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題名 總體商業訊息與台灣股票報酬之關係：以Fama-MacBeth兩階段方法實證
News Related to Macroeconomics and Taiwan Stock Market Return: Using two-step Fama-MacBeth Procedure
作者 王崇育
Wang, Chung Yu
貢獻者 饒秀華<br>蕭明福
Rau, Hsiu Hua<br>Shaw, Ming Fu
王崇育
Wang, Chung Yu
關鍵詞 Fama-French三因子模型
向量自我回歸模型
期限利差
違約利差
Fama-French three-factor model
VAR model
term spread
default spread
日期 2013
上傳時間 7-Jul-2014 11:09:55 (UTC+8)
摘要 本文利用向量自我迴歸模型所得出來的殘差值來模擬未預期到的總體經濟訊息，以期限利差和一個月定存利率來捕捉殖利率曲線，以違約利差和股利收益率來描繪資產報酬的條件機率分布，本文實證未預期到的期限利差和未預期到的違約風險與淨值市價比因子和市值規模因子包含相同的訊息，因此後續檢驗這些能夠捕捉未來投資機會的總體經濟訊息比起Fama-French三因子模型是否對台灣股票橫斷面的平均報酬更具有解釋能力。
     
      實證方法採用Fama-MacBeth(1973)兩階段迴歸方法，Fama-French三因子模型實證結果顯示台灣股票市場存在著負向的淨值市價比效果，但卻不存在著規模效果，這與國外一些學者研究1980年代之後規模效果逐漸消失的結論相同。在實證未預期到的總體經濟訊息模型時，由於被解釋變數為股票超額報酬率，因此常數項應該為不顯著的關係，但此假設強烈的被未預期到的總體經濟訊息模型拒絕，代表此模型可能遺漏了重要的解釋變數。因此，Fama-French 三因子模型對台灣股票橫斷面平均報酬率的解釋能力比未預期到的總體經濟訊息模型更佳。
The Fama and French factors HML and SMB are correlated with innovations in variables that describe investment opportunities. I find that shocks to term spread and shocks to default spread have the same information with the Fama and French factors HML and SMB. This paper investigates whether a model that includes shocks to the aggregate dividend yield and term spread, default spread, and one-month deposit interest rate can explain the cross section of average return on Taiwan stock market as well as the Fama and French can.
     
      Using the Fama-MacBeth (1973) two steps cross-sectional regressions, I find there exists the negative book-to-market effect on Taiwan stock market, but the size effect disappears. Since the dependent variables in the regression is excess returns, the intercept of the cross-sectional regression should be zero. This hypothesis is strongly rejected in the case of the model includes shocks to the Macroeconomics variables and the market portfolio. It means this model omits some important variables, so the Fama and French three-factor model can explain the cross section of average returns better.
參考文獻 英文文獻
     
     01.Ang, A., and Geert Bekaret (2007), “Stock Return
      Predictability: Is It There?” Review of Financial Studies
      20, 651-707.
     02.Banz, R. W. (1981), “The Relationship between Return and
      Market Value of Common Stocks,” Journal of Financial
      Economics 9, 3-18.
     03.Campbell, J. (1996), “Understanding Risk and Return,”
      Journal of Political Economy 104, 298-345.
     04.Campbell, J., and Motohiro Yogo (2006), “Efficiency Tests
      of Stock Return Predictability,” Journal of Financial
      Economics 81, 27-60.
     05.Campbell, J., and Tuomo Vuolteenaho (2004), “Bad Beta, G
      Good Beta,” American Economic Review 94, 1249-1275.
     06.Chan, L. K. C., Jason Karceski and Josef Lakonishok
      (2000), “New Paradigm or Same Old Hype in Equity
      Investing,” Financial Analysts Journal 56, 23-36.
     07.Chan, L. K. C., and Nai-fu Chen (1991), “Structural and
      Return Characteristics of Small and Large Firms,” Journal
      of Finance 46, 1467-1484.
     08.Cornell, B. (1999), “Risk, Duration, and Capital
      Budgeting: New Evidence on Some Old Questions,” Journal
      of Business 72, 183-200.
     09.Fama, E. F. (1990), “Stock Returns, Expected return, and
      Real Activity,” Journal of Finance, 1089-1108.
     10.Fama, E. F., and K. R. French (1989), “Business
      Conditions and Expected Returns on Stocks and Bonds,”
      Journal of Financial Economics 25, 23-49.
     11.Fama, E. F., and K. R. French (1992), “The Cross-Section
      of Expected Stock Returns,” Journal of Finance 46, 427-
      446.
     12.Fama, E. F., and K. R. French (1993), “Common Risk
      Factors in the Returns on Stocks and Bonds,” Journal of
      Financial Economics 33, 3-56.
     13.Fama, E. F., and K. R. French (1996), “Multifactor
      Explanations of Asset Pricing Anomalies,” Journal of
      Finance 51, 55-84.
     14.Fama, E. F., and J. MacBeth (1973), “Risk, Return and
      Equilibrium: Empirical Tests,” Journal of Political
      Economy 81, 607-636.
     15.Fant, L. F., and D. R. Peterson (1995), “The Effect of
      Size, Book-to-Market Equity, Prior Returns, and Beta on
      Stock Returns: January versus the Remainder of the Year,”
      Journal of Financial Economics 12, 129-142.
     16.Gordon, M. J. (1962), “The Investment, Financing, and
      Valuation of the Corporation,” Homewood, IL, Irwin.
     17.Hahn, J., and Hangyong Lee (2003), “Yield Spreads as
      Alternative Risk Factors for Size and Book-to-Market,”
      Working paper, University of Washington.
     18.Horowitz, J. J., Tim Loughran and N. E. Savin (2000),
      “The Disappearing Size Effect,” Research in Economics 54,
      83-100.
     19.Horowitz, J. J., Tim Loughran and N. E. Savin (2000),
      “Three Analyses of the Firm Size Premium,” Journal of
      Empirical Finance 7, 143-53.
     20.Jagannathan, R., and Zhenyu Wang (1996), “The Conditional
      CAPM and the Cross-Section of Expected Returns,” Journal
      of Finance 51, 3-53.
     21.Jagannathan, R., and Zhenyu Wang (1998), “Asymptotic
      Theory for Estimating Beta Pricing Models Using Cross-
      Sectional Regressions,” Journal of Finance 53, 1285-1309.
     22.Jonathan H. W. (2006), “The Yield Curve and Predicting
      Recessions,” Finance and Economics Discussion Series,
      Divisions of Research & Statistics and Monetary Affairs
      Federal Reserve Board, Washington, D.C.
     23.Keim, D. B. (1983), “Size-Related Anomalies and Stock
      Return Seasonality: Further Empirical Evidence,” Journal
      of Financial Economics 12, 13-32.
     24.Keim, D. B. (1987), “Daily Returns and Size-Related
      Premiums: One More Time,” Journal of Portfolio
      Management, 41-47.
     25.Lettau, M., and Jessica Wachter (2007), “Why Is Long-
      Horizon Equity Less Risky? A Duration-Based Explanation
      of the Value Premium” Journal of Finance 62, 55-92.
     26.Lettau, M., and Stijn Van Nieuwerburgh (2008),
      “Reconciling the Return Predictability Evidence,” Review
      of Financial Studies 21, 1607-1652.
     27.Lettau, M., and Sydney Ludvigson (2001), “Resurrecting
      the (C)CAPM: A Cross-Sectional Test When Risk Premia Are
      Time-Varing,” Journal of Political Economy 109, 1238-
      1287.
     28.Liew, J., and Maria Vassalou (2000), “Can Book-to-Market,
      Size, and Momentum Be Risk Factors That Predict Economic
      Growth?” Journal of Financial Economics 57, 221-245.
     29.Linter, J. (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.
     30.Loughran, T. (1997), “Book-to-Market across Firm Size,
      Exchange, and Seasonality: Is there an Effect?” Journal
      of Financial and Quantitative Analysis 32, 249-268.
     31.Marc W. S., and Sanjay Ramchander (2008), “An Inquiry
      into the Economic Fundamentals of the Fama and French
      Equity Factors,” Journal of Empirical Finance 15, 801-
      815.
     32.Merton, R. C. (1973), “An Intertemporal Capital Asset
      Pricing Model,” Econometrica 41, 867-887.
     33.Opler, T., and Titman, S. (1994), “Financial Distress and
      Corporate Performance,” Journal of Finance 49, 1015-1040.
     34.Petkova, R. (2006), “Do the Fama-French Factors Proxy for
      Innovations in Predictive Variables?” Journal of Finance
      61, 581-612.
     35.Petkova, R., and Lu Zhang (2004), “Is Value Riskier than
      Growth?” Journal of Financial Economics 78, 187-202.
     36.Polk, C. (2002), “The Market as A Hedge,” Working paper,
      Northwestern University.
     37.Shanken, J. (1992), “On the Estimation of Beta-Pricing
      Models,” Review of Financial Studies 5, 1-34.
     38.Sharpe, W. F. (1964), “Capital Asset Prices: A Theory of
      Market Equilibrium under Conditions of Risks,” Journal of
      Finance 19, 425-442.
     39.Reinganum, M. R. (1981), “Misspecification of Capital
      Asset Pricing: Empirical Anomalies Based on Earnings
      Yields and Market Values,” Journal of Finance Economics
      9, 19-46.
     40.Roll, R. (1981), “A Possible Explanation of the Small
      Firm Effect,” Journal of Finance 36, 879-888.
     41.Rosenberg, B., Kenneth R., and Ronald Lanstein (1985),
      “Persuasive Evidence of Market Inefficiency,” Journal of
      Portfolio Management 11, 9-16.
     42.Tolga, C. (2011), “Size, Book-to-Market Ratio and
      Macroeconomic News,” Journal of Empirical Finance 18,
      248-270.
     43.Vassalou, M. (2003), “News Related to Future GDP Growth
      as a Risk Factor in Equity Returns,” Journal of Financial
      Economics 68, 47-73.
     
     
     中文文獻
     
     01.呂偉傑，「股價、景氣狀態與貨幣政策─台灣證券交易所發行量加權指數實證研
      究」，私立朝陽科技大學財務金融研究所論文，民國九十五年六月。
     02.林秋炭，「經濟因素、公司規模與股票報酬關係之研究」，私立東海大學企業管
      理研究所碩士論文，民國八十年六月。
     03.周賓凰、劉怡芬，「台灣股市橫斷面報酬解釋因子：特徵、單因子、或多因
      子？」，證券市場發展季刊，第45期，1-31，民國八十七年。
     04.胡玉雪，「益本比、淨值/市價比及公司規模對股票報酬之影響─相似無關回歸
      法之應用」，國立台灣大學商學研究所碩士論文，民國八十三年六月。
     05.陳俊屹，「公司規模、淨值市價比對效率投資組合選取的影響評估─平均數-左
      尾部分動差模型之應用」，國立交通大學經營管理研究所碩士論文，民國九十年
      六月。
     06.許維真，「何種益本比資料有助於選股？─台灣股市橫斷面報酬率影響因素之研
      究」，國立台灣大學國際貿易研究所碩士論文，民國八十五年六月。
     07.彭火樹，「股票報酬決定因素及股票報酬與盈餘間關係之研究」，國立政治大學
      會計研究所博士論文，民國八十六年六月。
     08.張眾卓、王祝三，「臺灣時間序列與橫斷面股票報酬之研究：不同模型設定、投
      資組合建構以及樣本選擇下之再檢測」，經濟研究，49:1，31-38，民國一百
      零一年三月。
     09.張尊悌，「貝他、公司規模及淨值市價比三因子評價模型之研究：以台灣股市為
      例」，國立清華大學經濟研究所碩士論文，民國八十五年六月。
     10.彭玉鳳，「公司規模、淨值市價比和股票報酬關係之探討」，國立中央大學企業
      管理研究所碩士論文，民國八十七年六月。
     11.雷雅淇，「公司規模、股價、益本比、淨值市價比與股票超常報酬關係之實證研
      究」，國立中央大學企業管理研所碩士論文，民國八十八年六月。
     12.鄭燕茹，「盈餘、股利與股票預期報酬之橫斷面分析」，國立中央大學企業管理
      研究所碩士論文，民國九十三年六月。
     13.顧廣平，「台灣上市公司股票報酬與重要財務資訊關聯性之探討」，國立交通大
      學經營管理研究所博士論文，民國八十八年六月。
描述 碩士
國立政治大學
經濟學系
101258007
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1012580072
資料類型 thesis
dc.contributor.advisor 饒秀華<br>蕭明福zh_TW
dc.contributor.advisor Rau, Hsiu Hua<br>Shaw, Ming Fuen_US
dc.contributor.author (Authors) 王崇育zh_TW
dc.contributor.author (Authors) Wang, Chung Yuen_US
dc.creator (作者) 王崇育zh_TW
dc.creator (作者) Wang, Chung Yuen_US
dc.date (日期) 2013en_US
dc.date.accessioned 7-Jul-2014 11:09:55 (UTC+8)-
dc.date.available 7-Jul-2014 11:09:55 (UTC+8)-
dc.date.issued (上傳時間) 7-Jul-2014 11:09:55 (UTC+8)-
dc.identifier (Other Identifiers) G1012580072en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67314-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 101258007zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 本文利用向量自我迴歸模型所得出來的殘差值來模擬未預期到的總體經濟訊息，以期限利差和一個月定存利率來捕捉殖利率曲線，以違約利差和股利收益率來描繪資產報酬的條件機率分布，本文實證未預期到的期限利差和未預期到的違約風險與淨值市價比因子和市值規模因子包含相同的訊息，因此後續檢驗這些能夠捕捉未來投資機會的總體經濟訊息比起Fama-French三因子模型是否對台灣股票橫斷面的平均報酬更具有解釋能力。
     
      實證方法採用Fama-MacBeth(1973)兩階段迴歸方法，Fama-French三因子模型實證結果顯示台灣股票市場存在著負向的淨值市價比效果，但卻不存在著規模效果，這與國外一些學者研究1980年代之後規模效果逐漸消失的結論相同。在實證未預期到的總體經濟訊息模型時，由於被解釋變數為股票超額報酬率，因此常數項應該為不顯著的關係，但此假設強烈的被未預期到的總體經濟訊息模型拒絕，代表此模型可能遺漏了重要的解釋變數。因此，Fama-French 三因子模型對台灣股票橫斷面平均報酬率的解釋能力比未預期到的總體經濟訊息模型更佳。		zh_TW
dc.description.abstract (摘要) The Fama and French factors HML and SMB are correlated with innovations in variables that describe investment opportunities. I find that shocks to term spread and shocks to default spread have the same information with the Fama and French factors HML and SMB. This paper investigates whether a model that includes shocks to the aggregate dividend yield and term spread, default spread, and one-month deposit interest rate can explain the cross section of average return on Taiwan stock market as well as the Fama and French can.
     
      Using the Fama-MacBeth (1973) two steps cross-sectional regressions, I find there exists the negative book-to-market effect on Taiwan stock market, but the size effect disappears. Since the dependent variables in the regression is excess returns, the intercept of the cross-sectional regression should be zero. This hypothesis is strongly rejected in the case of the model includes shocks to the Macroeconomics variables and the market portfolio. It means this model omits some important variables, so the Fama and French three-factor model can explain the cross section of average returns better.		en_US
dc.description.tableofcontents 摘要 i
     Abstract ii
     目錄 iii
     表目錄與圖目錄 iv
     第壹章 緒論 1
     第一節 研究動機與目的 1
     第二節 研究範圍與限制 4
     第三節 研究流程與架構 5
     第貳章 文獻回顧 7
     第一節 資本資產訂價理論模型 7
     第二節 Fama-French 三因子模型相關文獻探討 9
     第三節 總體經濟因子相關文獻探討 14
     第參章 研究方法 19
     第一節 ICAPM模型架構 19
     第二節 計量方法 20
     第三節 變數選取與定義 22
     第肆章 實證分析 27
     第一節 投資組合建構與研究樣本敘述 27
     第二節 VAR模型估計 32
     第一節 Fama-MacBeth兩階段迴歸方法實證 35
     第伍章 結論與建議 44
     第一節 結論 44
     第一節 建議 45
     參考文獻 47		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1012580072en_US
dc.subject (關鍵詞) Fama-French三因子模型zh_TW
dc.subject (關鍵詞) 向量自我回歸模型zh_TW
dc.subject (關鍵詞) 期限利差zh_TW
dc.subject (關鍵詞) 違約利差zh_TW
dc.subject (關鍵詞) Fama-French three-factor modelen_US
dc.subject (關鍵詞) VAR modelen_US
dc.subject (關鍵詞) term spreaden_US
dc.subject (關鍵詞) default spreaden_US
dc.title (題名) 總體商業訊息與台灣股票報酬之關係：以Fama-MacBeth兩階段方法實證zh_TW
dc.title (題名) News Related to Macroeconomics and Taiwan Stock Market Return: Using two-step Fama-MacBeth Procedureen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 英文文獻
     
     01.Ang, A., and Geert Bekaret (2007), “Stock Return
      Predictability: Is It There?” Review of Financial Studies
      20, 651-707.
     02.Banz, R. W. (1981), “The Relationship between Return and
      Market Value of Common Stocks,” Journal of Financial
      Economics 9, 3-18.
     03.Campbell, J. (1996), “Understanding Risk and Return,”
      Journal of Political Economy 104, 298-345.
     04.Campbell, J., and Motohiro Yogo (2006), “Efficiency Tests
      of Stock Return Predictability,” Journal of Financial
      Economics 81, 27-60.
     05.Campbell, J., and Tuomo Vuolteenaho (2004), “Bad Beta, G
      Good Beta,” American Economic Review 94, 1249-1275.
     06.Chan, L. K. C., Jason Karceski and Josef Lakonishok
      (2000), “New Paradigm or Same Old Hype in Equity
      Investing,” Financial Analysts Journal 56, 23-36.
     07.Chan, L. K. C., and Nai-fu Chen (1991), “Structural and
      Return Characteristics of Small and Large Firms,” Journal
      of Finance 46, 1467-1484.
     08.Cornell, B. (1999), “Risk, Duration, and Capital
      Budgeting: New Evidence on Some Old Questions,” Journal
      of Business 72, 183-200.
     09.Fama, E. F. (1990), “Stock Returns, Expected return, and
      Real Activity,” Journal of Finance, 1089-1108.
     10.Fama, E. F., and K. R. French (1989), “Business
      Conditions and Expected Returns on Stocks and Bonds,”
      Journal of Financial Economics 25, 23-49.
     11.Fama, E. F., and K. R. French (1992), “The Cross-Section
      of Expected Stock Returns,” Journal of Finance 46, 427-
      446.
     12.Fama, E. F., and K. R. French (1993), “Common Risk
      Factors in the Returns on Stocks and Bonds,” Journal of
      Financial Economics 33, 3-56.
     13.Fama, E. F., and K. R. French (1996), “Multifactor
      Explanations of Asset Pricing Anomalies,” Journal of
      Finance 51, 55-84.
     14.Fama, E. F., and J. MacBeth (1973), “Risk, Return and
      Equilibrium: Empirical Tests,” Journal of Political
      Economy 81, 607-636.
     15.Fant, L. F., and D. R. Peterson (1995), “The Effect of
      Size, Book-to-Market Equity, Prior Returns, and Beta on
      Stock Returns: January versus the Remainder of the Year,”
      Journal of Financial Economics 12, 129-142.
     16.Gordon, M. J. (1962), “The Investment, Financing, and
      Valuation of the Corporation,” Homewood, IL, Irwin.
     17.Hahn, J., and Hangyong Lee (2003), “Yield Spreads as
      Alternative Risk Factors for Size and Book-to-Market,”
      Working paper, University of Washington.
     18.Horowitz, J. J., Tim Loughran and N. E. Savin (2000),
      “The Disappearing Size Effect,” Research in Economics 54,
      83-100.
     19.Horowitz, J. J., Tim Loughran and N. E. Savin (2000),
      “Three Analyses of the Firm Size Premium,” Journal of
      Empirical Finance 7, 143-53.
     20.Jagannathan, R., and Zhenyu Wang (1996), “The Conditional
      CAPM and the Cross-Section of Expected Returns,” Journal
      of Finance 51, 3-53.
     21.Jagannathan, R., and Zhenyu Wang (1998), “Asymptotic
      Theory for Estimating Beta Pricing Models Using Cross-
      Sectional Regressions,” Journal of Finance 53, 1285-1309.
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     中文文獻
     
     01.呂偉傑，「股價、景氣狀態與貨幣政策─台灣證券交易所發行量加權指數實證研
      究」，私立朝陽科技大學財務金融研究所論文，民國九十五年六月。
     02.林秋炭，「經濟因素、公司規模與股票報酬關係之研究」，私立東海大學企業管
      理研究所碩士論文，民國八十年六月。
     03.周賓凰、劉怡芬，「台灣股市橫斷面報酬解釋因子：特徵、單因子、或多因
      子？」，證券市場發展季刊，第45期，1-31，民國八十七年。
     04.胡玉雪，「益本比、淨值/市價比及公司規模對股票報酬之影響─相似無關回歸
      法之應用」，國立台灣大學商學研究所碩士論文，民國八十三年六月。
     05.陳俊屹，「公司規模、淨值市價比對效率投資組合選取的影響評估─平均數-左
      尾部分動差模型之應用」，國立交通大學經營管理研究所碩士論文，民國九十年
      六月。
     06.許維真，「何種益本比資料有助於選股？─台灣股市橫斷面報酬率影響因素之研
      究」，國立台灣大學國際貿易研究所碩士論文，民國八十五年六月。
     07.彭火樹，「股票報酬決定因素及股票報酬與盈餘間關係之研究」，國立政治大學
      會計研究所博士論文，民國八十六年六月。
     08.張眾卓、王祝三，「臺灣時間序列與橫斷面股票報酬之研究：不同模型設定、投
      資組合建構以及樣本選擇下之再檢測」，經濟研究，49:1，31-38，民國一百
      零一年三月。
     09.張尊悌，「貝他、公司規模及淨值市價比三因子評價模型之研究：以台灣股市為
      例」，國立清華大學經濟研究所碩士論文，民國八十五年六月。
     10.彭玉鳳，「公司規模、淨值市價比和股票報酬關係之探討」，國立中央大學企業
      管理研究所碩士論文，民國八十七年六月。
     11.雷雅淇，「公司規模、股價、益本比、淨值市價比與股票超常報酬關係之實證研
      究」，國立中央大學企業管理研所碩士論文，民國八十八年六月。
     12.鄭燕茹，「盈餘、股利與股票預期報酬之橫斷面分析」，國立中央大學企業管理
      研究所碩士論文，民國九十三年六月。
     13.顧廣平，「台灣上市公司股票報酬與重要財務資訊關聯性之探討」，國立交通大
      學經營管理研究所博士論文，民國八十八年六月。		zh_TW