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題名 公司規模、帳面市值比與風險溢酬的長期關係
Long-term relationship between company size, book-to-market ratio and risk premium作者 孟慶安
Meng, Ching-An貢獻者 饒秀華
孟慶安
Meng, Ching-An關鍵詞 三因子
經濟意涵
公司規模
公司帳面市值比日期 2020 上傳時間 3-Aug-2020 17:24:51 (UTC+8) 摘要 本篇論文採用Fama and French（1995）及Davis, Fama, and French（1998）的方式，利用公司帳面市值比（B/M Ratio）及規模（Size）區分為六大投資組合，再分別探討帳面市值比效果（B/M Effect）、規模效（Size Effect）及依據獲利、風險指標討論其背後的經濟意涵，最後再比較Fama and French（1995）及Davis, Fama, and French（1998）各自採用不同的投資組合形成年前、後年限去計算之財務指摽數字是否有所差異。\n\n資料來源為台灣經濟新報（Taiwan Economic Journal，TEJ），期間為2004年12月至2019年6月的台灣上市公司月資料（一共608檔股票），其中不包含金融海嘯期間（即2008年-2009年）、金融產業公司資料及資料較不齊全之公司。\n\n而結果發現，帳面市值比效果及公司規模效果與台灣上市公司股票報酬率具顯著關係；整體來說，小規模公司（Small Size）、高帳面市值比（High B/M Ratio）的公司具較低的獲利能力、較高的風險，以致於債務償還能力較差，進而使得投資人要求較高的溢酬；比較Fama and French（1995）及Davis, Fama, and French（1998）的方式後，除在資產報酬率（Return-to-Asset）、帳面權益報酬率（Return-to-Book Equity）、營收市值比標準差（Standard Deviation of Earning-to-Price Ratio）有差異外，其餘指標數字均差異不大。 參考文獻 Altman, E. I. (1968). Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy. The Journal of Finance, 23(4), 589-609.\n\nAjili, S (2002).”The capital asset pricing model and the three-factor model of Fama and French revisited in the case of France.”Cahier de Recherche du CEREG /\n\nArshanapalli, B, Coggin.D and Doukas.J. (1998):”Multifactor asset pricing analysis of international investment strategies.” Journal of portfolio management, summer, pp 10- 23.\n\nAvramo. D; Chordia.T; Jostova.G and Phipov.A (2013):”Anomalies and financial distress” Journal of Financial Economics 108, pp139-159\n\n\nBanz R (1981): “The relationship between return and market value of common Stocks’, Journal of financial Economic, vol. 9, Issue 1, March 1981, pp. 3-18.\n\nBlack, F., Jensen, M. C., & Scholes, M. J. S. i. t. t. o. c. m. (1972). The capital asset pricing model: Some empirical tests. 81(3), 79-121.\n\nChan.K and Chen. Nai-Fu (1991):” Structural and return characteristics of small and large firms” The Journal of Finance, vol. 46, issue 4, pp1467-84.\n\nChen N and Zhang.F (1998):”Risk and returns of value stocks” Journal of Business, issue 7, N°4.\n\nCampbell, Hilsher and Szilagy (2006): “In search of distress risk”. NBER working paper N°12362, July.\n\nDavis, Fama, and French(1998): “Are Size And Book-To-Market Effects, Risk Compensations? Evidence from the Tunisian Stock Exchange”, American International Journal of Contemporary Research, Vol. 5, No. 6; December 2015\n\nDaniel K., Titman S. and Wei K.C. J. (2001):”Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?”, The Journal of Finance, vol. LVI, No.2, April 2001, pp. 743-766.\n\nElfakhani S., Lockwood L.J. and Zaher T.S (1998):”Small Firm and Value Effects in the Canadian Stock Market”, Journal of Financial Research, vol. 21, issue3, pp. 277-291, Econ Papers Re Pec.\n\nFama, E. F and French .K.R (1992):”The Cross-Section of Expected Stock Returns’ The Journal of Finance, vol. XLVII, No. 2.\n\nFama, E.F and French. K.R. (1993):”Common risk factors in the returns on stocks and bonds’, Journal of Financial Economics, vol. 33, issue 1, pp. 3-56.\n\nFama E.F. and French K.R (1995):”Size and Book-to-Market factors in Earnings and Returns” The Journal of Finance, vol. 50, No. 1, pp. 131-155.\n\nFama E. F. and French K,R.(1998):”Value versus Growth: The International Evidence”, The Journal of Finance, vol. 53, issue 6, pp. 1975 – 1999.\n\nGrosbieand Bohn (2003):”Modeling Default risk.” December 18, Moody’s K.M.V\n\nKeim, D. B (1983）.,“Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence”, Journal of Financial Economics, Vol.12, No.1, pp.13-32.\n\nKahl M (2001) “Financial Distress as a Selection Mechanism: Evidence from the United States.” working paper, University of California Los Angeles.\n\nKothari.S.P., Shanken J. and Sloan R.G.(1995):”Another Look at the Cross-section of Expected Stock Returns’, The Journal of Finance, vol. 50, No. 1, pp. 185 –224.\n\nLintner 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, vol. 47, issue 1, pp. 13–37.\n\nLoughran T (1997) :”‘Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect ?”, The Journal of Financial and Quantitative Analysis, vol. 32, No. 3, pp. 249-268.\n\nLakonishok J, Shleifer. A and Vishny R.W (1994):”Contrarian Investment, Extrapolation, and Risk”, The Journal of finance, vol. 49, issue 5, pp. 1541 – 1578.\n\nLam, K. (2005). Is the Fama-French three factor model better than the CAPM? , Department of Economics-Simon Fraser University.\n\nMarkowitz, H. (1952). Portfolio selection*. The Journal of Finance, 7(1), 77-91.\n\nMossin, J. (1966). “Equilibrium in a capital asset market”, Econometrica, Vol. 34, No. 4,pp 768-783.\n\nMolay E. (2000) :« Le modèle de rentabilité à trois facteurs de Fama et French (1993): Une application sur le marché français, Etudes et Documents, CEROG ».Université de Droit, D’Economie et des Sciences D’Aix Marseille, Clos Guiot, N°564, Janvier.\n\nOhlson, J.A.(1980), “Financial ratios and the probabilistic prediction of\nbankruptcy”, Journal of Accounting Research, 18, 109-131.\n\nRoss, S.(1976), “The arbitrage theory of capital asset pricing”, Journal of Economic Theory 13: 341-360.\n\nRosenberg B. Kenneth R. and Lanstein R (1985):”Persuasive evidence of market inefficiency” .Journal of Portfolio Management, vol. 11, No. 3, pp. 9 – 16.\n\nSharpe W.F (1964):”Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” The Journal of Finance, Vol. 19, No. 3, pp. 425–442.\n\nVassalou. M and Xing.Y (2004):“Default risk in equity returns”. The Journal of Finance Vol 59, pp 831-868.\n\nZhang, L. J. T. J. o. F. (2005). The value premium. 60(1), 67-103.\n\n陳建良(1994)。我國股票市場異常現象之實證研究。國立交通大學，管理科學研究所，新竹市。\n\n彭國根(1996)。規模及淨值與規模比對股票報酬之影響--臺灣股票市場之實證研究(碩士)，東吳大學，台北市。\n\n蔡坤宏(2007)。資本資產定價之研究-三因子模型、財務失敗風險，國立雲林科技大學財務金融系。\n\n陳家靜(2015)。結合企業風險槓桿及 Fama and French 三因子模型建構高低估股價投資組合策略之研究。國立臺北大學企業管理學系碩士論文。\n\n郭宸佑(2015)。股東權益報酬率對投資股票報酬之實證研究，樹德科技大學金融系碩士班學位論文。\n\n謝璧而(2018)。公司財務績效指標與股價關係之研究-台灣50成分股為例，碩士論文，國立高雄師範大學成人教育研究所。 描述 碩士
國立政治大學
國際經營與貿易學系
107351033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107351033 資料類型 thesis dc.contributor.advisor 饒秀華 zh_TW dc.contributor.author (Authors) 孟慶安 zh_TW dc.contributor.author (Authors) Meng, Ching-An en_US dc.creator (作者) 孟慶安 zh_TW dc.creator (作者) Meng, Ching-An en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:24:51 (UTC+8) - dc.date.available 3-Aug-2020 17:24:51 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:24:51 (UTC+8) - dc.identifier (Other Identifiers) G0107351033 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=149885 - 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) 107351033 zh_TW dc.description.abstract (摘要) 本篇論文採用Fama and French（1995）及Davis, Fama, and French（1998）的方式，利用公司帳面市值比（B/M Ratio）及規模（Size）區分為六大投資組合，再分別探討帳面市值比效果（B/M Effect）、規模效（Size Effect）及依據獲利、風險指標討論其背後的經濟意涵，最後再比較Fama and French（1995）及Davis, Fama, and French（1998）各自採用不同的投資組合形成年前、後年限去計算之財務指摽數字是否有所差異。\n\n資料來源為台灣經濟新報（Taiwan Economic Journal，TEJ），期間為2004年12月至2019年6月的台灣上市公司月資料（一共608檔股票），其中不包含金融海嘯期間（即2008年-2009年）、金融產業公司資料及資料較不齊全之公司。\n\n而結果發現，帳面市值比效果及公司規模效果與台灣上市公司股票報酬率具顯著關係；整體來說，小規模公司（Small Size）、高帳面市值比（High B/M Ratio）的公司具較低的獲利能力、較高的風險，以致於債務償還能力較差，進而使得投資人要求較高的溢酬；比較Fama and French（1995）及Davis, Fama, and French（1998）的方式後，除在資產報酬率（Return-to-Asset）、帳面權益報酬率（Return-to-Book Equity）、營收市值比標準差（Standard Deviation of Earning-to-Price Ratio）有差異外，其餘指標數字均差異不大。 zh_TW dc.description.tableofcontents 第一章 緒論 5\n第一節 研究動機 5\n第二節 研究目的 7\n\n第二章 文獻回顧 9\n第一節 財務理論模型發展 9\n第二節 中文文獻 13\n\n第三章 財務理論模型−Fama and French三因子 17\n\n第四章 研究方法設計 20\n第一節 資料來源 20\n第二節 資料分類 22\n第三節 研究方法說明 24\n\n第五章 實證分析 27\n第一節 樣本選擇與投資組合 27\n第二節 實證分析結果 30\n\n第六章 結論與建議 44\n\n參考文獻 47 zh_TW dc.format.extent 853698 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107351033 en_US dc.subject (關鍵詞) 三因子 zh_TW dc.subject (關鍵詞) 經濟意涵 zh_TW dc.subject (關鍵詞) 公司規模 zh_TW dc.subject (關鍵詞) 公司帳面市值比 zh_TW dc.title (題名) 公司規模、帳面市值比與風險溢酬的長期關係 zh_TW dc.title (題名) Long-term relationship between company size, book-to-market ratio and risk premium en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Altman, E. I. (1968). Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy. The Journal of Finance, 23(4), 589-609.\n\nAjili, S (2002).”The capital asset pricing model and the three-factor model of Fama and French revisited in the case of France.”Cahier de Recherche du CEREG /\n\nArshanapalli, B, Coggin.D and Doukas.J. (1998):”Multifactor asset pricing analysis of international investment strategies.” Journal of portfolio management, summer, pp 10- 23.\n\nAvramo. D; Chordia.T; Jostova.G and Phipov.A (2013):”Anomalies and financial distress” Journal of Financial Economics 108, pp139-159\n\n\nBanz R (1981): “The relationship between return and market value of common Stocks’, Journal of financial Economic, vol. 9, Issue 1, March 1981, pp. 3-18.\n\nBlack, F., Jensen, M. C., & Scholes, M. J. S. i. t. t. o. c. m. (1972). The capital asset pricing model: Some empirical tests. 81(3), 79-121.\n\nChan.K and Chen. Nai-Fu (1991):” Structural and return characteristics of small and large firms” The Journal of Finance, vol. 46, issue 4, pp1467-84.\n\nChen N and Zhang.F (1998):”Risk and returns of value stocks” Journal of Business, issue 7, N°4.\n\nCampbell, Hilsher and Szilagy (2006): “In search of distress risk”. NBER working paper N°12362, July.\n\nDavis, Fama, and French(1998): “Are Size And Book-To-Market Effects, Risk Compensations? Evidence from the Tunisian Stock Exchange”, American International Journal of Contemporary Research, Vol. 5, No. 6; December 2015\n\nDaniel K., Titman S. and Wei K.C. J. (2001):”Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?”, The Journal of Finance, vol. LVI, No.2, April 2001, pp. 743-766.\n\nElfakhani S., Lockwood L.J. and Zaher T.S (1998):”Small Firm and Value Effects in the Canadian Stock Market”, Journal of Financial Research, vol. 21, issue3, pp. 277-291, Econ Papers Re Pec.\n\nFama, E. F and French .K.R (1992):”The Cross-Section of Expected Stock Returns’ The Journal of Finance, vol. XLVII, No. 2.\n\nFama, E.F and French. K.R. (1993):”Common risk factors in the returns on stocks and bonds’, Journal of Financial Economics, vol. 33, issue 1, pp. 3-56.\n\nFama E.F. and French K.R (1995):”Size and Book-to-Market factors in Earnings and Returns” The Journal of Finance, vol. 50, No. 1, pp. 131-155.\n\nFama E. F. and French K,R.(1998):”Value versus Growth: The International Evidence”, The Journal of Finance, vol. 53, issue 6, pp. 1975 – 1999.\n\nGrosbieand Bohn (2003):”Modeling Default risk.” December 18, Moody’s K.M.V\n\nKeim, D. B (1983）.,“Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence”, Journal of Financial Economics, Vol.12, No.1, pp.13-32.\n\nKahl M (2001) “Financial Distress as a Selection Mechanism: Evidence from the United States.” working paper, University of California Los Angeles.\n\nKothari.S.P., Shanken J. and Sloan R.G.(1995):”Another Look at the Cross-section of Expected Stock Returns’, The Journal of Finance, vol. 50, No. 1, pp. 185 –224.\n\nLintner 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, vol. 47, issue 1, pp. 13–37.\n\nLoughran T (1997) :”‘Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect ?”, The Journal of Financial and Quantitative Analysis, vol. 32, No. 3, pp. 249-268.\n\nLakonishok J, Shleifer. A and Vishny R.W (1994):”Contrarian Investment, Extrapolation, and Risk”, The Journal of finance, vol. 49, issue 5, pp. 1541 – 1578.\n\nLam, K. (2005). Is the Fama-French three factor model better than the CAPM? , Department of Economics-Simon Fraser University.\n\nMarkowitz, H. (1952). Portfolio selection*. The Journal of Finance, 7(1), 77-91.\n\nMossin, J. (1966). “Equilibrium in a capital asset market”, Econometrica, Vol. 34, No. 4,pp 768-783.\n\nMolay E. (2000) :« Le modèle de rentabilité à trois facteurs de Fama et French (1993): Une application sur le marché français, Etudes et Documents, CEROG ».Université de Droit, D’Economie et des Sciences D’Aix Marseille, Clos Guiot, N°564, Janvier.\n\nOhlson, J.A.(1980), “Financial ratios and the probabilistic prediction of\nbankruptcy”, Journal of Accounting Research, 18, 109-131.\n\nRoss, S.(1976), “The arbitrage theory of capital asset pricing”, Journal of Economic Theory 13: 341-360.\n\nRosenberg B. Kenneth R. and Lanstein R (1985):”Persuasive evidence of market inefficiency” .Journal of Portfolio Management, vol. 11, No. 3, pp. 9 – 16.\n\nSharpe W.F (1964):”Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” The Journal of Finance, Vol. 19, No. 3, pp. 425–442.\n\nVassalou. M and Xing.Y (2004):“Default risk in equity returns”. The Journal of Finance Vol 59, pp 831-868.\n\nZhang, L. J. T. J. o. F. (2005). The value premium. 60(1), 67-103.\n\n陳建良(1994)。我國股票市場異常現象之實證研究。國立交通大學，管理科學研究所，新竹市。\n\n彭國根(1996)。規模及淨值與規模比對股票報酬之影響--臺灣股票市場之實證研究(碩士)，東吳大學，台北市。\n\n蔡坤宏(2007)。資本資產定價之研究-三因子模型、財務失敗風險，國立雲林科技大學財務金融系。\n\n陳家靜(2015)。結合企業風險槓桿及 Fama and French 三因子模型建構高低估股價投資組合策略之研究。國立臺北大學企業管理學系碩士論文。\n\n郭宸佑(2015)。股東權益報酬率對投資股票報酬之實證研究，樹德科技大學金融系碩士班學位論文。\n\n謝璧而(2018)。公司財務績效指標與股價關係之研究-台灣50成分股為例，碩士論文，國立高雄師範大學成人教育研究所。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000666 en_US
