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題名 資本資產定價模型之穩健估計分析
作者 顏培俊
Yen, Pei-Chun
貢獻者 鄭宗記
顏培俊
Yen, Pei-Chun
關鍵詞 長期性資料
線性混合效果模型
穩健迴歸模型
資本資產定價模型
因子模型
Longitudinal Data
Linear Mixed Effects Model
Robust Regression Model
CAPM
Factor Model
日期 2002
上傳時間 17-Sep-2009 18:44:40 (UTC+8)
摘要 長期性資料(longitudinal data)的最主要特徵是為對多個被觀測個體在不同的時間點上重複測量一個或多個反應變數。而在分析長期性資料的方法中,Laird & Ware(1982)建議以線性混合效果模型(linear mixed effects model,LME)來進行估計分析,此模型方法中,資料可以允許遺失值,並可將受測個體間與個體內的變異分開說明。
另在配適最小平方法(OLS)的迴歸模型中,係數估計經常會受到異常值的影響,而Rousseeuw & Leroy(1987)提出最小消去平方法(least trimmed squares,LTS)的穩健迴歸模型,即是解決最小平方法中對於異常值敏感的問題。
本研究主要針對台灣股票預期報酬之三種模型:資本資產定價模型、特徵模型、因子模型分別以OLS、LTS、LME三種估計方法做配適,並比較配適模型之適當與否,樣本資料為民國七十年七月至九十年六月共252個月516家上市公司股票報酬。實證結果顯示,不論是採用OLS、LTS、LME的估計方法,股票報酬解釋變數:系統風險、公司規模、帳面權益對市值比、SMB、HML皆為股票報酬的顯著解釋因子;而在模型比較方面,不論是配適資本資產定價模型、特徵模型或因子模型,LME都較OLS為較適當配適模型。這顯示了在分析長期性資料時,LME的確是一個較佳的統計分析模型。
參考文獻 一.中文部分
林秋炭,「經濟因素、公司規模與股票報酬相關之研究」,東海大學企業管理研究所,民國八十年。
二.英文部分
Black, F. 1972, Capital market equilibrium with restricted borrowing, Journal of Business 45, 444-455.
Black, F. Jensen, M. C. Scholes, M. 1972, The capital asset pricing model: Some empirical tests, in: M. Jensen, ed., Studies in ths theory of capital market.
Brigham, E.F, Gapenski, L.C.,and Ehrhardt, M.C.,1999, Financial Management:Theorey and Practice, The Dryden Press, Orlando.
Chan, L.K.C. and Lakonishok, J., 1992, Robust measurement of beta risk.Journal of Financial and Quantitative Analysis 27, 265-282.
Chen, N. F., Roll, R, and Ross, S.A., 1986, Economic Forces and the Stock Market, Journal of Business 59, 383-403.
Crowder, M. and Hand, D. 1990. Analysis of Repeated Measure, Chapman & Hall, London.
Daniel, K., Titman, S., and Wei, K. C., 1998, Explaining the Cross-Section of Stock Returns in Japan: F actors or Characteristics, working paper, Northwestern University.
Diggle, P. J., Liang, K. Y., and Zeger S. L., 1996, Analysis of Longitudinal Data, Oxford:Clarendon Press.
Fama, E. F. 1976, Foundations of finance: portfolio decisions and securities prices, New York.
Fama, E. F. and French, K. R., 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427-465.
Fama, E. F. and French, K. R., 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, E. F. and French, K. R., 1995, Size and book-to-market factors in earings and returns, The Journal of Finance 50,131-155.
Grizzle, J. E. and Allen, D. M. 1969, Analysis of growth and dose response curves, Biometrics, 2, 357-381.
Hui, S. L. 1984, Curve fitting for repeated measurements made at urregular time points, Biometrics, 40, 691-697.
Larid, N. M. and Ware, J. H., 1982, Random-effects model for longitudinal data, Biometrics 38, 963-974.
Lindsey, J. K. 1999, Models for Repeated Measurements, Oxford: New York
Lintner, J. 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
Martin, R. D. and Simin, T., March 1999, Robust estimation of beta, Technical Report NO. 350, 1-38.
Pinheiro, J. C. and Bates, D. M. 2000, Mixed-Effects Models in S and S-PLUS, NEW YORK: Springer.
Rao, C. R. 1965, The theory of least squares when the parameters arestochastic and its application to the analysis of growth curves. Biometrics, 52, 447-458.
Rousseeuw, P. J., and Leroy, A. M., 1987, Robust Regression and Outlier Detection, New York: Wiley.
Ruppert, D. and Carroll, R., 1980, Trimmed least squares estimations in the linear model, Journal of the American Statistical Association 75, 828-838.
Sharpe, W. F. 1964, Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442.
Ware, J. H. 1985, Linear models for the analysis of longitudinal studies, The American Statistician, 39, 95-101.
Zeger, S. L., Liang, K.-Y., and Albert, P. S. 1988, Models for longitudinal data: a generalized estimating equation approach. Biometrics, 44, 1049-1060.
描述 碩士
國立政治大學
統計研究所
89354006
91
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0089354006
資料類型 thesis
dc.contributor.advisor 鄭宗記zh_TW
dc.contributor.author (Authors) 顏培俊zh_TW
dc.contributor.author (Authors) Yen, Pei-Chunen_US
dc.creator (作者) 顏培俊zh_TW
dc.creator (作者) Yen, Pei-Chunen_US
dc.date (日期) 2002en_US
dc.date.accessioned 17-Sep-2009 18:44:40 (UTC+8)-
dc.date.available 17-Sep-2009 18:44:40 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 18:44:40 (UTC+8)-
dc.identifier (Other Identifiers) G0089354006en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/33892-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 統計研究所zh_TW
dc.description (描述) 89354006zh_TW
dc.description (描述) 91zh_TW
dc.description.abstract (摘要) 長期性資料(longitudinal data)的最主要特徵是為對多個被觀測個體在不同的時間點上重複測量一個或多個反應變數。而在分析長期性資料的方法中,Laird & Ware(1982)建議以線性混合效果模型(linear mixed effects model,LME)來進行估計分析,此模型方法中,資料可以允許遺失值,並可將受測個體間與個體內的變異分開說明。
另在配適最小平方法(OLS)的迴歸模型中,係數估計經常會受到異常值的影響,而Rousseeuw & Leroy(1987)提出最小消去平方法(least trimmed squares,LTS)的穩健迴歸模型,即是解決最小平方法中對於異常值敏感的問題。
本研究主要針對台灣股票預期報酬之三種模型:資本資產定價模型、特徵模型、因子模型分別以OLS、LTS、LME三種估計方法做配適,並比較配適模型之適當與否,樣本資料為民國七十年七月至九十年六月共252個月516家上市公司股票報酬。實證結果顯示,不論是採用OLS、LTS、LME的估計方法,股票報酬解釋變數:系統風險、公司規模、帳面權益對市值比、SMB、HML皆為股票報酬的顯著解釋因子;而在模型比較方面,不論是配適資本資產定價模型、特徵模型或因子模型,LME都較OLS為較適當配適模型。這顯示了在分析長期性資料時,LME的確是一個較佳的統計分析模型。
zh_TW
dc.description.tableofcontents 第一章 緒論…………………………………………………………….1
第一節 研究動機與目的………………………………………….…1
第二節 研究架構與流程…………………………………………….3
第二章 理論回顧……………………………………………………….5
第一節 資本資產定價模式………………………………………….5
第二節 長期性資料分析…………………………………………….7
第三章 研究方法………………………………………………………10
第一節 變數定義……………………………………………………10
第二節 時間序列迴歸模型…………………………………………12
第三節 穩健估計分析………………………………………………16
第四節 線性混合效果模型…………………………………………18
第五節 統計資料分析應用軟體……………………………………22
第四章 實證分析………………………………………………………24
第一節 資本資產定價模式驗證比較………………………………24
第二節 Fama & French(1992)特徵模型驗證比較……………… 31
第三節 Fama & French(1993)三因子模型驗證比較…………… 37
第五章 結論與建議……………………………………………………44
參考文獻……………………………………………………………….46
zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0089354006en_US
dc.subject (關鍵詞) 長期性資料zh_TW
dc.subject (關鍵詞) 線性混合效果模型zh_TW
dc.subject (關鍵詞) 穩健迴歸模型zh_TW
dc.subject (關鍵詞) 資本資產定價模型zh_TW
dc.subject (關鍵詞) 因子模型zh_TW
dc.subject (關鍵詞) Longitudinal Dataen_US
dc.subject (關鍵詞) Linear Mixed Effects Modelen_US
dc.subject (關鍵詞) Robust Regression Modelen_US
dc.subject (關鍵詞) CAPMen_US
dc.subject (關鍵詞) Factor Modelen_US
dc.title (題名) 資本資產定價模型之穩健估計分析zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一.中文部分zh_TW
dc.relation.reference (參考文獻) 林秋炭,「經濟因素、公司規模與股票報酬相關之研究」,東海大學企業管理研究所,民國八十年。zh_TW
dc.relation.reference (參考文獻) 二.英文部分zh_TW
dc.relation.reference (參考文獻) Black, F. 1972, Capital market equilibrium with restricted borrowing, Journal of Business 45, 444-455.zh_TW
dc.relation.reference (參考文獻) Black, F. Jensen, M. C. Scholes, M. 1972, The capital asset pricing model: Some empirical tests, in: M. Jensen, ed., Studies in ths theory of capital market.zh_TW
dc.relation.reference (參考文獻) Brigham, E.F, Gapenski, L.C.,and Ehrhardt, M.C.,1999, Financial Management:Theorey and Practice, The Dryden Press, Orlando.zh_TW
dc.relation.reference (參考文獻) Chan, L.K.C. and Lakonishok, J., 1992, Robust measurement of beta risk.Journal of Financial and Quantitative Analysis 27, 265-282.zh_TW
dc.relation.reference (參考文獻) Chen, N. F., Roll, R, and Ross, S.A., 1986, Economic Forces and the Stock Market, Journal of Business 59, 383-403.zh_TW
dc.relation.reference (參考文獻) Crowder, M. and Hand, D. 1990. Analysis of Repeated Measure, Chapman & Hall, London.zh_TW
dc.relation.reference (參考文獻) Daniel, K., Titman, S., and Wei, K. C., 1998, Explaining the Cross-Section of Stock Returns in Japan: F actors or Characteristics, working paper, Northwestern University.zh_TW
dc.relation.reference (參考文獻) Diggle, P. J., Liang, K. Y., and Zeger S. L., 1996, Analysis of Longitudinal Data, Oxford:Clarendon Press.zh_TW
dc.relation.reference (參考文獻) Fama, E. F. 1976, Foundations of finance: portfolio decisions and securities prices, New York.zh_TW
dc.relation.reference (參考文獻) Fama, E. F. and French, K. R., 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427-465.zh_TW
dc.relation.reference (參考文獻) Fama, E. F. and French, K. R., 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.zh_TW
dc.relation.reference (參考文獻) Fama, E. F. and French, K. R., 1995, Size and book-to-market factors in earings and returns, The Journal of Finance 50,131-155.zh_TW
dc.relation.reference (參考文獻) Grizzle, J. E. and Allen, D. M. 1969, Analysis of growth and dose response curves, Biometrics, 2, 357-381.zh_TW
dc.relation.reference (參考文獻) Hui, S. L. 1984, Curve fitting for repeated measurements made at urregular time points, Biometrics, 40, 691-697.zh_TW
dc.relation.reference (參考文獻) Larid, N. M. and Ware, J. H., 1982, Random-effects model for longitudinal data, Biometrics 38, 963-974.zh_TW
dc.relation.reference (參考文獻) Lindsey, J. K. 1999, Models for Repeated Measurements, Oxford: New Yorkzh_TW
dc.relation.reference (參考文獻) Lintner, J. 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.zh_TW
dc.relation.reference (參考文獻) Martin, R. D. and Simin, T., March 1999, Robust estimation of beta, Technical Report NO. 350, 1-38.zh_TW
dc.relation.reference (參考文獻) Pinheiro, J. C. and Bates, D. M. 2000, Mixed-Effects Models in S and S-PLUS, NEW YORK: Springer.zh_TW
dc.relation.reference (參考文獻) Rao, C. R. 1965, The theory of least squares when the parameters arestochastic and its application to the analysis of growth curves. Biometrics, 52, 447-458.zh_TW
dc.relation.reference (參考文獻) Rousseeuw, P. J., and Leroy, A. M., 1987, Robust Regression and Outlier Detection, New York: Wiley.zh_TW
dc.relation.reference (參考文獻) Ruppert, D. and Carroll, R., 1980, Trimmed least squares estimations in the linear model, Journal of the American Statistical Association 75, 828-838.zh_TW
dc.relation.reference (參考文獻) Sharpe, W. F. 1964, Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442.zh_TW
dc.relation.reference (參考文獻) Ware, J. H. 1985, Linear models for the analysis of longitudinal studies, The American Statistician, 39, 95-101.zh_TW
dc.relation.reference (參考文獻) Zeger, S. L., Liang, K.-Y., and Albert, P. S. 1988, Models for longitudinal data: a generalized estimating equation approach. Biometrics, 44, 1049-1060.zh_TW