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題名 違約利差和期間利差作為風險因子的適用性-Hahn and Lee(2006)模型與Fama and French三因子模型之比較
作者 蔡昕穎
貢獻者 饒秀華
蔡昕穎
關鍵詞 Fama and French三因子模型
Hahn and Lee (2006)替代模型
期間利差
違約利差
日期 2015
上傳時間 3-Aug-2015 13:16:03 (UTC+8)
摘要 本研究利用Fama and French三因子模型為架構，分析台灣股票市場的市值規模效應及淨值市價比效應影響程度，以及相對應之風險貼水。同時連結規模效應風險貼水(SMB)與違約利差間的風險關係、淨值市價比風險貼水(HML)和期間利差間的風險關係，接著利用Hahn and Lee (2006)模型以違約利差變動量取代規模效應影響因子、期間利差變動量做為淨值市價比影響因子的總體經濟替代變數，探討違約利差變動量和期間利差變動量做為規模效應及淨值市價比的代理變數是否貼切，同時比較替代模型解釋變數對應之風險貼水為何。
     　　一般而言，小公司比大公司體質來得不穩定、投資風險較高，需要較多風險貼水；高淨值市價比公司比低淨值市價比公司承受較多不確定性，也因此風險貼水較高。實證結果顯示，台灣股票市場無論採用Fama and French三因子模型或是Hahn and Lee (2006)替代模型分析，風險貼水係數皆不顯著，可能原因在於如國外文獻所述，違約利差和期間利差和總體經濟報酬率等的連結已自1980年代起開始削弱，本研究樣本期間自2006年起至2014年12月，已處於利差無法串連市場報酬的期間，結論與國外學者相符。
     　　而在Fama and French三因子模型與Hahn and Lee (2006)替代模型比較上，可以發現替代模型的解釋變數無法完整詮釋原本三因子模型的解釋變數，三因子模型中的解釋變數又沒辦法像替代模型中的變數一樣產生總體經濟的連結，而無論資料是否包含金融海嘯期間，單就台灣上市、上櫃股票市場而言，Fama and French三因子模型與Hahn and Lee (2006)替代模型對市場的解釋能力是相近的。
參考文獻 壹、英文部分
     Ang, A., M. Piazzesi, and M. Wei, (2006). “What Does the Yield Curve Tell us about
     　　GDP Growth?” Journal of Econometrics, 131, 359-403.
     Ball, R., (1978). “Anomalies in Relationships between Securities’ Yields and Yield-
     　　Surrogates.” Journal of Financial Economics, 6, 103-126.
     Banz, R. W., (1981). “The Relationship between Return and Market Value of Common
     　　Stocks.” Journal of Financial Economics, 9, 3-18.
     Basu, S., (1983). “The Relationship between Earnings Yield, Market Value, and Return
     　　for NYSE Common Stocks: Further Evidence.” Journal of Financial Economics,
     　　12, 129-156.
     Bhandari, L. C., (1988). “Debt/Equity Ratio and Expected Common Stock Returns:
     Empirical Evidence.” Journal of Finance, 43, 507-528.
     Black, F., M. C. Jensen, and M. S. Scholes, (1972). “The Capital Asset Pricing Model:
     Some Empirical Tests.” Studies in the Theory of Capital Markets, 79-121.
     Black, F., (1972). “Capital Market Equilibrium with Restricted Borrowing.” Journal of
     　　Business, 45, 444-455.
     Bernanke, B. S., (1990). “On the Predictive Power of Interest Rates and Interest Rate
     　　Spreads.” New England Econ. Rev. Nov.: Dec., 51-68.
     Bernanke, B. S., and F. S. Mishkin, (1992). “The Predictive Power of Interest Rate
     　　Spreads: Evidence from Six Industrialized Countries.” Paper presented at the
     American Economic Association meeting, Anaheim, California.
     Campbell, J., (1996). “Understanding Risk and Return.” Journal of Political Economy,
     　　104, 298-345.
     Canova, F., and G. De Nicoló, (2000). “Stock Return, Term Structure, Real Activity,
     　　And Inflation: An International Perspective.” Macroeconomic Dynamics, 4, 343-
     　　372.
     Chan, L. K. C., Y. Hamao, and J. Lakonishok, (1991). “Fundamentals and Stock
     　　Returns in Japan.” Journal of Finance, 46, 1739-1764.
     Chan, L. K. C., and N. Chen, (1991). “Structural and Return Characteristics of Small
     　　and Large Firms.” Journal of Finance, 46, 1467-1484.
     Davis, E. P., and G. Fagan, (1997). “Are Financial Spreads Useful Indicators of Future
     　　Inflation and Output Growth in EU Countries?” Journal of Applied Econometrics,
     　　12, 701-714.
     Dotsey, M., (1998). “The Predictive Content of the Interest Rate Term Spread for Future
     　　Economic Growth.” FRB Richmond Economic Quarterly, 84, 31-51.
     Duca, J. V., (1999). “What Credit Market Indicators tell us.” FRB Dallas Econ.
     　　Financial Review Q3, 2-13.
     Estrella, A., and F. S. Mishkin, (1997). “The Predictive Power of the Term Structure of
     　　Interest Rates in Europe and the United States: Implications for the European
     　　Central Bank.” European Economic Review, 41, 1375-1401.
     Fama, E. F., and K. R. French, (1989). “Business Conditions and Expected Returns on
     　　Stocks and Bonds.” Journal of Financial Economics, 25, 23-49.
     Fama, E. F., and K. R. French, (1992). “The Cross-Section of Expected Stock Returns.”
     Journal of Finance, 46, 427-446.
     Fama, E. F., and K. R. French, (1993). “Common Risk Factors in the Returns on Stocks
     　　and Bonds.” Journal of Financial Economics, 33, 3-56.
     Fama, E. F., and J. MacBeth, (1973). “Risk, Return and Equilibrium: Empirical Tests.”
     Journal of Political Economy, 81, 607-636.
     Foye, J., D. Mramor, and M. Pahor, (2013). “The Persistence of Pricing Inefficiencies
     　　in the Stock Markets of the Eastern European EU Nations.” Economic and
     　　Business Review, 15, 113-133.
     Gertler, M., R. G. Hubbard, and A. K. Kashyap, (1991). “Interest Rate Spreads, Credit
     　　Constraints, and Investment Fluctuations: An Empirical Investigation.” In
     　　Financial Markets and Financial Crises, R. G. Hubbard, ed. Chicago, IL: Univ. of
     　　Chicago Press.
     Hahn, J., and H. Lee, (2006). “Yield Spreads as Alternative Risk Factors for
     　　Size and Book-to-Market.” Journal of Financial and Quantitative Analysis, 41,
     　　245-269.
     Haubrich, J. G., and A. M. Dombrosky, (1996). “Predicting Real Growth Using the
     　　Yield Curve.” FRB Cleveland Economic Review, 32, 26-35.
     Horowitz, J. J., T. Loughran, and N. E. Savin, (2000). “The Disappearing Size Effect.”
     Research in Economics, 54, 83-100.
     Kashyap, A. K., O. A. Lamont, and J. C. Stein, (1994). “Credit Conditions and the
     　　Cyclical Behavior of Inventories.” Quarterly Journal of Economics, 109, 565-592.
     Keim, D. B., (1988). “Stock Market Regularities: A Synthesis of the Evidence and
     　　Explanations.” in Elroy Dimson, ed.: Stock Market Anomalies, Cambridge
     　　University Press: Cambridge.
     Lakonishok, J., and A. C. Shapiro, (1986). “Systematic Risk, Total Risk and Size as
     　　Determinants of Stock Market Returns.” Journal of Banking and Finance, 10, 115-
     　　132.
     Linter, 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.
     Mishkin F. S., (1990a). “What Does the Term Structure Tell us about Future Inflation?”
     　　Journal of Monetary Economics, 25, 77-95.
     Perez-Quiros, G., and A. Timmermann, (2000). “Firm Size and Cyclical Variations in
     　　Stock Returns.” Journal of Finance, 55, 1229-1262.
     Sharpe, W. F., (1964). “Capital Asset Prices: A Theory of Market Equilibrium under
     Conditions of Risks.” Journal of Finance, 19, 425-442.
     Stattman, D., (1980). “Book Values and Stock Returns.” The Chicago MBA: A Journal
     　　of Selected Papers, 4, 25-45.
     Stock, J. H., and M. W. Watson, (2003). “Forecasting Output and Inflation: The Role
     　　of Asset Prices.” Journal of Economic Literature, 41, 788-829.
     Thoma, M. A., and J. A. Gray, (1994). “On Leading Indicators: Is There a Leading
     　　Contender?” Mimeo, University of Oregon.
     Reinganum, M. R., (1981). “Misspecification of Capital Asset Pricing: Empirical
     Anomalies Based on Earnings Yields and Market Values.” Journal of Finance
     Economics, 9, 19-46.
     Rosenberg, B., K. Reid, and R. Lanstein, (1985). “Persuasive Evidence of
     　　Market Inefficiency.” Journal of Portfolio Management, 11, 9-16.
     Van Dijk, M. A., (2006). “Is Size Dead? A Review of the Size Effect in Equity Returns.”
     　　Journal of Banking and Finance, 35, 3263-3274.
     
     貳、中文部分
     王崇育(2014)。「總體商業訊息與台灣股票報酬之關係：以Fama-MacBeth兩階段
     　　方法實證」。未出版之碩士論文，國立政治大學，經濟學系研究所，台北市。
     呂偉傑(2006)。「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」。未出版之碩士論文，私立朝陽科技大學，財務金融學系研究所，
     　　台中市。
     李智揚(2015)。「違約利差和期間利差作為風險因子的適用性──由橫斷面資料
     　　研究」。未出版之碩士論文，國立政治大學，國際經營與貿易研究所，台北
     　　市。
     林秋炭(1991)。「經濟因素、公司規模與股票報酬關係之研究」。未出版之碩士論
     　　文，私立東海大學，企業管理研究所，台中市。
     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
     　　關回歸法之應用」。未出版之碩士論文，國立臺灣大學，商學研究所，台北
     　　市。
     翁百郁(2004)。「期間利差、股票報酬與景氣循環關聯性之探討」。未出版之碩士
     　　論文，私立淡江大學，財務金融學系研究所，新北市。
     張尊悌(1996)。「貝他、公司規模及淨值市價比三因子評價模型之研究：以台灣股
     　　市為例」。未出版之碩士論文，國立清華大學，經濟研究所，新竹市。
     彭玉鳳(1998)。「公司規模、淨值市價比和股票報酬關係之探討」。未出版之碩士
     　　論文，國立中央大學，企業管理研究所，桃園縣。
描述 碩士
國立政治大學
國際經營與貿易研究所
102351020
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102351020
資料類型 thesis
dc.contributor.advisor 饒秀華zh_TW
dc.contributor.author (Authors) 蔡昕穎zh_TW
dc.creator (作者) 蔡昕穎zh_TW
dc.date (日期) 2015en_US
dc.date.accessioned 3-Aug-2015 13:16:03 (UTC+8)-
dc.date.available 3-Aug-2015 13:16:03 (UTC+8)-
dc.date.issued (上傳時間) 3-Aug-2015 13:16:03 (UTC+8)-
dc.identifier (Other Identifiers) G0102351020en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/77146-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 102351020zh_TW
dc.description.abstract (摘要) 本研究利用Fama and French三因子模型為架構，分析台灣股票市場的市值規模效應及淨值市價比效應影響程度，以及相對應之風險貼水。同時連結規模效應風險貼水(SMB)與違約利差間的風險關係、淨值市價比風險貼水(HML)和期間利差間的風險關係，接著利用Hahn and Lee (2006)模型以違約利差變動量取代規模效應影響因子、期間利差變動量做為淨值市價比影響因子的總體經濟替代變數，探討違約利差變動量和期間利差變動量做為規模效應及淨值市價比的代理變數是否貼切，同時比較替代模型解釋變數對應之風險貼水為何。
     　　一般而言，小公司比大公司體質來得不穩定、投資風險較高，需要較多風險貼水；高淨值市價比公司比低淨值市價比公司承受較多不確定性，也因此風險貼水較高。實證結果顯示，台灣股票市場無論採用Fama and French三因子模型或是Hahn and Lee (2006)替代模型分析，風險貼水係數皆不顯著，可能原因在於如國外文獻所述，違約利差和期間利差和總體經濟報酬率等的連結已自1980年代起開始削弱，本研究樣本期間自2006年起至2014年12月，已處於利差無法串連市場報酬的期間，結論與國外學者相符。
     　　而在Fama and French三因子模型與Hahn and Lee (2006)替代模型比較上，可以發現替代模型的解釋變數無法完整詮釋原本三因子模型的解釋變數，三因子模型中的解釋變數又沒辦法像替代模型中的變數一樣產生總體經濟的連結，而無論資料是否包含金融海嘯期間，單就台灣上市、上櫃股票市場而言，Fama and French三因子模型與Hahn and Lee (2006)替代模型對市場的解釋能力是相近的。		zh_TW
dc.description.tableofcontents 第一章 緒論 1
     第一節　研究背景與動機 1
     第二節　研究目的 4
     第三節　研究架構 5
     第二章　文獻探討 6
     第一節　資本資產定價模型(CAPM)之原理探討及演進 6
     第二節　Fama and French 三因子模型之探討 16
     第三節　規模效應風險貼水(SMB)及淨值市價比風險貼水(HML)之替代變數 19
     第三章　研究方法和設計 25
     第一節　資料來源及處理 25
     第二節　研究方法說明 28
     第三節　變數選取及說明 29
     第四章　實證分析 32
     第一節　投資組合建構及樣本敘述 32
     第二節　Fama-MacBeth第一階段迴歸結果 33
     第三節　Fama-MacBeth第二階段迴歸結果 34
     第四節　Hahn and Lee (2006)模型與Fama and French三因子模型之比較 35
     第五章　結論 42
     參考資料 44		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102351020en_US
dc.subject (關鍵詞) Fama and French三因子模型zh_TW
dc.subject (關鍵詞) Hahn and Lee (2006)替代模型zh_TW
dc.subject (關鍵詞) 期間利差zh_TW
dc.subject (關鍵詞) 違約利差zh_TW
dc.title (題名) 違約利差和期間利差作為風險因子的適用性-Hahn and Lee(2006)模型與Fama and French三因子模型之比較zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 壹、英文部分
     Ang, A., M. Piazzesi, and M. Wei, (2006). “What Does the Yield Curve Tell us about
     　　GDP Growth?” Journal of Econometrics, 131, 359-403.
     Ball, R., (1978). “Anomalies in Relationships between Securities’ Yields and Yield-
     　　Surrogates.” Journal of Financial Economics, 6, 103-126.
     Banz, R. W., (1981). “The Relationship between Return and Market Value of Common
     　　Stocks.” Journal of Financial Economics, 9, 3-18.
     Basu, S., (1983). “The Relationship between Earnings Yield, Market Value, and Return
     　　for NYSE Common Stocks: Further Evidence.” Journal of Financial Economics,
     　　12, 129-156.
     Bhandari, L. C., (1988). “Debt/Equity Ratio and Expected Common Stock Returns:
     Empirical Evidence.” Journal of Finance, 43, 507-528.
     Black, F., M. C. Jensen, and M. S. Scholes, (1972). “The Capital Asset Pricing Model:
     Some Empirical Tests.” Studies in the Theory of Capital Markets, 79-121.
     Black, F., (1972). “Capital Market Equilibrium with Restricted Borrowing.” Journal of
     　　Business, 45, 444-455.
     Bernanke, B. S., (1990). “On the Predictive Power of Interest Rates and Interest Rate
     　　Spreads.” New England Econ. Rev. Nov.: Dec., 51-68.
     Bernanke, B. S., and F. S. Mishkin, (1992). “The Predictive Power of Interest Rate
     　　Spreads: Evidence from Six Industrialized Countries.” Paper presented at the
     American Economic Association meeting, Anaheim, California.
     Campbell, J., (1996). “Understanding Risk and Return.” Journal of Political Economy,
     　　104, 298-345.
     Canova, F., and G. De Nicoló, (2000). “Stock Return, Term Structure, Real Activity,
     　　And Inflation: An International Perspective.” Macroeconomic Dynamics, 4, 343-
     　　372.
     Chan, L. K. C., Y. Hamao, and J. Lakonishok, (1991). “Fundamentals and Stock
     　　Returns in Japan.” Journal of Finance, 46, 1739-1764.
     Chan, L. K. C., and N. Chen, (1991). “Structural and Return Characteristics of Small
     　　and Large Firms.” Journal of Finance, 46, 1467-1484.
     Davis, E. P., and G. Fagan, (1997). “Are Financial Spreads Useful Indicators of Future
     　　Inflation and Output Growth in EU Countries?” Journal of Applied Econometrics,
     　　12, 701-714.
     Dotsey, M., (1998). “The Predictive Content of the Interest Rate Term Spread for Future
     　　Economic Growth.” FRB Richmond Economic Quarterly, 84, 31-51.
     Duca, J. V., (1999). “What Credit Market Indicators tell us.” FRB Dallas Econ.
     　　Financial Review Q3, 2-13.
     Estrella, A., and F. S. Mishkin, (1997). “The Predictive Power of the Term Structure of
     　　Interest Rates in Europe and the United States: Implications for the European
     　　Central Bank.” European Economic Review, 41, 1375-1401.
     Fama, E. F., and K. R. French, (1989). “Business Conditions and Expected Returns on
     　　Stocks and Bonds.” Journal of Financial Economics, 25, 23-49.
     Fama, E. F., and K. R. French, (1992). “The Cross-Section of Expected Stock Returns.”
     Journal of Finance, 46, 427-446.
     Fama, E. F., and K. R. French, (1993). “Common Risk Factors in the Returns on Stocks
     　　and Bonds.” Journal of Financial Economics, 33, 3-56.
     Fama, E. F., and J. MacBeth, (1973). “Risk, Return and Equilibrium: Empirical Tests.”
     Journal of Political Economy, 81, 607-636.
     Foye, J., D. Mramor, and M. Pahor, (2013). “The Persistence of Pricing Inefficiencies
     　　in the Stock Markets of the Eastern European EU Nations.” Economic and
     　　Business Review, 15, 113-133.
     Gertler, M., R. G. Hubbard, and A. K. Kashyap, (1991). “Interest Rate Spreads, Credit
     　　Constraints, and Investment Fluctuations: An Empirical Investigation.” In
     　　Financial Markets and Financial Crises, R. G. Hubbard, ed. Chicago, IL: Univ. of
     　　Chicago Press.
     Hahn, J., and H. Lee, (2006). “Yield Spreads as Alternative Risk Factors for
     　　Size and Book-to-Market.” Journal of Financial and Quantitative Analysis, 41,
     　　245-269.
     Haubrich, J. G., and A. M. Dombrosky, (1996). “Predicting Real Growth Using the
     　　Yield Curve.” FRB Cleveland Economic Review, 32, 26-35.
     Horowitz, J. J., T. Loughran, and N. E. Savin, (2000). “The Disappearing Size Effect.”
     Research in Economics, 54, 83-100.
     Kashyap, A. K., O. A. Lamont, and J. C. Stein, (1994). “Credit Conditions and the
     　　Cyclical Behavior of Inventories.” Quarterly Journal of Economics, 109, 565-592.
     Keim, D. B., (1988). “Stock Market Regularities: A Synthesis of the Evidence and
     　　Explanations.” in Elroy Dimson, ed.: Stock Market Anomalies, Cambridge
     　　University Press: Cambridge.
     Lakonishok, J., and A. C. Shapiro, (1986). “Systematic Risk, Total Risk and Size as
     　　Determinants of Stock Market Returns.” Journal of Banking and Finance, 10, 115-
     　　132.
     Linter, 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.
     Mishkin F. S., (1990a). “What Does the Term Structure Tell us about Future Inflation?”
     　　Journal of Monetary Economics, 25, 77-95.
     Perez-Quiros, G., and A. Timmermann, (2000). “Firm Size and Cyclical Variations in
     　　Stock Returns.” Journal of Finance, 55, 1229-1262.
     Sharpe, W. F., (1964). “Capital Asset Prices: A Theory of Market Equilibrium under
     Conditions of Risks.” Journal of Finance, 19, 425-442.
     Stattman, D., (1980). “Book Values and Stock Returns.” The Chicago MBA: A Journal
     　　of Selected Papers, 4, 25-45.
     Stock, J. H., and M. W. Watson, (2003). “Forecasting Output and Inflation: The Role
     　　of Asset Prices.” Journal of Economic Literature, 41, 788-829.
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