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題名 公司規模效果之涉險值研究 作者 林建秀
Lin, Chien-Hsiu貢獻者 郭維裕
林建秀
Lin, Chien-Hsiu關鍵詞 涉險值
規模效果
帳面市值效果
Value-at-Risk
size effect
book to market effect日期 2000 上傳時間 30-Mar-2016 17:47:54 (UTC+8) 摘要 本文嘗試利用涉險值（VaR）的估計來衡量投資組合風險和規模效果之間的關係。在歷史模擬法、變異-共變異法及極端值法估計VaR的結果中，皆得到小規模策略投資組合之可能損失風險額大於大規模策略投資組合。由VaR的估計，我們可得以下結論：規模溢酬和風險具有高度相關。小規模策略投資組合的風險高於大規模策略投資組合，故需具備較大規模策略投資組合為高之風險溢酬。 而投資人若進行買進小規模策略投資組合及賣出大規模策略投資組合，則因所承擔之風險較高，故所獲致優於大盤的績效，便在於彌補其所承擔的風險。此結果支持理性資產定價模式（Rational Asset Pricing）的論點。 參考文獻 中文部分： 杜幸樺，民國八十八年，影響台灣股票報酬之共同因素與企業特性之研究--Fama-French三因子模式.動能策略與交易量因素，中山大學企業管理研究所未出版碩士論文 林天中，民國八十七年，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，清華大學經濟研究所未出版碩士論文 林倩郁，民國八十八年，台灣股市過度反應之再驗證，逢甲大學企業管理研究所未出版碩士論文 李春旺，民國八十三年，股價行為與規模效應：台灣股票市場實證研究，台灣經濟研究叢書之三十四 陳惠萍，民國八十八年，股票橫斷面之橫斷面分析--以台灣與上海股票市場為例，逢甲大學企業管理研究所未出版碩士論文 英文部分： Banz, R. W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18 Banz, R. W., and W. Breen, 1986, Sample dependent results using accounting and market data: Some evidence, Journal of Finance 41, 779-793 Basu, S., 1977, Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis, Journal of Finance 3, 663-82 Beirlant, J., J. Teugels, and P. Vynckier, 1996, Practical analysis of extreme values, Leuven University Press, Leuven Chan, L. K., Y. Hamao, and J. Lakonishok, 1991, Fundamentals and stock returns in Japan, Journal of Finance 46, 1739-1789 Danielsson, J., P. Hartmann, and C. de Vries, 1998, The cost of conservatism, RISK 11(1), 101-103 DeBondt, W. F. M., and T. Richard, 1985, Does the stock market overreact? , Journal of Finance 40, 793-805 Dowd, K., 1998, Beyond Value at Risk: the new science of risk management, John Wiley & Sons, Inc., Dowd, K., 1999, The Extreme Value Approach to VaR-An Introduction, Financial Engineering News, Duffie, D., and J. Pan, 1997, An Overview of Value at Risk, The Journal of Derivatives Spring, 7-46 Embrechts, P., S. Resnick, and G. Samorodnitsky, 1998, Living on the edge, RISK 11(1), 96-100 Fama, E. F., and K. R. French, 1992, The Cross- Section of Expected Stock Returns, Journal of Finance, 427- 465 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 Fama, E. F., and K. R. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155 Fama, E. F., and K. R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance 51, 55-84 Hopper, G. P., 1997, Value-at-Risk: A New Methodology for Measuring Portfolio Risk, VaR: Understanding and Applying Value-at-Risk, 141-149 Hull, J., and A. White, 1998, Value at Risk When Daily Changes In Market Variables are Not Normally Distributed, The Journal of Derivatives Spring, 9-19 Jaffe, J., D. B. Keim, and R. Westerfield, 1989, Earnings yields, market values, and stock returns, Journal of Finance 44, 135-148 J. P. Morgan/Reuters, 1996, Risk Metrics - Technical Document, Fourth Edition Jorion, P., 1997, Value at Risk: The New Benchmark for Controlling Market Risk, The McGraw-Hill Companies, Inc., Kothari, S. P., J. Shanken, and R. G. Sloan, 1995, Another look at the cross-section of expected stock returns, Journal of Finance 50, 185-224 Knez, P. J., and M. J. Ready, 1997, On the robustness of size and book-to-market in cross-sectional regressions, Journal of Finance, 1355-1382 Lakonishok, J., A. Shleifer, and R. W. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578 Lintner, 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 McNeil, A. J., 1999, Extreme Value Theory for Risk Managers, ETH Zentrum Ray, C., 1993, The Bond Market, Business One Irwin, Homewood Illinois. Rosenberg, B., K. Reid, and R. Lanstein, 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 Shaw, J., 1997, Beyond Value at Risk and Stress Testing, VaR: Understanding and Applying Value-at-Risk, 211-223 Stattman, D., 1980, Book values and stock returns, The Chicago MBA: A Journal of Selected Papers 4, 25-45 Zangari, P., 1996, When is non-normality a problem? The case of 15 time series from emerging markets, RiskMetrics Monitor, 20-32 描述 碩士
國立政治大學
國際經營與貿易學系
87351013資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002049 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.author (Authors) 林建秀 zh_TW dc.contributor.author (Authors) Lin, Chien-Hsiu en_US dc.creator (作者) 林建秀 zh_TW dc.creator (作者) Lin, Chien-Hsiu en_US dc.date (日期) 2000 en_US dc.date.accessioned 30-Mar-2016 17:47:54 (UTC+8) - dc.date.available 30-Mar-2016 17:47:54 (UTC+8) - dc.date.issued (上傳時間) 30-Mar-2016 17:47:54 (UTC+8) - dc.identifier (Other Identifiers) A2002002049 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83089 - 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) 87351013 zh_TW dc.description.abstract (摘要) 本文嘗試利用涉險值（VaR）的估計來衡量投資組合風險和規模效果之間的關係。在歷史模擬法、變異-共變異法及極端值法估計VaR的結果中，皆得到小規模策略投資組合之可能損失風險額大於大規模策略投資組合。由VaR的估計，我們可得以下結論：規模溢酬和風險具有高度相關。小規模策略投資組合的風險高於大規模策略投資組合，故需具備較大規模策略投資組合為高之風險溢酬。 而投資人若進行買進小規模策略投資組合及賣出大規模策略投資組合，則因所承擔之風險較高，故所獲致優於大盤的績效，便在於彌補其所承擔的風險。此結果支持理性資產定價模式（Rational Asset Pricing）的論點。 zh_TW dc.description.tableofcontents 封面頁 證明書 論文摘要 1. 前言 2. 研究方法 3. 實証結果及分析 3.1 資料特性 3.2 風險衡量 3.3 小結 4. 結論與建議 參考文獻 附表&附圖 附錄 zh_TW dc.format.extent 122227 bytes - dc.format.extent 122227 bytes - dc.format.extent 122227 bytes - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002049 en_US dc.subject (關鍵詞) 涉險值 zh_TW dc.subject (關鍵詞) 規模效果 zh_TW dc.subject (關鍵詞) 帳面市值效果 zh_TW dc.subject (關鍵詞) Value-at-Risk en_US dc.subject (關鍵詞) size effect en_US dc.subject (關鍵詞) book to market effect en_US dc.title (題名) 公司規模效果之涉險值研究 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分： 杜幸樺，民國八十八年，影響台灣股票報酬之共同因素與企業特性之研究--Fama-French三因子模式.動能策略與交易量因素，中山大學企業管理研究所未出版碩士論文 林天中，民國八十七年，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，清華大學經濟研究所未出版碩士論文 林倩郁，民國八十八年，台灣股市過度反應之再驗證，逢甲大學企業管理研究所未出版碩士論文 李春旺，民國八十三年，股價行為與規模效應：台灣股票市場實證研究，台灣經濟研究叢書之三十四 陳惠萍，民國八十八年，股票橫斷面之橫斷面分析--以台灣與上海股票市場為例，逢甲大學企業管理研究所未出版碩士論文 英文部分： Banz, R. W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18 Banz, R. W., and W. Breen, 1986, Sample dependent results using accounting and market data: Some evidence, Journal of Finance 41, 779-793 Basu, S., 1977, Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis, Journal of Finance 3, 663-82 Beirlant, J., J. Teugels, and P. Vynckier, 1996, Practical analysis of extreme values, Leuven University Press, Leuven Chan, L. K., Y. Hamao, and J. Lakonishok, 1991, Fundamentals and stock returns in Japan, Journal of Finance 46, 1739-1789 Danielsson, J., P. Hartmann, and C. de Vries, 1998, The cost of conservatism, RISK 11(1), 101-103 DeBondt, W. F. M., and T. Richard, 1985, Does the stock market overreact? , Journal of Finance 40, 793-805 Dowd, K., 1998, Beyond Value at Risk: the new science of risk management, John Wiley & Sons, Inc., Dowd, K., 1999, The Extreme Value Approach to VaR-An Introduction, Financial Engineering News, Duffie, D., and J. Pan, 1997, An Overview of Value at Risk, The Journal of Derivatives Spring, 7-46 Embrechts, P., S. Resnick, and G. Samorodnitsky, 1998, Living on the edge, RISK 11(1), 96-100 Fama, E. F., and K. R. French, 1992, The Cross- Section of Expected Stock Returns, Journal of Finance, 427- 465 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 Fama, E. F., and K. R. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155 Fama, E. F., and K. R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance 51, 55-84 Hopper, G. P., 1997, Value-at-Risk: A New Methodology for Measuring Portfolio Risk, VaR: Understanding and Applying Value-at-Risk, 141-149 Hull, J., and A. White, 1998, Value at Risk When Daily Changes In Market Variables are Not Normally Distributed, The Journal of Derivatives Spring, 9-19 Jaffe, J., D. B. Keim, and R. Westerfield, 1989, Earnings yields, market values, and stock returns, Journal of Finance 44, 135-148 J. P. Morgan/Reuters, 1996, Risk Metrics - Technical Document, Fourth Edition Jorion, P., 1997, Value at Risk: The New Benchmark for Controlling Market Risk, The McGraw-Hill Companies, Inc., Kothari, S. P., J. Shanken, and R. G. Sloan, 1995, Another look at the cross-section of expected stock returns, Journal of Finance 50, 185-224 Knez, P. J., and M. J. Ready, 1997, On the robustness of size and book-to-market in cross-sectional regressions, Journal of Finance, 1355-1382 Lakonishok, J., A. Shleifer, and R. W. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578 Lintner, 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 McNeil, A. J., 1999, Extreme Value Theory for Risk Managers, ETH Zentrum Ray, C., 1993, The Bond Market, Business One Irwin, Homewood Illinois. Rosenberg, B., K. Reid, and R. Lanstein, 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 Shaw, J., 1997, Beyond Value at Risk and Stress Testing, VaR: Understanding and Applying Value-at-Risk, 211-223 Stattman, D., 1980, Book values and stock returns, The Chicago MBA: A Journal of Selected Papers 4, 25-45 Zangari, P., 1996, When is non-normality a problem? The case of 15 time series from emerging markets, RiskMetrics Monitor, 20-32 zh_TW
