dc.contributor.advisor | 盧敬植 | zh_TW |
dc.contributor.author (Authors) | 翁筱雯 | zh_TW |
dc.creator (作者) | 翁筱雯 | zh_TW |
dc.date (日期) | 2007 | en_US |
dc.date.accessioned | 14-Sep-2009 09:02:07 (UTC+8) | - |
dc.date.available | 14-Sep-2009 09:02:07 (UTC+8) | - |
dc.date.issued (上傳時間) | 14-Sep-2009 09:02:07 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0095357003 | en_US |
dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30999 | - |
dc.description (描述) | 碩士 | zh_TW |
dc.description (描述) | 國立政治大學 | zh_TW |
dc.description (描述) | 財務管理研究所 | zh_TW |
dc.description (描述) | 95357003 | zh_TW |
dc.description (描述) | 96 | zh_TW |
dc.description.abstract (摘要) | 權益成本估計的不確定性將嚴重影響企業價值評估的準確性,因此本文檢視CAPM單一因子模型及Fama and French三因子模型,依1982年7月至2007年12月之台灣二十八類產業為研究樣本,以傳統的所有樣本期間迴歸(Full-period Regression)與滾動式迴歸(Rolling Regression)兩種不同估計方式,發現CAPM及Fama and French三因子模型之風險係數隨著時間改變的平均真實隱含標準差均高達0.18以上。比較兩模型在產業權益成本預測能力的比較上,Fama and French三因子模型不論預測近期或遠期的表現均優於CAPM外,預測的期間越久,兩模型預測能力差距將越小,其預測能力也越接近。在我們進一步利用兩種定價模式估計產業權益成本發現,Fama and French三因子模型明顯降低了產業權益成本的波動狀況,並且CAPM與Fama and French三因子模型使用五年滾動式迴歸模型估計的差異大於使用完整樣本期間估計的方式。有鑑於此,當我們選擇資產定價模型做為資產評價上之權益成本應用時,在預測短期間的權益成本估計上,Fama and French三因子模型以長期間的完整歷史時間估計仍為有較佳方式。然而在預測遠期的權益成本估計時,CAPM仍為不錯的估算方式。 | zh_TW |
dc.description.tableofcontents | 目錄 第一章 緒論 ........................................1 第一節 研究背景與動機 ................................1 第二節 研究目的 ........................................3 第三節 研究架構 ........................................4 第二章 文獻探討 ........................................5 第一節 權益成本對企業評價之影響 ........................5 第二節 資產定價模型 ................................6 第三節 國內相關文獻探討 ................................8 第三章 研究方法 ........................................10 第一節 樣本及研究期間 ................................10 第二節 資本資產定價模型 ................................12 第三節 Fama and French三因子模型 ........................14 第四節 滾動迴歸模型之真實波動度分析 ................16 第五節 預測模型之設計 ................................17 第四章 實證結果 ........................................20 第一節 CAPM及Fama and French三因子模型完整樣本期間估計 ..20 第二節 真實風險承載量的真實波動度估計 ................23 第三節 CAPM及Fama and French三因子模型預測估計 ........25 第四節 CAPM及Fama and French產業權益成本之估計 ........29 第五章 結論 ........................................31 | zh_TW |
dc.language.iso | en_US | - |
dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095357003 | en_US |
dc.subject (關鍵詞) | 產業權益成本 | zh_TW |
dc.subject (關鍵詞) | 權益成本 | zh_TW |
dc.subject (關鍵詞) | 資產定價模型 | zh_TW |
dc.subject (關鍵詞) | Fama and French三因子模型 | zh_TW |
dc.subject (關鍵詞) | CAPM | en_US |
dc.title (題名) | 產業權益成本-以台灣股市為例 | zh_TW |
dc.type (資料類型) | thesis | en |
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