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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 3-May-2016 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.
2.證交資料，台灣證券交易所證交資料社出版，民國五十二年一月十五日、六十七年一月二十五日、七十六年十二月二十五日.
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.
4.聯合報，民國七十八年四月十九日，第一版.
5.證券統計要覽，財政部證券管理委員會編印，民國66年4月~76年4月.
6.上市證券發行公司公開說明書合訂本，台灣證券交易所編印，66年度至75年度.
7.上市證券概況，台灣證券交易所編印，67年1月~74年12月.
8.苗台生，套利定價理論在台灣股票市場的實證研究.國立台灣大學商學研究所未出版碩士論文，民國七十三年十二月，PP.1-108.
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.
10.楊浩二，多變量統計方法.華泰書局印行，初版，民國七十三年八月.
11.黃俊英，多變量分析.作者自印，第二版，民國七十五年元月.

貳、英文參考資料
1. Lee, Cheng F.,Financial Analysis and Planning－Theory and Application, A Book of Readings. Addison Wesley,1983,PP.692-697.
2. Markowitz, Harry, "Portfolio Selection, "Journal of Finance, Vol. 12,March 1952,PP. 77-91.
3. Sharpe, William F.,"A Simplified Model for Portfolio Analysis, "Management Science,10,January 1963,PP.277-293.
4. _____________, Investments. Prentice-Hall ,Inc.,3rd. ed.,1985,PP.182-201.
5. Linter, John, "The Valuation of Risk Assets and the Selection of Risky Investments in Portfolios and Capital Budgets, "Review of Economics and Statistics.47,Febuary 1965,PP.13-37.
6. Mossin,Jan, "Equilibrium in a Capital Asset Market, "Econometrica, No. 4,Vol. 34,October 1966,PP. 768-783.
7. Black, Fischer, "Capital Market Equilibrium with Restricted Borrowing, "Journal of Bussiness,45,July 1972,PP.444-455.
8. Fama, Eugene F. & James D. MacBeth, "Risk ,Return ,and Equilibrium: Empirical
Tests," Journal of Political Economy, May / June 1973,PP.607-636.
9. ____________,Foundations of Finance. New York: Basic Books,1976,PP.8-11.
10. Roll ,Richard, "A Critique of the Asset Pricing Theory`s Tests, "Journal of Financial Economics,4,1977,PP.129-176.
11. ___________& Stephen A. Ross, "A Empirical Investigation of Arbitrage Pricing Theory, "Journal of Finance, No. 5,Vol. XXXV, December 1980,PP. 1073 - 1103.
12. ___________, "A Possible Explanation of the Small Firm Effect, "Journal of Finance, No. 4,Vol. XXXVI, September 1981,PP.879-888.
13. Ohlson, James A. & Mark B. Garman, "A Dynamic Equilibrium for the Ross Arbitrage
Model , "Journal of Finance, No. 3,Vol .XXXV, June 1980,PP.675-684.
14. Huberman, Gur, "A Simplified Approach to Arbitrage Pricing Theory, "Journal of Economic Theory,28,1982, PP.183-191.
15. Elton, Edwin、Martin Gruber & Joel Rentzler, "The Arbitrage Pricing Model and Returns on Assets under Uncertain Inflation, "Journal of Finance, No. 2,Vol.XXXVIII,May 1983,PP.525-537.
16. ____________& Martin J. Gruber, Modern Portfolio Theory and Investment Analysis. John Wiley & Sons,3rd. ed.,1987,PP.336-358.
17. Dybvig, Philip H., "An Explicit Bound on Individual Asset`s Deviations from APT Pricing in a Finite Economy, "Journal of Financial Economics, 12,1983,PP.483-496.
18. ____________& Stephen A. Ross, "Yes, The APT Is Testable, "Journal of Finance,
No. 4, Vol. XL, September 1985,PP.1173-1188.
19. Stambaugh, Robert F., "Arbitrage Pricing with Information, "Journal of Financial Economics, 12,1983,PP.357-369.
20. Grinblatt, Mark & Sheridan Titman, "Factor Pricing in a Finite Economy, "Journal of Financial Economics, 12, 1983, PP.497-507.
21. Chen, Nai-Fu & Jonathan E. Ingersoll, Jr., "Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note, "Journal of Finance, No. 3,Vol. XXXVIII, June 1983,PP.985-988.
22. ___________,"Some Empirical Tests of the Theory of Arbitrage Pricing, " Journal of Finance, No. 5,Vol. XXXVIII, December 1983,PP.1293-1414.
23. ___________, "Comment, "Journal of Bussiness and Economic Statistics, No. 1,Vol. 6,January 1988,P. 16.
24. ___________, Richard Roll & Stephen A. Ross, "Economic Forces and the Stock Market, "Journal of Bussiness, No. 3,Vol. 59, 1986,PP.383-403.
25. Chamberlain, Gary, "Funds , Factors, and Diversification in Arbitrage Pricing Models, "Econometrica, No. 5,Vol. 51,September 1983,PP.1305-1323.
26. ___________& Michael Rothschild, "Arbitrage,Factor Structure,and Mean-Variance Analysis on Large Asset Markets, "conometrica, No. 5,Vol. 51,Septemper 1983, PP.1281-1304.
27. Shanken, Jay, "The Arbitrage Pricing Theory: Is it Testable ?"Journal of Finance, No. 5,Vol. XXXVII, December 1982,PP.1129-1140.
28. Radcliffe, Robert C., Investment－Concepts, Analysis, and Strategy. Scott ,Foreman and Company, 2nd. ed., 1987, P. 6.
29. Ross, Stephen A., "The Arbitrage Theory of Capital Asset Pricing, "Journal of Economic Theory,13,1976,PP.341-360.
30. Fogler, H. Russell "Common Sense on CAPM, APT and Correlated Residuals, "
Journal of Portfolio Management, Summer 1982,PP.20-28.
31. Brown, Stephen J. & Mark I. Weinstein, "A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm, "Journal of Finance, No. 3,Vol. XXXVIII, June 1983,PP.711-743.
32. Kryzanowski, Lawrence & Minh Chau To, "General Factor Models and the Structure
of Security Returns, "Journal of Financial and Quantitative Analysis, No. 1,Vol. 18,1983,PP. 31-52.
33. Cho,D. Chinhyung、Edwin J. Elton & Martin J. Gruber, "On the Robustness of the Roll and Ross Arbitrage Pricing Theory, "Journal of Financial and Quantitative Analysis,No.1,Vol. 19,1984,PP.1-10.
34. ___________, "On Testing the Arbitrage Pricing Theory: Inter-Battery Factor Analysis, "Journal of Finance, No. 5,Vol. XXXIX, December 1984,PP.1485-1502.
35. Bower, Dorothy H. ,Richard S. Bower & Dennis E. Logue, "Arbitrage Pricing Theory and Utility Stock Returns, "Journal of Finance,No. 4,Vol. XXXIX , September 1984,PP.1041-1054.
36. ConwaY, Delores A. & Marc R. Reinganum, "Stable Factors in Security Returns: Identification Using Cross-Validation, "Journal of Bussiness and Economic Statistics,No.1,Vol. 6,January 1988,PP.1-15.
37.__________________________________,"Reply,"Journal of Bussiness and Economic
Statistics, No. 1,Vol. 6,January 1988,PP.24-28.
38. Johnston,J., Econometric Method. McGraw-Hill Co.,3rd. ed.,1984.
39. Jobson,J. D.,"Corrment,"Journal of Bussiness and Economic Statistics, No. 1,Vol. 6,January 1988,PP.16-20.
40. Reinganum, Marc R., "The Arbitrage Pricing Theory: Some Empirical Results, "Journal of Finance, No. 2,Vol. XXXVI, May 1981,PP.313-321.
41. Dhrymes, Phoebus J., "The Empirical Relevance of Arbitrage Pricing Models,"Journal of Portfolio Management, Summer 1984,PP.35-44.
42. ______________、Irwin Friend & N. Bulent Gultekin,"A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory, "Journal of Finance, No. 2,Vol. XXXIX, June 1984,PP.323-346.
43. ______________, Irwin Friend ,Mustafa N. Gultekin & N. Bulent Gultekin,"New Tests of the APT and their Implications, "Journal of Finance, No. 3,Vol. XL, uly 1985,PP .659-674.
44. Kraus, Alan, "Discussion, "Journal of Finance, No. 3,Vol. XL, July 1985,PP.674-675.
45. Gultekin, N. Bulent & Richard J. Rogalski, "Government Bond Returns, Measurement
of Interest Rate Risk, and the Arbitrage Pricing Theory, "Journal of Finance, No. 1,Vol. XL, March 1985,PP. 43-61.
46. Trzcinka, Charles, "On the Numbers of Factors in the Arbitrage Pricing Model, "Journal of Finance, No. 2,Vol. XLI, June 1986,PP.347-368.
47. Harman, Harry H.,Modern Factor Analysis. The University of Chicago,3rd. ed.,1976.
48. Johnson, Richard A. & Dean W. Wichern, Applied Multivariate Statistical Analysis. Prentice-Hall Co.,2nd. ed., 1988.
49. Press, James S., Applied Multivariate Analysis: Using Bayesian and Frequentist Methods. Florida : Robert E. Krieger Publishing Company,2nd. ed.,1972.
50. Everitt, B. S.,An Introduction to Latent Variable Models. Chapman and Hall Co.,1984.
51. Evans, John L. and Stephen A. Archer, "Diversification and the Reduction of Dispersion: An Empirical Analysis, "Journal of Finance, December 1968,PP.761-767.
52. McElroy, Marjorie B. & Edwin Burnmeister,"Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model : Iterated Nonlinear Seemingly Unrelated Regression Estimators," Journal of Bussiness and Economic Statistics,No. 1,Vol. 6,January 1988,PP.29-42.
53. Mendenhall ,William、Richard L. Scheaffer & Dennis D. Wackerly, Mathematical Statistics with Applications. Duxbury Press, 2nd. Ed. ,1981.
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
dc.contributor.advisor 陳肇榮zh_TW
dc.contributor.author (Authors) 謝養zh_TW
dc.creator (作者) 謝養zh_TW
dc.date (日期) 1989en_US
dc.date (日期) 1988en_US
dc.date.accessioned 3-May-2016 14:07:29 (UTC+8)-
dc.date.available 3-May-2016 14:07:29 (UTC+8)-
dc.date.issued (上傳時間) 3-May-2016 14:07:29 (UTC+8)-
dc.identifier (Other Identifiers) B2002005229en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90024-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.abstract (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。		zh_TW
dc.description.tableofcontents 目錄
圖表目錄
第一章 緒論………1
第一節 研究動機………1
第二節 研究問題及目的………2
第三節 研究期間及樣本………2
第四節 研究架構………4
第五節 研究限制………5
第六節 各章概述………5
第二章 文獻探討………7
第一節 理論基礎………7
第二節 國外實證文獻探討………13
第三節 國內實證文獻探討………28
第三章 研究方法………38
第一節 資料來源及其處理………38
第二節 研究假設………39
第三節 報酬率母體常態分配檢定………40
第四節 最大概似因素分析………42
第五節 橫斷面複迴歸分析………50
第四章 個別證劵實證分析………55
第一節 資料處理結果………55
第二節 報酬率之常態分配檢定………55
第三節 最大概似因素分析………58
第四節 橫斷面複迴歸分析………61
第五章 投資組合實證分析………66
第一節 資料處理結果………66
第二節 報酬率之常態分配檢定………67
第三節 最大概似因素分析………69
第四節 橫斷面複迴歸分析………76
第六章 結論與建議………88
第一節 結論………88
第二節 建議………90
附錄一 研究樣本中各上市公司名稱………92
附錄二 W分配統計量表………94
附錄三 資料處理結果(以台塑股為例) ………95
附錄四 股票報酬率相關係數矩陣………97
附錄五 隨機亂數表………103
參考書目………104

圖表目錄
圖1-4-1研究架構………4
表2-1-1套利定價模式國外實證文獻彙總………24
表2-1-2套利定價模式國內實證文獻彙總………32
表3-1-1複迴歸分析的ANOVA分析………52
表4-2-1常態分配檢定－W統計量(九十六個月) ………56
表4-2-2常態分配機定－W統計量(四十八個月) ………57
表4-3-1因素模型的AIC值(九十六個月) ………58
表4-3-2因素模型的AIC值(四十八個月) ………61
表4-3-3最大概似法八因素分析表………59
表4-3-4最大概似法四因素分析表………60
表4-4-1 APT模型之橫斷面分析(九十六個月) ………63
表4-4-2 APT模型之橫斷面分析(四十八個月) ………64
表5-1-1證券數目增加時，系統性風險與非系統性風險佔總風險百分比之變化表………66
表5-1-2隨機分組結果………67
表5-2-1各組合常態分配檢定－W統計量(九十六個月) ………68
表5-2-2各組合常態分配檢定－W統計量(四十八個月) ………68
表5-3-1各組合因素模型的AIC值(九十六個月) ………69
表5-3-2各組合因素模型的AIC值(四十八個月) ………69
表5-3-3最大概似法各組合因素分析表(九十六個月) ………70
表5-3-4最大概似法各組合因素分析表(四十八個月) ………73
表5-4-1各組合橫斷面複迴歸分析表(九十六個月) ………77
表5-4-2各組合橫斷面複迴歸分析表(四十八個月) ………80
表5-4-3各組合之APT假設檢定彙總表………86		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005229en_US
dc.title (題名) 套利定價模式應用於股票報酬率預測之實證研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (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.
2.證交資料，台灣證券交易所證交資料社出版，民國五十二年一月十五日、六十七年一月二十五日、七十六年十二月二十五日.
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.
4.聯合報，民國七十八年四月十九日，第一版.
5.證券統計要覽，財政部證券管理委員會編印，民國66年4月~76年4月.
6.上市證券發行公司公開說明書合訂本，台灣證券交易所編印，66年度至75年度.
7.上市證券概況，台灣證券交易所編印，67年1月~74年12月.
8.苗台生，套利定價理論在台灣股票市場的實證研究.國立台灣大學商學研究所未出版碩士論文，民國七十三年十二月，PP.1-108.
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.
10.楊浩二，多變量統計方法.華泰書局印行，初版，民國七十三年八月.
11.黃俊英，多變量分析.作者自印，第二版，民國七十五年元月.

貳、英文參考資料
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