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題名 規模因子、淨值市價比因子與總體經濟訊息相互關係，並對台灣股票報酬的影響
The Relationship among Size Factor、Book-to-Market Factor and News related to Macroeconomics, Discussing the Influence on Taiwan Stock Market that Size Factor、Book-to-Market Factor Make.作者 邱顯貴
Chiu, Hsien Kuei貢獻者 饒秀華<br>蕭明福
邱顯貴
Chiu, Hsien Kuei關鍵詞 規模因子
淨值市價比因子
違約利差
期限利差
SMB
HML
default spread
term spread日期 2014 上傳時間 1-Apr-2015 10:07:04 (UTC+8) 摘要 本文引用Petkova(2006)所制定出來的模型及概念，探討Fama-French因子是否能作為投資機會的預測變數，並分析台灣股票市場風險溢酬(risk premium)與總體經濟變數間的關係。本文使用的總體經濟變數包括：規模效果因子(SMB)、淨值市價比效果因子(HML)、市場因子(market factor)、違約利差(default spread)、期限利差(term spread)、一個月期定存利率(RF)及股利收益率(dividend yield)。除此之外，本文亦以VAR系統表達每個狀態變數的動態特徵，討論公司治理因子與總體經濟變數(macroeconomic variables)間的關聯，並比較總體經濟變數與公司治理因子分別對股票超額報酬的解釋能力。 本研究以台灣股票市場為研究樣本，資料期間為2005年11月至2014年4月，共102個月的月報酬為研究主體。實證結果可發現：（1)本研究的價值型的股票(value stock)具有較高的風險溢酬，成長型股票(Growth stock)擁有較低的風險溢酬；而台灣上市公司也存在顯著規模效果，小市值公司具有較高的風險溢酬，大市值公司擁有較低的風險溢酬。（2)在大市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現正向變動。在小市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現反向變動；違約利差(default spread)則與規模效果因子(SMB)呈現正向變動。
We use the model and concept that Petkova(2006) formulated to discuss if Fama-French factors can be the predictable variables of investment opportunity and analysis the relationship between risk premium and macroeconomic variables on Taiwan stock market. There are many macroeconomic variables in the article：Size factor(SMB)、book-to-market factor(HML)、market factor、default spread、term spread、one-month deposit interest rate and dividend yield. We capture the dynamic characters of every variables through VAR system to analyze the relationship French-French factors and macroeconomic variables. Furthermore, we compare the relationship between SMB and default spread, HML and term spread through the first step of Fama-MacBeth way. We can make two important conclusions through empirical evidence：(1) The risk premium is higher in value stocks than in growth stock, which means there is prominent book-to-market effect on Taiwan stock market. Moreover, the risk premium is higher in small firms than in large firms, which means there is magnificent size effect on Taiwan stock market.（2) The behavior that default spread has is the same as SMB factor in any book-to-market ratio criteria. However, the behavior that term spread has is the same as HML factor only in big capitalization criteria.參考文獻 李春旺、劉維琪、高孔廉，1989，股票行為與規模效應: 台灣股票市場實證，管理評論，七月，第99-121頁。林秋炭，1991，經濟因素、公司規模與股票報酬關係之研究，東海大學企業管理研究所，碩士論文。邱國欽、林鳴琴、王正己、呂偉傑，2007，股價、景氣狀態與貨幣政策─台灣證券交易所發行量加權指數實證研究，財金論文叢刊，110-127。林昭芃，2007，股市之價值溢酬及多因子模型之探討─以台灣股票市場為例，國立中央大學產業經濟研究所碩士論文。胡玉雪，1994，益本比、淨值/市價比及公司規模對股票報酬之影響—相似無關迴歸法之應用，國立台灣大學商學研究所碩士論文。柯貞伃，2010，台灣股市規模效應與發生財務危機事件機率之關聯，國立政治大學財務管理研究所。陳榮昌，2002，台灣股票報酬之結構分析，國立中山大學財務管理學系碩士在職專班未出版之碩士論文。張眾卓、王祝三，2012，台灣時間序列與橫斷面股票報酬之研究：不同模型設定、投資組合建構以及樣本選擇下之再檢測，49:1，31-38.彭國根，1997，規模及淨值. 與規模比對股票報酬之影響－台灣股票市場之實證研究，私立東吳大學企業管理研究所碩士論文。雷雅淇，2000，公司規模、股價、益本比、淨值市價比與股票超常報酬關係之實證研究，中央大學企業管理研究所碩士論文。趙志遠，2003，台灣股市之效率檢定及多因素模型之探討─長期追蹤資料之計量分析，中央大學產業經濟研究所未出版之碩士論文。盧麗安，1996，財務基本分析與台灣股價表現，中山大學財務管理研究所碩士論文。Aksu Mine H., Onder Turkan, 2003, The Size and Book-to-Market Effects and their Role as Risk Proxies in the Istanbul Stock Exchange, Social Science Research Network.Ang Andrew, Piazzesi Monika and Wei Min, 2006, What does the Yield Curve tell us about GDP Growth? Journal of Econometrics, 131, 359-403.Banz Rolf W., 1981, The Relationship between Return and Market Value of Common Stocks, Journal of Financial Economics, 9, 3-18.Black Angela J., 2006, Macroeconomic Risk and the Fama-French three Factor Model, Managerial Finance, 32, 6, 505-517.Campbell John Y., Shiller Robert J., 1988, The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, The Review of Financial Studies, 1, 3, 195-228Campbell, John Y., Vuolteenaho Tuomo, 2004. Bad Beta, Good Beta, American Economic Review, 94(5), 1249-1275.Chan K. C. and Chen* Nai-Fu, 1991, Structural and Return Characteristics of Small and Large Firms, The Journal of Finance, 4, 1467-1484.Cornell Bradford, 2012, Dividend-Pricing Ratios and Stock Returns: Another Look at the History.Faff Robert, Gharghori Philip, Nguyen Annette, 2014, Non-nested Tests of a GDP-Augmented Fama-French Model versus a Conditional Fama-French Model in the Australian Stock Market, International Review of Economics and Finance, 29, 627-638.Fama Eugene F., Schwert G William, 1977, Asset Returns and Inflation. Journal of Financial Economics, 5, 115-146.Fama Eugene F., French Kenneth R., 1988, Dividend Yield and Expected Stock Returns. Journal of Financial Economics, 22, 3-25.Fama Eugene F., French Kenneth R., 1989, Business Conditions and Expected Returns on Stocks and Bonds. Journal of Financial Economics, 25, 23-49.Fama Eugene F., French, Kenneth R., 1992, The Cross-Section of Expected Stock Returns, The Journal of Finance, 47, 427–465.Fama Eugene F., French, Kenneth R., 1993, Common Risk Factors in the Return on Stocks and Bonds, Journal of Financial Economics, 33, 3–56.Fama Eugene F., French Kenneth R., 1995, Size and Book-to-Market Factors in Earning and Returns. Journal of Financial Economics, 50, 1, 131-155.Fama Eugene F., French Kenneth R., 1996, Multifactor Explanations of Asset Pricing Anomalies. Journal of Financial Economics, 51, 1, 55-84.Fama E. F., MacBeth J. D., 1973, Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy, 81, 607–636.Gordon M. J., 1963, Optimal Investment and Financing Policy*, The Journal of Finance, 18, 2, 264–272.Guha Debashis, Hiris Lorene, 2002, The Aggregate Credit Spread and the Business Cycle, International Review of Financial Analysis, 11, 219-227.Hahn, J., and Hangyong Lee, 2003, Yield Spreads as Alternative Risk Factors for Size and Book-to-Market, working paper, University of Washington.Hanhardt Andreas, Ansotegui Carmen, 2008, Do the Fama and French Factors Proxy for State Variables that Predict Macroeconomic Growth in the Eurozone? Hodrick Robert J., 1992, Dividend Yield and Expected Stock Returns: Alternative Procedures for Inference and Measurement, The Review of Financial Studies, 5, 3, 357-386.Huang I-Hsiang, 2011, The Cyclical Behavior of the Risk of Value Strategy: Evidence from Taiwan. Pacific-Basin Finance Journal, 19, 404-419.Huang Yi-Jen, 2002, The Predictive Power of Firm Characteristics on Real Economic Activities in Taiwan. Ivanova Detelina, Lahiri Kajal, Seitz Franz, 2000, Interest Rate Spreads as Predictors of German Inflation and Business Cycles, International Journal of Forecasting, 16, 39–58.Kapadia Nishad, 2011, Tracking Down Distress Risk, Journal of Financial Economics, 102, 167–182.Klein Roger W., Bawa Vijay S., 1977, The Effect of Limited Information and Estimation Risk on Optimal Portfolio Diversification, Journal of Financial Economics, 5, 1, 89–111Kwark Noh-Sun, 2002, Default Risks, Interest Rate Spreads, and Business Cycles: Explaining the Interest Rate Spread as a Leading Indicator. Journal of Economic Dynamics & Control, 26, 271-302.Lettau Martin, Ludvigson Sydney C., Wachter Jessica A., 2008, The Declining Equity Premium: What Role does Macroeconomic Risk Play? The Review of Financial Studies, 1653-1687.Lettau Martin, Ludvigson Sydney, 2001, Consumption, Aggregate Wealth, and Expected Stock Returns, The Journal of Finance, 3, 815-849.Lettau Martin, Ludvigson Sydney C., 2005, Expected Returns and Expected Dividend Growth. Journal of Financial Economics, 76, 583–626.Liew Jimmy, Vassalou Maria, 2000, Can Book-to-Market, Size and Momentum be Risk Factors that Predict Economic Growth? Journal of Financial Economics, 57, 221-245. Liu Bin, Iorio Amalia Di, 2013, Does the Asset Pricing Factors Predict Future Economy Growth? An Australian Study, EFMA conference.Merton Robert C., 1973, An Intertemporal Capital Asset Pricing Model, Econometrica, 41, 5, 867-887Mody Ashoka, Taylor Mark P., 2003, The High Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States. IMF Stuff Paper, 50, 3, 373-402.Nguyen Annette, Faff Robert, Gharghori Philip, 2009, Are the Fama-French Factors Proxying News Related to GDP Growth? The Australian Evidence, Rev Quant Acc, 33, 141-158.Perez-Quiros Gabriei, Timmermann Allan, 2000, Firm Size and Cyclical Variations in Stock Returns, The Journal of Finance, 3, 1229-1262.Petkova Ralitsa, Zhang Lu, 2005, Is Value Risker than Growth? Journal of Financial Economics, 78, 187-202.Petkova Ralitsa, 2006, Do the Fama-French Factors Proxy for Innovations in Predictive Variables? The Journal of Finance, 2, 581-612.Sharpe William F., 1964, A Theory of Market Equilibrium under Conditions of Risk, The Journal of Finance, 19, 3, 425-442 Simpson Marc W., Ramcher Sanjay, 2008, An Inquiry into Economic Fundamentals of the Fama and French Equity Factors, Journal of Empirical Finance, 15, 801-815 Tsuji* Chikashi, 2010, In Search of the Economic Meaning and Role of the Fama-French Factors in Japan: Implications for Investment Management, The Open Management Journal, 3, 1-15Vassalou* Maria, 2003, News Related to Future GDP Growth as a Risk Factor in Equity Returns, Journal of Financial Economics, 68, 47–73.Zhang∗ Lu, 2005, The Value Premium, The Journal of Finance, 1, 67-103. 描述 碩士
國立政治大學
經濟學系
101258016
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101258016 資料類型 thesis dc.contributor.advisor 饒秀華<br>蕭明福 zh_TW dc.contributor.author (Authors) 邱顯貴 zh_TW dc.contributor.author (Authors) Chiu, Hsien Kuei en_US dc.creator (作者) 邱顯貴 zh_TW dc.creator (作者) Chiu, Hsien Kuei en_US dc.date (日期) 2014 en_US dc.date.accessioned 1-Apr-2015 10:07:04 (UTC+8) - dc.date.available 1-Apr-2015 10:07:04 (UTC+8) - dc.date.issued (上傳時間) 1-Apr-2015 10:07:04 (UTC+8) - dc.identifier (Other Identifiers) G0101258016 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/74270 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 101258016 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 本文引用Petkova(2006)所制定出來的模型及概念，探討Fama-French因子是否能作為投資機會的預測變數，並分析台灣股票市場風險溢酬(risk premium)與總體經濟變數間的關係。本文使用的總體經濟變數包括：規模效果因子(SMB)、淨值市價比效果因子(HML)、市場因子(market factor)、違約利差(default spread)、期限利差(term spread)、一個月期定存利率(RF)及股利收益率(dividend yield)。除此之外，本文亦以VAR系統表達每個狀態變數的動態特徵，討論公司治理因子與總體經濟變數(macroeconomic variables)間的關聯，並比較總體經濟變數與公司治理因子分別對股票超額報酬的解釋能力。 本研究以台灣股票市場為研究樣本，資料期間為2005年11月至2014年4月，共102個月的月報酬為研究主體。實證結果可發現：（1)本研究的價值型的股票(value stock)具有較高的風險溢酬，成長型股票(Growth stock)擁有較低的風險溢酬；而台灣上市公司也存在顯著規模效果，小市值公司具有較高的風險溢酬，大市值公司擁有較低的風險溢酬。（2)在大市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現正向變動。在小市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現反向變動；違約利差(default spread)則與規模效果因子(SMB)呈現正向變動。 zh_TW dc.description.abstract (摘要) We use the model and concept that Petkova(2006) formulated to discuss if Fama-French factors can be the predictable variables of investment opportunity and analysis the relationship between risk premium and macroeconomic variables on Taiwan stock market. There are many macroeconomic variables in the article：Size factor(SMB)、book-to-market factor(HML)、market factor、default spread、term spread、one-month deposit interest rate and dividend yield. We capture the dynamic characters of every variables through VAR system to analyze the relationship French-French factors and macroeconomic variables. Furthermore, we compare the relationship between SMB and default spread, HML and term spread through the first step of Fama-MacBeth way. We can make two important conclusions through empirical evidence：(1) The risk premium is higher in value stocks than in growth stock, which means there is prominent book-to-market effect on Taiwan stock market. Moreover, the risk premium is higher in small firms than in large firms, which means there is magnificent size effect on Taiwan stock market.（2) The behavior that default spread has is the same as SMB factor in any book-to-market ratio criteria. However, the behavior that term spread has is the same as HML factor only in big capitalization criteria. en_US dc.description.tableofcontents 摘要....................................................iAbtract...............................................ii致謝詞................................................iii目錄.................................................iv/v表目錄.................................................vi圖目錄................................................vii第一章 序論..............................................1 第一節 研究背景........................................1 第二節 研究動機與目的...................................3 第二節 研究步驟與研究方法................................5第二章 文獻回顧..........................................7 第一節 系統風險的文獻探討................................7 第二節 異常現象的文獻探討................................9 第三節 國內實證文獻探討................................27第三章 研究方法........................................30 第一節 變數選取與投資建構組合...........................30 第二節 以跨期資本資產模型為架構.........................31 第三節 探討狀態變數....................................33 第四節 經濟方法.......................................34 第五節 Fama-MacBeth模型建構...........................36第四章 實證分析........................................39 第一節 研究樣本描述....................................39 第二節 向量自我迴歸模型估計.............................46 第三節 SMB和HML的投資組合報酬與未預期狀態變數們的關係.....49 第四節 多元時間序列迴歸................................52第五章 結論與建議.......................................58 第一節 結論...........................................58 第二節 研究限制與建議..................................60參考文獻................................................62 zh_TW dc.format.extent 762014 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101258016 en_US dc.subject (關鍵詞) 規模因子 zh_TW dc.subject (關鍵詞) 淨值市價比因子 zh_TW dc.subject (關鍵詞) 違約利差 zh_TW dc.subject (關鍵詞) 期限利差 zh_TW dc.subject (關鍵詞) SMB en_US dc.subject (關鍵詞) HML en_US dc.subject (關鍵詞) default spread en_US dc.subject (關鍵詞) term spread en_US dc.title (題名) 規模因子、淨值市價比因子與總體經濟訊息相互關係，並對台灣股票報酬的影響 zh_TW dc.title (題名) The Relationship among Size Factor、Book-to-Market Factor and News related to Macroeconomics, Discussing the Influence on Taiwan Stock Market that Size Factor、Book-to-Market Factor Make. en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 李春旺、劉維琪、高孔廉，1989，股票行為與規模效應: 台灣股票市場實證，管理評論，七月，第99-121頁。林秋炭，1991，經濟因素、公司規模與股票報酬關係之研究，東海大學企業管理研究所，碩士論文。邱國欽、林鳴琴、王正己、呂偉傑，2007，股價、景氣狀態與貨幣政策─台灣證券交易所發行量加權指數實證研究，財金論文叢刊，110-127。林昭芃，2007，股市之價值溢酬及多因子模型之探討─以台灣股票市場為例，國立中央大學產業經濟研究所碩士論文。胡玉雪，1994，益本比、淨值/市價比及公司規模對股票報酬之影響—相似無關迴歸法之應用，國立台灣大學商學研究所碩士論文。柯貞伃，2010，台灣股市規模效應與發生財務危機事件機率之關聯，國立政治大學財務管理研究所。陳榮昌，2002，台灣股票報酬之結構分析，國立中山大學財務管理學系碩士在職專班未出版之碩士論文。張眾卓、王祝三，2012，台灣時間序列與橫斷面股票報酬之研究：不同模型設定、投資組合建構以及樣本選擇下之再檢測，49:1，31-38.彭國根，1997，規模及淨值. 與規模比對股票報酬之影響－台灣股票市場之實證研究，私立東吳大學企業管理研究所碩士論文。雷雅淇，2000，公司規模、股價、益本比、淨值市價比與股票超常報酬關係之實證研究，中央大學企業管理研究所碩士論文。趙志遠，2003，台灣股市之效率檢定及多因素模型之探討─長期追蹤資料之計量分析，中央大學產業經濟研究所未出版之碩士論文。盧麗安，1996，財務基本分析與台灣股價表現，中山大學財務管理研究所碩士論文。Aksu Mine H., Onder Turkan, 2003, The Size and Book-to-Market Effects and their Role as Risk Proxies in the Istanbul Stock Exchange, Social Science Research Network.Ang Andrew, Piazzesi Monika and Wei Min, 2006, What does the Yield Curve tell us about GDP Growth? Journal of Econometrics, 131, 359-403.Banz Rolf W., 1981, The Relationship between Return and Market Value of Common Stocks, Journal of Financial Economics, 9, 3-18.Black Angela J., 2006, Macroeconomic Risk and the Fama-French three Factor Model, Managerial Finance, 32, 6, 505-517.Campbell John Y., Shiller Robert J., 1988, The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, The Review of Financial Studies, 1, 3, 195-228Campbell, John Y., Vuolteenaho Tuomo, 2004. Bad Beta, Good Beta, American Economic Review, 94(5), 1249-1275.Chan K. C. and Chen* Nai-Fu, 1991, Structural and Return Characteristics of Small and Large Firms, The Journal of Finance, 4, 1467-1484.Cornell Bradford, 2012, Dividend-Pricing Ratios and Stock Returns: Another Look at the History.Faff Robert, Gharghori Philip, Nguyen Annette, 2014, Non-nested Tests of a GDP-Augmented Fama-French Model versus a Conditional Fama-French Model in the Australian Stock Market, International Review of Economics and Finance, 29, 627-638.Fama Eugene F., Schwert G William, 1977, Asset Returns and Inflation. Journal of Financial Economics, 5, 115-146.Fama Eugene F., French Kenneth R., 1988, Dividend Yield and Expected Stock Returns. Journal of Financial Economics, 22, 3-25.Fama Eugene F., French Kenneth R., 1989, Business Conditions and Expected Returns on Stocks and Bonds. 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J., 1963, Optimal Investment and Financing Policy*, The Journal of Finance, 18, 2, 264–272.Guha Debashis, Hiris Lorene, 2002, The Aggregate Credit Spread and the Business Cycle, International Review of Financial Analysis, 11, 219-227.Hahn, J., and Hangyong Lee, 2003, Yield Spreads as Alternative Risk Factors for Size and Book-to-Market, working paper, University of Washington.Hanhardt Andreas, Ansotegui Carmen, 2008, Do the Fama and French Factors Proxy for State Variables that Predict Macroeconomic Growth in the Eurozone? Hodrick Robert J., 1992, Dividend Yield and Expected Stock Returns: Alternative Procedures for Inference and Measurement, The Review of Financial Studies, 5, 3, 357-386.Huang I-Hsiang, 2011, The Cyclical Behavior of the Risk of Value Strategy: Evidence from Taiwan. Pacific-Basin Finance Journal, 19, 404-419.Huang Yi-Jen, 2002, The Predictive Power of Firm Characteristics on Real Economic Activities in Taiwan. 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