, Michael R, Stephen A Ross, and Jay Shanken, 1989, A test of the efficiencyof a given portfolio, Econometrica 57, 1121–1152.Hahn, Jaehoon, and Hangyong Lee, 2006, Yield spreads as alternative risk factors for size and book-to-market, Journal of Financial and Quantitative Analysis 41, 245–269.He, Jia, and Lilian K Ng, 1998, The foreign exchange exposure of Japanese multinational corporations, The Journal of Finance 53, 733–753.Hicks, John R, 1946, Value and Capital (Oxford University Press).Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, 2021, An augmented q-factor modelwith expected growth, Review of Finance 25, 1–41.Jagannathan, Ravi, and Zhenyu Wang, 1996, The conditional CAPM and the cross-section of expected returns, The Journal of Finance 51, 3–53.Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance 48, 65–91.Kamstra, Mark J, and Ruoyao Shi, 2023, Testing and Ranking of Asset Pricing Models Using the GRS Statistic, SSRN Working Paper.Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.Liu, Laura Xiaolei, and Lu Zhang, 2008, Momentum profits, factor pricing, and macroeconomic risk, The Review of Financial Studies 21, 2417–2448.Merton, Robert C, 1973, An intertemporal capital asset pricing model, Econometrica 41, 867–887.Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783. Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341–360.Serra, Ana Paula, 2003, The cross-sectional determinants of returns: Evidence fromemerging markets’ stocks, Journal of Emerging Market Finance 2, 123–162.Sharpe, William F, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442.Stambaugh, Robert F, and Yu Yuan, 2017, Mispricing factors, The Review of Financial Studies 30, 1270–1315.Wright, Jonathan, 2006, The yield curve and predicting recessions, Technical report, Board of Governors of the Federal Reserve System (US).向淑文, 2000, 投資期限與資產定價因子, 碩士論文, 國立中央大學.張愷凌, 2009, 景氣循環、總體經濟變數與台灣股價指數的關係性研究, 碩士論文, 國立交通大學. zh_TW
