學術產出-Theses

題名 以穩健估計及長期資料分析觀點探討資本資產定價模型
On the CAPM from the Views of Robustness and Longitudinal Analysis
作者 呂倩如
Lu Chien-ju
貢獻者 鄭宗記
呂倩如
Lu Chien-ju
關鍵詞 長期資料分析
線性混和效應模型
穩健估計
最小削減平方法
資本資產定價模型
longitudinal data analysis
linear mixed-effects model
robust estimation
least trimmed squares estimator
capital asset pricing model
panel data analysis
日期 2002
上傳時間 17-Sep-2009 18:44:56 (UTC+8)
摘要 資本資產定價模型 (CAPM) 由Sharp (1964)、Lintner (1965)及Black (1972)發展出後,近年來已被廣泛的應用於衡量證券之預期報酬率與風險間之關係。一般而言,衡量結果之估計有兩個階段,首先由時間序列分析估計出貝它(beta)係數,然後再檢定廠商或投資組合之平均報酬率與貝它係數之關係。
Fama與MacBeth (1973)利用最小平方法估計貝它係數,再將由橫斷面迴歸方法所得出之斜率係數加以平均後,以統計t-test檢定之。然而以最小平方法估計係數,其估計值很容易受離群值之影響,因此本研究考慮以穩健估計 (robust estimator)來避免此一問題。另外,本研究亦將長期資料分析 (longitudinal data analysis) 引入CAPM裡,期望能檢定貝它係數是否能確實有效地衡量出系統性風險。
論文中以台灣股票市場電子業之實證分析來比較上述不同方法對CAPM的結果,資料蒐集期間為1998年9月至2001年12月之月資料。研究結果顯示出,穩健估計相對於最小平方法就CAPM有較佳的解釋力。而長期資料分析模型更用來衡量債券之超額報酬部分,是否會依上、中、下游或公司之不同而不同。
The Capital Asset Pricing Model (CAPM) of Sharp (1964), Lintner (1965) and Black (1972) has been widely used in measuring the relationship between the expected return on a security and its risk in the recent years. It consists of two stages to estimate the relationship between risk and expected return. The first one is that betas are estimated from time series regressions, and the second is that the relationship between mean returns and betas is tested across firms or portfolios. Fama and MacBeth (1973) first used ordinary least squares (OLS) to estimate beta and took time series averages of the slope coefficients from monthly cross-sectional regressions in such studies. However it is well known that OLS is sensitive to outliers. Therefore, robust estimators are employed to avoid the problems. Furthermore, the longitudinal data analysis is applied to examine whether betas over time and securities are the valid measure of risk in the CAPM. An empirical study is carried out to present the different approaches. We use the data about the Information and Electronic industry in Taiwan stock market during the period from September 1998 to December 2001. For the time series regression analysis, the robust methods lead to more explanatory power than the OLS results. The linear mixed-effect model is used to examine the effects of different streams and companies for the security excess returns in these data.
參考文獻 Amihud, Y. B. J., Christensen, and Mendelson, H., 1992, Further evidence on the risk-return relationship, Working paper, New York University.
Brigham E. F., Gapenski L. C., and Ehrhardt M. C., 1999, Financial Management: Theory and Practice, 9th ed., Orlando: The Dryden Press.
Chan, L. K. C. and Lakonishok, J., 1992, Robust measurement of beta risk. Journal of Financial and Quantitative Analysis 27, 265-282.
Chang, E., 1998, The correlation research of the stock prices of the upper middle lower stream of the electronic companies, master article, National Chung Hsing University.
Chen, N. F., Roll, R., and Ross, S. A., 1986, Economic forces and the stock market, Journal of Business 59, 383-403.
Cullis, B. R. and McGilchrist, C. A., 1990, A model for the analysis of growth data from designed experiments, Biometrics 42, 909-917.
Davidian, M. and Giltinan, D. M., 1995, Nonlinear Models for Repeated Measurement Data, London: Chapman & Hall.
Davies, L., 1992, The asymptotics of Rousseeuw’s minimum volume ellisoid estimator, The Annals of Statistics 20, 1828-1843.
Diggle, P. J., Liang, K. Y., and Zeger S. L., 1996, Analysis of Longitudinal Data, Oxford: Clarendon Press.
Draper, N. R. and Smith, H., 1998, Applied Regression Analysis, 3rd ed., New York: John Wiley.
Fama, E. F., 1965, The behavior of stock prices, Journal of Business 38, 34-105.
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 earnings and returns, The Journal of Finance 50, 131-155.
Fama, E. F. and French, K. R., 1997, Industry costs of equity, Journal of Financial Economics 44, 153-193.
Fama, E. F., and James M, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
Harville, D., 1974, Bayesian inference for variance components using only error contrasts, Biometrika 61, 383-385.
Hsiao, C., 1986, Analysis of Panel Data, Cambridge University Press.
Huber, P. J., 1981, Robust Statistics, New York: John Wiely and Sons.
Hubert, M. and Rousseeuw, P. J., 1995, Robust regression with both continuous and binary regressors, Journal of Statistical Planning and Inference 57, 153-163.
Jagannathan, R. and Wang, Z., 1996, The conditional CAPM and the cross-section of expected returns, Journal of Finance 51, 3-53.
Kenz, P. J. and Ready, M. J., 1997, On the robustness of size and book-to-market on cross-sectional regressions, Journal of Finance, Vol. LII, No. 4, 1355-1382.
Kon, S., 1984, Models of stock returns-a comparison, Journal of Finance 39, 147-165.
Laird, N. M. and Ware, J. H., 1982, Random-effects model for longitudinal data, Biometrics 38, 963-974.
Lakonishok, J. and Shapiro, A. C., 1986, Systematic risk, total risk and size as determinants of stock market returns, Journal of Banking and Finance 10, 115-132.
Levy, H., 1997, Risk and return: an empirical analysis, International Economic Review 38(1), 119-149.
Lin, H., 2000, The correlation reseration of the stock price of the upper middle and lower stream of the electronic companies, master article, Da-Yeh University.
Lindsey, J. K. 1999, Models for Repeated Measurements, 2nd ed., Oxford: New York.
Mandelbrot, B. 1963, The variation of certain speculative prices, Journal of Business 36, 394-419.
Martin, R. D. and Simin, T., March 1999, Robust estimation of beta, Technical Report NO. 350, 1-38.
Martin, R. D. and Simin, T., May 1999, Estimates of small-stock betas are often very distorted by outliers, Technical Report NO. 351, 1-19.
Merton, R. C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
Patterson, H. D. and Thompson, R., 1971, Recovery of inter-block information when block sizes are unequal, Biometrika 58, 545-554.
Pinheiro, J. C. and Bates, D. M. B., 2000, Mixed-Effects Models in S and S-PLUS, New York: Springer.
Radcliffe, R. C., 1997, Investment: Concepts, Analysis, Strategy, 5th ed., Addison- Wesley.
Reinganum, M. R., 1981, A new empirical perspective on the CAPM, Journal of Finance and Quantitative Analysis 16, 439-462.
Roll, R., 1988, R2, Journal of Finance 43, 541-566.
Ross, S. A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
Rosseeuw, P. J., 1984, Least median of squares regression, Journal of the American Statistical Association 79, 871-880.
Rosseeuw, P. J., 1985, Multivariate estimation with high breakdown point, Mathematical Statistics and Applications, Vol. B, W. Grossmann, G. Pflug, I. Vincze and W. Wertz, Eds., Reidel, Dordrecht, 283-297.
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.
Shalit, H. and Yitzhaki, S., 2001, Estimating beta, Working paper, Hebrew University of Jerusalem.
Verbyla, A. P. and Cullis, B. R., 1990, Modelling in repeated measures experiments,
Biometrika 75, 129-138.
Zeger, S. L., Liang, K. Y., and Albert, P. S., 1988, Models for Longitudinal data: a generalized estimation equation approach, Biometrics 44, 1049-1060.
描述 碩士
國立政治大學
統計研究所
89354018
91
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0089354018
資料類型 thesis
dc.contributor.advisor 鄭宗記zh_TW
dc.contributor.author (Authors) 呂倩如zh_TW
dc.contributor.author (Authors) Lu Chien-juen_US
dc.creator (作者) 呂倩如zh_TW
dc.creator (作者) Lu Chien-juen_US
dc.date (日期) 2002en_US
dc.date.accessioned 17-Sep-2009 18:44:56 (UTC+8)-
dc.date.available 17-Sep-2009 18:44:56 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 18:44:56 (UTC+8)-
dc.identifier (Other Identifiers) G0089354018en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/33894-
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) 89354018zh_TW
dc.description (描述) 91zh_TW
dc.description.abstract (摘要) 資本資產定價模型 (CAPM) 由Sharp (1964)、Lintner (1965)及Black (1972)發展出後,近年來已被廣泛的應用於衡量證券之預期報酬率與風險間之關係。一般而言,衡量結果之估計有兩個階段,首先由時間序列分析估計出貝它(beta)係數,然後再檢定廠商或投資組合之平均報酬率與貝它係數之關係。
Fama與MacBeth (1973)利用最小平方法估計貝它係數,再將由橫斷面迴歸方法所得出之斜率係數加以平均後,以統計t-test檢定之。然而以最小平方法估計係數,其估計值很容易受離群值之影響,因此本研究考慮以穩健估計 (robust estimator)來避免此一問題。另外,本研究亦將長期資料分析 (longitudinal data analysis) 引入CAPM裡,期望能檢定貝它係數是否能確實有效地衡量出系統性風險。
論文中以台灣股票市場電子業之實證分析來比較上述不同方法對CAPM的結果,資料蒐集期間為1998年9月至2001年12月之月資料。研究結果顯示出,穩健估計相對於最小平方法就CAPM有較佳的解釋力。而長期資料分析模型更用來衡量債券之超額報酬部分,是否會依上、中、下游或公司之不同而不同。
zh_TW
dc.description.abstract (摘要) The Capital Asset Pricing Model (CAPM) of Sharp (1964), Lintner (1965) and Black (1972) has been widely used in measuring the relationship between the expected return on a security and its risk in the recent years. It consists of two stages to estimate the relationship between risk and expected return. The first one is that betas are estimated from time series regressions, and the second is that the relationship between mean returns and betas is tested across firms or portfolios. Fama and MacBeth (1973) first used ordinary least squares (OLS) to estimate beta and took time series averages of the slope coefficients from monthly cross-sectional regressions in such studies. However it is well known that OLS is sensitive to outliers. Therefore, robust estimators are employed to avoid the problems. Furthermore, the longitudinal data analysis is applied to examine whether betas over time and securities are the valid measure of risk in the CAPM. An empirical study is carried out to present the different approaches. We use the data about the Information and Electronic industry in Taiwan stock market during the period from September 1998 to December 2001. For the time series regression analysis, the robust methods lead to more explanatory power than the OLS results. The linear mixed-effect model is used to examine the effects of different streams and companies for the security excess returns in these data.en_US
dc.description.tableofcontents 1 Introduction…………………………………………………………1
2 Capital Asset Pricing Model……………………………………4
2.1 Systematic and unsystematic risks…………………………4
2.2 The capital asset pricing model……………………………5
2.2.1 Capital market line…………………………………………6
2.2.2 Security market line…………………………………………7
3 Robust Estimation……………………………………………………10
3.1 Breakdown point…………………………………………………11
3.2 Least trimmed squares approach………………………………12
3.3 RDL1………………………………………………………………13
4 Longitudinal Data Analysis………………………………………16
4.1 Longitudinal data analysis………………………………………16
4.2 Linear mixed-effects model………………………………………18
4.3 Parameter estimations……………………………………………24
5 Empirical Study: The Information and Electronic Industry in
Taiwan Stock market…………………………………………………30
5.1 Data description……………………………………………………30
5.2 Graphical analysis…………………………………………………31
5.3 Time series regression Analysis………………………………35
5.4 Cross-sectional regression analysis…………………………40
6 Conclusions……………………………………………………………66
Appendix A………………………………………………………………68
References………………………………………………………………70
zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0089354018en_US
dc.subject (關鍵詞) 長期資料分析zh_TW
dc.subject (關鍵詞) 線性混和效應模型zh_TW
dc.subject (關鍵詞) 穩健估計zh_TW
dc.subject (關鍵詞) 最小削減平方法zh_TW
dc.subject (關鍵詞) 資本資產定價模型zh_TW
dc.subject (關鍵詞) longitudinal data analysisen_US
dc.subject (關鍵詞) linear mixed-effects modelen_US
dc.subject (關鍵詞) robust estimationen_US
dc.subject (關鍵詞) least trimmed squares estimatoren_US
dc.subject (關鍵詞) capital asset pricing modelen_US
dc.subject (關鍵詞) panel data analysisen_US
dc.title (題名) 以穩健估計及長期資料分析觀點探討資本資產定價模型zh_TW
dc.title (題名) On the CAPM from the Views of Robustness and Longitudinal Analysisen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Amihud, Y. B. J., Christensen, and Mendelson, H., 1992, Further evidence on the risk-return relationship, Working paper, New York University.zh_TW
dc.relation.reference (參考文獻) Brigham E. F., Gapenski L. C., and Ehrhardt M. C., 1999, Financial Management: Theory and Practice, 9th ed., Orlando: The Dryden Press.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) Chang, E., 1998, The correlation research of the stock prices of the upper middle lower stream of the electronic companies, master article, National Chung Hsing University.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) Cullis, B. R. and McGilchrist, C. A., 1990, A model for the analysis of growth data from designed experiments, Biometrics 42, 909-917.zh_TW
dc.relation.reference (參考文獻) Davidian, M. and Giltinan, D. M., 1995, Nonlinear Models for Repeated Measurement Data, London: Chapman & Hall.zh_TW
dc.relation.reference (參考文獻) Davies, L., 1992, The asymptotics of Rousseeuw’s minimum volume ellisoid estimator, The Annals of Statistics 20, 1828-1843.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) Draper, N. R. and Smith, H., 1998, Applied Regression Analysis, 3rd ed., New York: John Wiley.zh_TW
dc.relation.reference (參考文獻) Fama, E. F., 1965, The behavior of stock prices, Journal of Business 38, 34-105.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 earnings and returns, The Journal of Finance 50, 131-155.zh_TW
dc.relation.reference (參考文獻) Fama, E. F. and French, K. R., 1997, Industry costs of equity, Journal of Financial Economics 44, 153-193.zh_TW
dc.relation.reference (參考文獻) Fama, E. F., and James M, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.zh_TW
dc.relation.reference (參考文獻) Harville, D., 1974, Bayesian inference for variance components using only error contrasts, Biometrika 61, 383-385.zh_TW
dc.relation.reference (參考文獻) Hsiao, C., 1986, Analysis of Panel Data, Cambridge University Press.zh_TW
dc.relation.reference (參考文獻) Huber, P. J., 1981, Robust Statistics, New York: John Wiely and Sons.zh_TW
dc.relation.reference (參考文獻) Hubert, M. and Rousseeuw, P. J., 1995, Robust regression with both continuous and binary regressors, Journal of Statistical Planning and Inference 57, 153-163.zh_TW
dc.relation.reference (參考文獻) Jagannathan, R. and Wang, Z., 1996, The conditional CAPM and the cross-section of expected returns, Journal of Finance 51, 3-53.zh_TW
dc.relation.reference (參考文獻) Kenz, P. J. and Ready, M. J., 1997, On the robustness of size and book-to-market on cross-sectional regressions, Journal of Finance, Vol. LII, No. 4, 1355-1382.zh_TW
dc.relation.reference (參考文獻) Kon, S., 1984, Models of stock returns-a comparison, Journal of Finance 39, 147-165.zh_TW
dc.relation.reference (參考文獻) Laird, 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) Lakonishok, J. and Shapiro, A. C., 1986, Systematic risk, total risk and size as determinants of stock market returns, Journal of Banking and Finance 10, 115-132.zh_TW
dc.relation.reference (參考文獻) Levy, H., 1997, Risk and return: an empirical analysis, International Economic Review 38(1), 119-149.zh_TW
dc.relation.reference (參考文獻) Lin, H., 2000, The correlation reseration of the stock price of the upper middle and lower stream of the electronic companies, master article, Da-Yeh University.zh_TW
dc.relation.reference (參考文獻) Lindsey, J. K. 1999, Models for Repeated Measurements, 2nd ed., Oxford: New York.zh_TW
dc.relation.reference (參考文獻) Mandelbrot, B. 1963, The variation of certain speculative prices, Journal of Business 36, 394-419.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) Martin, R. D. and Simin, T., May 1999, Estimates of small-stock betas are often very distorted by outliers, Technical Report NO. 351, 1-19.zh_TW
dc.relation.reference (參考文獻) Merton, R. C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.zh_TW
dc.relation.reference (參考文獻) Patterson, H. D. and Thompson, R., 1971, Recovery of inter-block information when block sizes are unequal, Biometrika 58, 545-554.zh_TW
dc.relation.reference (參考文獻) Pinheiro, J. C. and Bates, D. M. B., 2000, Mixed-Effects Models in S and S-PLUS, New York: Springer.zh_TW
dc.relation.reference (參考文獻) Radcliffe, R. C., 1997, Investment: Concepts, Analysis, Strategy, 5th ed., Addison- Wesley.zh_TW
dc.relation.reference (參考文獻) Reinganum, M. R., 1981, A new empirical perspective on the CAPM, Journal of Finance and Quantitative Analysis 16, 439-462.zh_TW
dc.relation.reference (參考文獻) Roll, R., 1988, R2, Journal of Finance 43, 541-566.zh_TW
dc.relation.reference (參考文獻) Ross, S. A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.zh_TW
dc.relation.reference (參考文獻) Rosseeuw, P. J., 1984, Least median of squares regression, Journal of the American Statistical Association 79, 871-880.zh_TW
dc.relation.reference (參考文獻) Rosseeuw, P. J., 1985, Multivariate estimation with high breakdown point, Mathematical Statistics and Applications, Vol. B, W. Grossmann, G. Pflug, I. Vincze and W. Wertz, Eds., Reidel, Dordrecht, 283-297.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) Shalit, H. and Yitzhaki, S., 2001, Estimating beta, Working paper, Hebrew University of Jerusalem.zh_TW
dc.relation.reference (參考文獻) Verbyla, A. P. and Cullis, B. R., 1990, Modelling in repeated measures experiments,zh_TW
dc.relation.reference (參考文獻) Biometrika 75, 129-138.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 estimation equation approach, Biometrics 44, 1049-1060.zh_TW