政大學術集成


Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/58704


Title: 台灣八大產業之風險報酬抵換關係
The risk-return trade-off relations of eight industries on Taiwan stock market
Authors: 辛盈盈
HSIN, YING YING
Contributors: 饒秀華
徐世勛

辛盈盈
HSIN, YING YING
Keywords: 跨期資本定價模型
ICAPM model
Date: 2012
Issue Date: 2013-07-01 17:37:50 (UTC+8)
Abstract: 研究結合台灣八大產業類股為橫斷面資料和跨期資本定價模型(ICAPM)的風險溢酬之抵換關係。以雙變量GARCH模型去估計與時鉅變的市場風險因子¬各股與市場超額報酬的條件共變異數。並以條件共變異數代表風險值去估計八大類股風險報酬的關係,實證研究顯示在未限制各類股風險報酬關係之斜率一致下,大部分產業估計出的斜率(相對市場風險趨避係數)幾乎都不顯著,在此情形下,不符合其ICAPM理論的高風險高報酬的推論;但在限制各類股風險報酬關係的斜率一致下所估出的斜率可得到正向顯著關係,則符合ICAPM理論的高風險高報酬關係。除了探討市場風險因子與各大類股的風險報酬關係之外,我們另外也加入了其他影響投資機會風險因子對各類股超額報酬的關係,更進一步強化ICAPM模型,我們以三個狀態變數對各類股超額報酬的條件共變異數當作投資機會風險因子。分別為違約利差、股價殖利率、去掉時間趨勢的短期利率。在同時考慮市場風險因子和投資機會風險因子對各類股超額報酬的關係,發現原本市場風險與報酬關係系數值維持正向顯著,也發現投資風險因子對各類股超額報酬關係也都顯著並符合經濟上的合理性:短期利率風險因子為負向顯著,違約利差風險因子、殖利率風險因子為正向顯著。
Reference: 楊明栽,「資本資產定價理論在台灣股票市場之實證研究」,1997,淡江大學財務金融研究所碩士論文
詹前浩,2002, 「類股報酬不對稱性及報酬波動之比較」,東海大學經濟系碩士論文
楊亦農 (2009),《時間序列分析經濟與財務上之應用》,台北:雙頁書廊有限公司。
鄭燕茹(2004),「盈餘、股利與股票預期報酬之橫斷面分析」,中央大學企業管理研究所碩士論文
楊麗玲等 (2005),「跨期性資本資產定價-台灣股市實證分析」,中華技術學院學報,頁32,45-63。
陳文玲 (1991),「資本資產定價模式於台灣股票市場之實證研究」,國立臺灣大學商學研究所碩士論文。
宋曉君(2009),「多元GARCH模型在亞洲股票市場的應用」,廈門大學研究所碩士論文。
李家宜(1999)-「以條件資產定價模型探討資產報酬的決定因素--台灣股票市場1991年至1998年實證分析」,東吳大學經濟系碩士論文
李美樺 (2007),「以橫斷面跨期資本資產訂價模型衡量台灣股市報酬與風險之動態關係」,銘傳大學財務金融學系碩士論文。
黃一祥、王元章、何加政、許嘉惠,2003,「台灣股市系統性風險之估計及橫斷面預期報酬之分析」,《財務金融學刊》,第11卷第3期,1-33頁。
林庭瑄,2009, 「風險報酬之關係-台灣加權股價指數實證」,政治大學國際經營與貿易學系碩士論文
柯博倫,2010, 「風險值之估計-GARCH模型之應用」,臺灣大學農業經濟學研究所碩士論文
謝明霖,雷立芬,2009, 「臺灣上市公司隨時間變動系統風險之結構性轉變研究」,台灣銀行季刊第六十一卷第四期
魏武興,2012,「市場風險與個別國家風險對台灣股市的影響(按產業分) 」,國立政治大學經濟學系研究所碩士論文
蕭碧珍(2003),「長短期殖利率差與股價指數漲跌關聯性研究----以台灣為例」,交通大學國際經貿學程碩士論文
陳翠玲(1990),「總體經濟因子與股價關係之研究-以台灣股票市場為例」,國立中山大學企業管理研究所碩士論文
洪銓(2002),「台灣股票集中市場成分波動性的實證研究」,國立成功大學企業管理研究所碩士論文
李嘉芳(2003),「獨特性波動之研究-以台灣上市股票為例」,國立中央大學產產業經濟研究所碩士論文
繆岳娟(2012),「金融海嘯期間歐、美股市對台灣股市之不對稱波動傳遞效果」,嶺東科技大學財務金融研究所碩士論文
朱家慧(2011),「風險值與超額報酬抵換關係之探討」,淡江大學財務金融學系研究所碩士論文
魏石勇(2011),「金融海嘯前後波動的動態條件相關下臺股價量關係與規模效應之影響」,雲林科技大學財務金融系博士班
袁淑芳,李進生,林佳慧(2011),「由風險與報酬的關係檢視不同類型事件的衝擊」,管理科學研究 卷期:8卷1期
Akdeniz, L., Altay-Salih, A., & Caner, M. (2003). Time-varying betas help in asset pricing: the threshold CAPM. Studies in Nonlinear Dynamics & Econometrics,6(4).
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. The Journal of Political Economy, 116-131.
Baillie, R. T., & DeGennaro, R. P. (1990). Stock returns and volatility. Journal of financial and quantitative analysis, 25(2), 203-214.
Brandt, M. W., & Wang, K. Q. (2003). Time-varying risk aversion and unexpected inflation. Journal of Monetary Economics, 50(7), 1457-1498.
Brandt, M. W., & Kang, Q. (2004). On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach. Journal of Financial Economics, 72(2), 217-257.
Bali, T. G., & Peng, L. (2006). Is there a risk–return trade‐off? Evidence from high‐frequency data. Journal of Applied Econometrics, 21(8), 1169-1198.
Bali, T. G. (2008). The intertemporal relation between expected returns and risk. Journal of Financial Economics, 87(1), 101-131.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403.
Campbell, J. Y. (1987). Stock returns and the term structure. Journal of financial economics, 18(2), 373-399.
Campbell, J. Y., & Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of financial Economics, 31(3), 281-318.
Campbell, J. Y., & Ammer, J. (1993). What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns. The Journal of Finance, 48(1), 3-37.
Dybvig, P. H., & Ross, S. A. (1985). Differential information and performance measurement using a security market line. The Journal of Finance, 40(2), 383-399.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 607-636.
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics, 19(1), 3-29.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
Fama, E. F., & French, K. R. (2004). The capital asset pricing model: theory and evidence. The Journal of Economic Perspectives, 18(3), 25-46.
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801
Ghysels, E., Santa-Clara, P., & Valkanov, R. (2005). There is a risk-return trade-off after all. Journal of Financial Economics, 76(3), 509-548.
Guo, H., & Whitelaw, R. F. (2006). Uncovering the risk–return relation in the stock market. The Journal of Finance, 61(3), 1433-1463.
Hansen, L. P., & Richard, S. F. (1987). The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica: Journal of the Econometric Society, 587-613.
Harrison, P., & Zhang, H. H. (1999). An investigation of the risk and return relation at long horizons. Review of Economics and Statistics, 81(3), 399-408.
Harvey, C. R. (2001). The specification of conditional expectations. Journal of Empirical Finance, 8(5), 573-637
Huang, H. C. R. (2003). Tests of regime-switching CAPM under price limits. International Review of Economics & Finance, 12(3), 305-326.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The review of economics and statistics, 47(1), 13-37.
Merton, R. C. (1973). Theory of rational option pricing. The Bell Journal of Economics and Management Science, 141-183
Pojarliev, M., & Polasek, W. (2001). Applying multivariate time series forecasts for active portfolio management. Financial Markets and Portfolio Management, 15(2), 201-211.
Sharpe, W. F. (1964). Capital asset prices:A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Schwert, G. W. (1990). Business cycles, financial crises, and stock volatility (No. w2957). National Bureau of Economic Research.
Scruggs, J. T. (1998). Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two‐factor approach. The Journal of Finance, 53(2), 575-603.
Whitelaw, R. F. (1994). Time variations and covariations in the expectation and volatility of stock market returns. The Journal of Finance, 49(2), 515-541.
Description: 碩士
國立政治大學
經濟學系
100258010
101
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100258010
Data Type: thesis
Appears in Collections:[Department of Economics] Theses

Files in This Item:

File SizeFormat
801001.pdf1077KbAdobe PDF423View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing