Publications-Theses
Article View/Open
Publication Export
-
Google ScholarTM
NCCU Library
Citation Infomation
Related Publications in TAIR
題名 台灣股票市場因子選擇
Choosing Factors in the Taiwan Stock Market作者 蔡宗霖 貢獻者 鍾令德
蔡宗霖關鍵詞 資產定價
多因子模型
最大平方夏普比率
跨迴歸
GRS檢定
Asset pricing
Multi-factor model
Maximum Squared Sharpe Ratio
Spanning regression
GRS test日期 2025 上傳時間 1-Jul-2025 14:38:45 (UTC+8) 摘要 本研究旨在評估多因子模型於台灣股票市場的適用性，我們採用了因子組 合的最大平方夏普比率（Sh²(f)）作為主要衡量指標，並以跨迴歸與GRS檢定來比較嵌套模型。透過分析1983年1月至2024年12月的台灣股票市場資料，本文建構了28個多空價差因子與46個做多超額報酬型因子並組成共81個因子組合。其中，我們比較了價值因子（HML）與其他估值類型因子包括股利殖利率因子（DDY）、益本比因子（EPR）。同時，我們也分析了動能因子（UMD）與其相關因子包含短期反轉因子（STR）、長期反轉因子（LTR）之表現。實證結果顯示，Fama-French 六因子模型在台灣股票市場並非最佳選擇，取而代之的為包含市場大盤、大型股、大型高股利殖利率、大型高營利、大型保守投資與大型低長期反轉報酬共6個做多超額報酬型因子的組合。此外，我們亦發現DDY為具高度解釋力之核心因子，其邊際貢獻顯著且難以被其他因子取代。本研究填補過去文獻未以Sh²(f)來比較台灣股票市場因子模型之空缺，從而避免了實證研究中挑選及建構測試資產的難題，在因子組合評估上帶來一致性與客觀性，並對因子投資在台灣股票市場上的組成與實務應用提供重要啟示。
This paper evaluates the applicability of multi-factor models in the Taiwan stock market, from January 1983 to December 2024. We use the Maximum Squared Sharpe Ratio (Sh²(f)) as the primary performance metrics for factor combinations, complemented by spanning regressions and the GRS test for nested factor models. When choosing factors, we construct 28 long-short spread factors together with 46 long-only excess return factors, resulting in 81 factor combinations. Our empirical tests compare the value factor (HML) with other valuation factors including dividend yield (DDY) and earnings-to-price ratio (EPR) factors. We also assess the momentum factor (UMD), alongside with related short-term reversal (STR) and long-term reversal (LTR) factors. Our empirical results indicate that the Fama-French six-factor model is suboptimal in the Taiwan stock market. Instead, the optimal combination comprises 6 excess return factors including the market portfolio, big cap stocks, large stocks with high dividend yields, large stocks with high operating profitability, large stocks with conservative investments, and large stocks with low long-term reversal returns. Moreover, DDY demonstrates consistently strong explanatory power and statistically significant marginal contribution, making it as a key factor in explaining cross-sectional stock returns in Taiwan. This study fills the literature gap by comparing asset pricing factor models in Taiwan with Sh²(f). By circumventing the empirical challenge in identifying and constructing appropriate test assets, it offers valuable implications for both academic research and practical portfolio construction.參考文獻 Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18. Barillas, F., and J. Shanken, 2017, Which alpha?, Review of Financial Studies 30, 1316-1338. Basu, S., 1977, Investment performance of common stocks in relation to their priceearnings ratios: A test of the efficient market hypothesis, Journal of Finance 32, 663–682. Basu, Sanjoy, 1983, The relationship between earnings’ yield, market value and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12, 129–156. Blume, Marshall E., andDonaldB.Keim, 2012, Institutional investors and stock market liquidity: Trends and relationships, SSRN Working Paper. Carhart, Mark M.,1997, On persistence in mutual fund performance, Journal of Finance 52, 57–82. Cooper, Michael J., Huseyin Gulen, and Michael J. Schill, 2008, Asset growth and the cross-section of stock returns, Journal of Finance 63, 1609–1651. De Bondt, Werner F. M., and Richard Thaler, 1985, Does the stock market overreact?, Journal of Finance 40, 793–805. Fama, Eugene F., and Kenneth R. French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3–25. Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427–465. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Finance 33, 3–56. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55–84 Fama, EugeneF., andKennethR.French, 2015, Afive-factor asset pricing model, Journal of Finance 116, 1–22. Fama, Eugene F., and Kenneth R. French, 2017, International tests of a five-factor asset pricing model, Journal of Financial Economics 123, 441–463. Fama, Eugene F., and Kenneth R. French, 2018, Choosing factors, Journal of Financial Economics 128, 234–252. Fama, Eugene F., and James D. MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607–636. Gibbons, Michael R., Stephen A. Ross, and Jay Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121–1152. Harvey, Campbell R., Yan Liu, and Heqing Zhu, 2016, ... and the cross-section of expected returns, Review of Financial Studies 29, 5–68. Hasler, Mathias, 2023, Is the value premium smaller than we thought?, Critical Finance Review, forthcoming. Hou, Kewei, Haitao Mo, ChenXue, andLuZhang,2021, An augmented q-factor model with expected growth, Review of Finance 25, 1–41. Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach, Review of Financial Studies 28, 650–705. Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 881–898. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91. Jensen, MichaelC., FischerBlack, andMyronS.Scholes,1972,The capital asset pricing model: Some empirical tests, Michael C. Jensen, Studies in the Theory of Capital Markets, Praeger Publishers Inc. Kamstra, Mark J., and Ruoyao Shi, 2024, Testing and ranking of asset pricing models using the GRS statistic, Journal of Risk and Financial Management 17, 168. Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, Journal of Finance 20, 587–615. Markowitz, Harry, 1952, Portfolio selection, Journal of Finance 7, 77–91. Michaud, Richard O., 1989, The Markowitz optimization enigma: Is “optimized＂optimal?, Financial Analysts Journal 45, 31–42. Miller, Merton H., and Franco Modigliani, 1961, Dividend policy, growth, and the valuation of shares, Journal of Business 34, 411–433. Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783. Securities Industry and Financial Markets Association, 2025-02-26, US Equity Market Structure Compendium, 檢自: https://www.sifma.org/resources/research/insights/insights-equity-market-structure-compendium/. Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425–442. 台灣證券交易所, 2024-08-07, 證券交易法, 檢自: https://twse-regulation.twse.com.tw/TW/law/DOC01.aspx?FLCODE=FL007009&FLNO=61. 台灣證券交易所, 2025-03-10, 投資人類別交易比重統計表, 檢自: https://www.twse.com.tw/zh/trading/statistics/index07.html. 台灣集中保管結算所, 2024-08-23, 投資人持股情形, 檢 自:https://www.tdcc.com.tw/portal/zh/subjectAnalyze/content/4028c0b3916eb45501917cc1753d0049. 王芯儀, 徐政義, 陳姿伶, 賴弘能, 2024, 因子訂價模型有效性之比較：臺灣股市實證, 證券市場發展季刊 36,1–64. 鄭宗記,賴弘能,蔡佩芬, 2006, On the two-stage estimation of the Fama-French three factor model: Evidence from Taiwan, 交大管理學報 26, 21–48. 金融監督管理委員會, 2025-04-06, 新聞稿, 檢自: https://www.fsc.gov.tw/ch/index.jsp. 金融監督管理委員會證券期貨局, 2024-09-11, 外資及陸資投入我國股市概況表, 檢自: https://www.sfb.gov.tw/ch/home.jsp?id=1024&parentpath=0,4,109. 金融監督管理委員會證券期貨局, 2025-05-15, 證券暨期貨市場重要指標, 檢自: https://www.sfb.gov.tw/ch/home.jsp?id=622&parentpath=0,4,109. 顧廣平, 2005, 單因子、三因子或四因子模式？, 證券市場發展季刊 17, 101–146. 描述 碩士
國立政治大學
國際經營與貿易學系
112351030資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112351030 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.author (Authors) 蔡宗霖 zh_TW dc.creator (作者) 蔡宗霖 zh_TW dc.date (日期) 2025 en_US dc.date.accessioned 1-Jul-2025 14:38:45 (UTC+8) - dc.date.available 1-Jul-2025 14:38:45 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2025 14:38:45 (UTC+8) - dc.identifier (Other Identifiers) G0112351030 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157743 - 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) 112351030 zh_TW dc.description.abstract (摘要) 本研究旨在評估多因子模型於台灣股票市場的適用性，我們採用了因子組 合的最大平方夏普比率（Sh²(f)）作為主要衡量指標，並以跨迴歸與GRS檢定來比較嵌套模型。透過分析1983年1月至2024年12月的台灣股票市場資料，本文建構了28個多空價差因子與46個做多超額報酬型因子並組成共81個因子組合。其中，我們比較了價值因子（HML）與其他估值類型因子包括股利殖利率因子（DDY）、益本比因子（EPR）。同時，我們也分析了動能因子（UMD）與其相關因子包含短期反轉因子（STR）、長期反轉因子（LTR）之表現。實證結果顯示，Fama-French 六因子模型在台灣股票市場並非最佳選擇，取而代之的為包含市場大盤、大型股、大型高股利殖利率、大型高營利、大型保守投資與大型低長期反轉報酬共6個做多超額報酬型因子的組合。此外，我們亦發現DDY為具高度解釋力之核心因子，其邊際貢獻顯著且難以被其他因子取代。本研究填補過去文獻未以Sh²(f)來比較台灣股票市場因子模型之空缺，從而避免了實證研究中挑選及建構測試資產的難題，在因子組合評估上帶來一致性與客觀性，並對因子投資在台灣股票市場上的組成與實務應用提供重要啟示。 zh_TW dc.description.abstract (摘要) This paper evaluates the applicability of multi-factor models in the Taiwan stock market, from January 1983 to December 2024. We use the Maximum Squared Sharpe Ratio (Sh²(f)) as the primary performance metrics for factor combinations, complemented by spanning regressions and the GRS test for nested factor models. When choosing factors, we construct 28 long-short spread factors together with 46 long-only excess return factors, resulting in 81 factor combinations. Our empirical tests compare the value factor (HML) with other valuation factors including dividend yield (DDY) and earnings-to-price ratio (EPR) factors. We also assess the momentum factor (UMD), alongside with related short-term reversal (STR) and long-term reversal (LTR) factors. Our empirical results indicate that the Fama-French six-factor model is suboptimal in the Taiwan stock market. Instead, the optimal combination comprises 6 excess return factors including the market portfolio, big cap stocks, large stocks with high dividend yields, large stocks with high operating profitability, large stocks with conservative investments, and large stocks with low long-term reversal returns. Moreover, DDY demonstrates consistently strong explanatory power and statistically significant marginal contribution, making it as a key factor in explaining cross-sectional stock returns in Taiwan. This study fills the literature gap by comparing asset pricing factor models in Taiwan with Sh²(f). By circumventing the empirical challenge in identifying and constructing appropriate test assets, it offers valuable implications for both academic research and practical portfolio construction. en_US dc.description.tableofcontents 中文摘要 i 英文摘要 ii 第一章 緒論 1 第一節研究背景與動機 1 第二節研究目的 5 第三節研究架構 5 第二章文獻回顧 6 第一節MPT、CAPM及多因子模型 6 第二節多因子模型在各國股票市場上之表現 12 第二節其他因子 13 第三章研究資料與方法 16 第一節資料來源 16 第二節研究方法與抽樣方法 17 第三節建構因子與多因子模型 21 第四章研究結果與分析 28 第一節各因子的敘述統計 28 第二節跨迴歸與GRS檢定 31 第三節Sh²(f) 34 第四節因子對Sh²(f)的邊際貢獻 37 第五節Sh²(f)中的因子權重分配 40 第六節實務限制 41 第五章結論與建議 45 第一節結論 45 第二節限制與建議 46 參考文獻 48 附錄 52 zh_TW dc.format.extent 932408 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112351030 en_US dc.subject (關鍵詞) 資產定價 zh_TW dc.subject (關鍵詞) 多因子模型 zh_TW dc.subject (關鍵詞) 最大平方夏普比率 zh_TW dc.subject (關鍵詞) 跨迴歸 zh_TW dc.subject (關鍵詞) GRS檢定 zh_TW dc.subject (關鍵詞) Asset pricing en_US dc.subject (關鍵詞) Multi-factor model en_US dc.subject (關鍵詞) Maximum Squared Sharpe Ratio en_US dc.subject (關鍵詞) Spanning regression en_US dc.subject (關鍵詞) GRS test en_US dc.title (題名) 台灣股票市場因子選擇 zh_TW dc.title (題名) Choosing Factors in the Taiwan Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18. Barillas, F., and J. Shanken, 2017, Which alpha?, Review of Financial Studies 30, 1316-1338. Basu, S., 1977, Investment performance of common stocks in relation to their priceearnings ratios: A test of the efficient market hypothesis, Journal of Finance 32, 663–682. Basu, Sanjoy, 1983, The relationship between earnings’ yield, market value and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12, 129–156. Blume, Marshall E., andDonaldB.Keim, 2012, Institutional investors and stock market liquidity: Trends and relationships, SSRN Working Paper. Carhart, Mark M.,1997, On persistence in mutual fund performance, Journal of Finance 52, 57–82. Cooper, Michael J., Huseyin Gulen, and Michael J. Schill, 2008, Asset growth and the cross-section of stock returns, Journal of Finance 63, 1609–1651. De Bondt, Werner F. M., and Richard Thaler, 1985, Does the stock market overreact?, Journal of Finance 40, 793–805. Fama, Eugene F., and Kenneth R. French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3–25. Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427–465. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Finance 33, 3–56. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55–84 Fama, EugeneF., andKennethR.French, 2015, Afive-factor asset pricing model, Journal of Finance 116, 1–22. Fama, Eugene F., and Kenneth R. French, 2017, International tests of a five-factor asset pricing model, Journal of Financial Economics 123, 441–463. Fama, Eugene F., and Kenneth R. French, 2018, Choosing factors, Journal of Financial Economics 128, 234–252. Fama, Eugene F., and James D. MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607–636. Gibbons, Michael R., Stephen A. Ross, and Jay Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121–1152. Harvey, Campbell R., Yan Liu, and Heqing Zhu, 2016, ... and the cross-section of expected returns, Review of Financial Studies 29, 5–68. Hasler, Mathias, 2023, Is the value premium smaller than we thought?, Critical Finance Review, forthcoming. Hou, Kewei, Haitao Mo, ChenXue, andLuZhang,2021, An augmented q-factor model with expected growth, Review of Finance 25, 1–41. Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach, Review of Financial Studies 28, 650–705. Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 881–898. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91. Jensen, MichaelC., FischerBlack, andMyronS.Scholes,1972,The capital asset pricing model: Some empirical tests, Michael C. Jensen, Studies in the Theory of Capital Markets, Praeger Publishers Inc. Kamstra, Mark J., and Ruoyao Shi, 2024, Testing and ranking of asset pricing models using the GRS statistic, Journal of Risk and Financial Management 17, 168. Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, Journal of Finance 20, 587–615. Markowitz, Harry, 1952, Portfolio selection, Journal of Finance 7, 77–91. Michaud, Richard O., 1989, The Markowitz optimization enigma: Is “optimized＂optimal?, Financial Analysts Journal 45, 31–42. Miller, Merton H., and Franco Modigliani, 1961, Dividend policy, growth, and the valuation of shares, Journal of Business 34, 411–433. Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783. Securities Industry and Financial Markets Association, 2025-02-26, US Equity Market Structure Compendium, 檢自: https://www.sifma.org/resources/research/insights/insights-equity-market-structure-compendium/. Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425–442. 台灣證券交易所, 2024-08-07, 證券交易法, 檢自: https://twse-regulation.twse.com.tw/TW/law/DOC01.aspx?FLCODE=FL007009&FLNO=61. 台灣證券交易所, 2025-03-10, 投資人類別交易比重統計表, 檢自: https://www.twse.com.tw/zh/trading/statistics/index07.html. 台灣集中保管結算所, 2024-08-23, 投資人持股情形, 檢 自:https://www.tdcc.com.tw/portal/zh/subjectAnalyze/content/4028c0b3916eb45501917cc1753d0049. 王芯儀, 徐政義, 陳姿伶, 賴弘能, 2024, 因子訂價模型有效性之比較：臺灣股市實證, 證券市場發展季刊 36,1–64. 鄭宗記,賴弘能,蔡佩芬, 2006, On the two-stage estimation of the Fama-French three factor model: Evidence from Taiwan, 交大管理學報 26, 21–48. 金融監督管理委員會, 2025-04-06, 新聞稿, 檢自: https://www.fsc.gov.tw/ch/index.jsp. 金融監督管理委員會證券期貨局, 2024-09-11, 外資及陸資投入我國股市概況表, 檢自: https://www.sfb.gov.tw/ch/home.jsp?id=1024&parentpath=0,4,109. 金融監督管理委員會證券期貨局, 2025-05-15, 證券暨期貨市場重要指標, 檢自: https://www.sfb.gov.tw/ch/home.jsp?id=622&parentpath=0,4,109. 顧廣平, 2005, 單因子、三因子或四因子模式？, 證券市場發展季刊 17, 101–146. zh_TW
