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題名 台灣股票市場股票報酬之時間序列研究
The Time Series Analysis of the Stock Returns in the Taiwan Stock Exchange作者 陳柏助
Chen, Po-Chu貢獻者 郭維裕
Kuo, Wei-Yu
陳柏助
Chen, Po-Chu關鍵詞 資產評價
股票異常報酬
規模效果
淨值市價比
動量
流動性效果
多因子評價模型
asset pricing
market anomalies
size effect
book-to-market ratio
momentum
liquidity effect
muiti-factor pricing model日期 2001 上傳時間 18-Apr-2016 16:24:48 (UTC+8) 摘要 本論文採用Fama and French[1993]所提出之三因子模式為基礎，以公司規模[firm size]、帳面淨值市價比[book to market ratio]、及市場超額報酬[market excess return]為三因子，配合動能因子[momentum]及三種不同的流動性指標[成交量，成交值，成交量週轉率]來延伸探討五因子的時間序列資產定價模式。
This article provides evidence that stock returns listed in the Taiwan Stock Exchange do have shared variation due to the “market anomalies”, such as size, book-to-market ratio, momentum, and liquidity, which have been argued by scholars and investment professionals for many years. The evidence shows that small-cap effect plays an important role in explaining the violation in stock returns after controlling for other determinants of stock returns. Besides, value, momentum, and liquidity effect do exist in the Taiwan stock market. Moreover, we suggest that turnover rate is a better proxy for liquidity in terms of its stronger relations with the stylized portfolio returns. We empirically estimate the intercepts of our asset-market models using weekly time-series data for individual securities over the sample period from 1992 to 2000 and across 452 securities. To emphasize particularly, our result does not imply that the Taiwan stock market is not an efficient market.參考文獻 中文參考文獻： 1. 陳建良，民國83年，‘我國股票市場異常現象之實證研究’，國立交通大學管理科學研究所碩士論文 2. 金傑敏，民國85年，‘公司規模、權益帳面價值對市價比、前期報酬及系統風險對股票報酬之影響’，私立淡江大學金融研究所碩士論文 3. 余招賢，台灣股票市場風險、規模、淨值╱市價、成交量周轉率與報酬之關係，國立交通大學管理科學研究所碩士論文，民國86年。 4. 杜幸樺，民國87年，‘影響台灣股票報酬之共同因素與企業特性之研究—Fama-French三因子模式、動能策略與交易量因素’，國立中山大學企業管理研究所碩士論文 5. 林天中，「台灣股票市場三因子：系統風險、公司規模及淨值市價比實證研究」，國立清華大學經濟研所碩士論文，民國87年6月。 6. 林志龍，「臺灣證券市場股票價格過度反應之實證研究」，東吳大學管理學研究所碩士論文，民國81年。 7. 金傑敏，「公司規模、權益帳面價值對市值比、前期報酬及系統性風險對股票報酬之影響，淡江大學金融研究所碩土論文，民國84年。 8. 施純玉，「淨值市價比效果之探討」，國立台灣大學財務金融學研究所碩士論文，民國86年6月。 9. 翁弘林，「臺灣股市中異常現象之實證研究─以月份效應為例」，國立中興大學企管研究碩士論文，民國83年。 10. 張國平，「台灣股票市場三因子：市場風險、公司規模及淨值市價比實證研究」，國立清華大學經濟研究所碩士論文，民國87年6月。 11. 劉玉珍，「最後進出喊價價差與股票報酬的關係」，國立中山大學企業管理研究所未出版碩士論文，民國七十七年六月。 12. 胡星陽，1998，「流動性對台灣股票報酬率的影響」，中國財務學刊Vol.5，No.4，792-809。 [1] Amihud, Y., Mendelson, H., 1986, Asset pricing and the bid-ask spread. Journal of Financial Economics 17, 223-249. [2] Brennan, M.J., Subrahmanyam, A., 1996, Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics 41, 341-364. [3] Brennan, M.J., Chordia, T., and Subrahmanyam, A., 1996, Cross-sectional determinants of expected returns. In: Modest, D. (ED), On Finance: In Honor of Fischer Black. Oxford University Press, Cary, NC, Forthcoming. [4] Brennan, M.J., Chordia, T., and Subrahmanyam, A., 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics 49, 345-373. [5] Chalmers, M.R.J., Kadlec, G.B., 1998, An empirical examination of the amortized spread. Journal of Financial Economics 48, 159-188. [6] Chan, K.C.L., Jegadeesh, N., and Lakonishok, J., 1996, Momentum Strategies. Journal of Finance 51, 1681-1713. [7] Chordia, T., R. Roll, and Subrahmanyam A., 2000, Commonality in liquidity. Journal of Financial Economics 56, 3-28. [8] Chordia, T., Subrahmanyam A., and Anshuman R., 2000, Trading activity and expected stock returns. Journal of financial economics, Forthcoming(V59). [9] Chordia, T., R. Roll, and Subrahmanyam A., 2000, Market liquidity and trading activity. Journal of Finance, Forthcoming. [10] Datar, T.V., Naik, Y.N., andRadcliffe, R., 1998, Liquidity and stock returns: An alternative test. Journal of Financial Markets 1, 203-219. [11] Danial, K., Titman, S., 1997, Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance 52, 1-33. [12] Eleswarapu, V., Reinganum, M., 1993, The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics 34, 373-386. [13] Elyasiani, E., Hauser, S., and Lauterbach, B., 2000, Market response to liquidity improvements: Evidence from exchanges listings. The Financial Review 41, 1-14. [14] Fama, E.F., French, K.R., 1992, The cross-section of expected stock returns. Journal of Finance 47, 427-465. [15] Fama, E.F., French, K.R., 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56. [16] Fama, E.F., French, K.R., 1996, Multifactor explanations for asset pricing anomalies. Journal of Finance 51, 55-84. [17] Fama, E.F., French, K.R., 1998, Value versus growth: The international evidence. Journal of Finance 53, 1975-1999. [18] Fama, E.F., MacBeth, J., 1973, Risk and return: Some empirical tests. Journal of Political Economy 81, 607-636. [19] Glosten, L.R., Harries, L., 1988, Estimating the components of bid/ask spread. Journal of Financial Economics 21, 123-142. [20] Grossman S.J., Miller, M.H. 1988, Liquidity and market structure. Journal of Finance 43, 617-637. [21] Hasbrouck, J., Seppi, D., 1998, Common factors in prices, order flows, and liquidity. Working paper, Stern School of Business, New York University. [22] Jegadeesh, N., Titman, S., 1993, Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48, 65-92. [23] Kadlec G.B., Mcconnell, J.J., 1994, The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings. [24] Lakonishok, J., Shleifer, A., and Vishny, R., 1994, Contrarian investment, extrapolation, and risk. Journal of Finance49, 1541-1578. [25] Lee, C.M.C., Swaminathan, B., 1998, Price momentum and trading volume. Working paper, Cornell University. [26] Lo, A.W., MacKinlay, A.C., 1990, Data-snooping biases in tests of financial asset pricing models. Review of Financial Studies 3, 431-468. [27] Merton R.C., 1973, An intertemporal capital asset pricing model. Econometrica 41, 867-887. [28] Rhee, S.G., Wang, C.J., 1997, The bid-ask bounce effect and the spread size effect: Evidence from the Taiwan stock market. Pacific-Basin Finance Journal 5, 231-258. [29] Rouwenhorst, K.G., 1998, International momentum strategies. Journal of Finance 53, 267-284. 描述 碩士
國立政治大學
國際經營與貿易學系
88351011資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001527 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (Authors) 陳柏助 zh_TW dc.contributor.author (Authors) Chen, Po-Chu en_US dc.creator (作者) 陳柏助 zh_TW dc.creator (作者) Chen, Po-Chu en_US dc.date (日期) 2001 en_US dc.date.accessioned 18-Apr-2016 16:24:48 (UTC+8) - dc.date.available 18-Apr-2016 16:24:48 (UTC+8) - dc.date.issued (上傳時間) 18-Apr-2016 16:24:48 (UTC+8) - dc.identifier (Other Identifiers) A2002001527 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85313 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 88351011 zh_TW dc.description.abstract (摘要) 本論文採用Fama and French[1993]所提出之三因子模式為基礎，以公司規模[firm size]、帳面淨值市價比[book to market ratio]、及市場超額報酬[market excess return]為三因子，配合動能因子[momentum]及三種不同的流動性指標[成交量，成交值，成交量週轉率]來延伸探討五因子的時間序列資產定價模式。 zh_TW dc.description.abstract (摘要) This article provides evidence that stock returns listed in the Taiwan Stock Exchange do have shared variation due to the “market anomalies”, such as size, book-to-market ratio, momentum, and liquidity, which have been argued by scholars and investment professionals for many years. The evidence shows that small-cap effect plays an important role in explaining the violation in stock returns after controlling for other determinants of stock returns. Besides, value, momentum, and liquidity effect do exist in the Taiwan stock market. Moreover, we suggest that turnover rate is a better proxy for liquidity in terms of its stronger relations with the stylized portfolio returns. We empirically estimate the intercepts of our asset-market models using weekly time-series data for individual securities over the sample period from 1992 to 2000 and across 452 securities. To emphasize particularly, our result does not imply that the Taiwan stock market is not an efficient market. en_US dc.description.tableofcontents 封面頁 證明書 致謝詞 論文摘要 目錄 第一章 緒論 第二章 研究資料 第三章 研究方法 第四章 實證結果 第五章 結論與建議 參考文獻 附錄 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001527 en_US dc.subject (關鍵詞) 資產評價 zh_TW dc.subject (關鍵詞) 股票異常報酬 zh_TW dc.subject (關鍵詞) 規模效果 zh_TW dc.subject (關鍵詞) 淨值市價比 zh_TW dc.subject (關鍵詞) 動量 zh_TW dc.subject (關鍵詞) 流動性效果 zh_TW dc.subject (關鍵詞) 多因子評價模型 zh_TW dc.subject (關鍵詞) asset pricing en_US dc.subject (關鍵詞) market anomalies en_US dc.subject (關鍵詞) size effect en_US dc.subject (關鍵詞) book-to-market ratio en_US dc.subject (關鍵詞) momentum en_US dc.subject (關鍵詞) liquidity effect en_US dc.subject (關鍵詞) muiti-factor pricing model en_US dc.title (題名) 台灣股票市場股票報酬之時間序列研究 zh_TW dc.title (題名) The Time Series Analysis of the Stock Returns in the Taiwan Stock Exchange en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文參考文獻： 1. 陳建良，民國83年，‘我國股票市場異常現象之實證研究’，國立交通大學管理科學研究所碩士論文 2. 金傑敏，民國85年，‘公司規模、權益帳面價值對市價比、前期報酬及系統風險對股票報酬之影響’，私立淡江大學金融研究所碩士論文 3. 余招賢，台灣股票市場風險、規模、淨值╱市價、成交量周轉率與報酬之關係，國立交通大學管理科學研究所碩士論文，民國86年。 4. 杜幸樺，民國87年，‘影響台灣股票報酬之共同因素與企業特性之研究—Fama-French三因子模式、動能策略與交易量因素’，國立中山大學企業管理研究所碩士論文 5. 林天中，「台灣股票市場三因子：系統風險、公司規模及淨值市價比實證研究」，國立清華大學經濟研所碩士論文，民國87年6月。 6. 林志龍，「臺灣證券市場股票價格過度反應之實證研究」，東吳大學管理學研究所碩士論文，民國81年。 7. 金傑敏，「公司規模、權益帳面價值對市值比、前期報酬及系統性風險對股票報酬之影響，淡江大學金融研究所碩土論文，民國84年。 8. 施純玉，「淨值市價比效果之探討」，國立台灣大學財務金融學研究所碩士論文，民國86年6月。 9. 翁弘林，「臺灣股市中異常現象之實證研究─以月份效應為例」，國立中興大學企管研究碩士論文，民國83年。 10. 張國平，「台灣股票市場三因子：市場風險、公司規模及淨值市價比實證研究」，國立清華大學經濟研究所碩士論文，民國87年6月。 11. 劉玉珍，「最後進出喊價價差與股票報酬的關係」，國立中山大學企業管理研究所未出版碩士論文，民國七十七年六月。 12. 胡星陽，1998，「流動性對台灣股票報酬率的影響」，中國財務學刊Vol.5，No.4，792-809。 [1] Amihud, Y., Mendelson, H., 1986, Asset pricing and the bid-ask spread. Journal of Financial Economics 17, 223-249. [2] Brennan, M.J., Subrahmanyam, A., 1996, Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics 41, 341-364. [3] Brennan, M.J., Chordia, T., and Subrahmanyam, A., 1996, Cross-sectional determinants of expected returns. In: Modest, D. (ED), On Finance: In Honor of Fischer Black. Oxford University Press, Cary, NC, Forthcoming. [4] Brennan, M.J., Chordia, T., and Subrahmanyam, A., 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics 49, 345-373. [5] Chalmers, M.R.J., Kadlec, G.B., 1998, An empirical examination of the amortized spread. Journal of Financial Economics 48, 159-188. [6] Chan, K.C.L., Jegadeesh, N., and Lakonishok, J., 1996, Momentum Strategies. Journal of Finance 51, 1681-1713. [7] Chordia, T., R. Roll, and Subrahmanyam A., 2000, Commonality in liquidity. Journal of Financial Economics 56, 3-28. [8] Chordia, T., Subrahmanyam A., and Anshuman R., 2000, Trading activity and expected stock returns. Journal of financial economics, Forthcoming(V59). [9] Chordia, T., R. Roll, and Subrahmanyam A., 2000, Market liquidity and trading activity. Journal of Finance, Forthcoming. [10] Datar, T.V., Naik, Y.N., andRadcliffe, R., 1998, Liquidity and stock returns: An alternative test. Journal of Financial Markets 1, 203-219. [11] Danial, K., Titman, S., 1997, Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance 52, 1-33. [12] Eleswarapu, V., Reinganum, M., 1993, The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics 34, 373-386. [13] Elyasiani, E., Hauser, S., and Lauterbach, B., 2000, Market response to liquidity improvements: Evidence from exchanges listings. The Financial Review 41, 1-14. [14] Fama, E.F., French, K.R., 1992, The cross-section of expected stock returns. Journal of Finance 47, 427-465. [15] Fama, E.F., French, K.R., 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56. [16] Fama, E.F., French, K.R., 1996, Multifactor explanations for asset pricing anomalies. Journal of Finance 51, 55-84. [17] Fama, E.F., French, K.R., 1998, Value versus growth: The international evidence. Journal of Finance 53, 1975-1999. [18] Fama, E.F., MacBeth, J., 1973, Risk and return: Some empirical tests. Journal of Political Economy 81, 607-636. [19] Glosten, L.R., Harries, L., 1988, Estimating the components of bid/ask spread. Journal of Financial Economics 21, 123-142. [20] Grossman S.J., Miller, M.H. 1988, Liquidity and market structure. Journal of Finance 43, 617-637. [21] Hasbrouck, J., Seppi, D., 1998, Common factors in prices, order flows, and liquidity. Working paper, Stern School of Business, New York University. [22] Jegadeesh, N., Titman, S., 1993, Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48, 65-92. [23] Kadlec G.B., Mcconnell, J.J., 1994, The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings. [24] Lakonishok, J., Shleifer, A., and Vishny, R., 1994, Contrarian investment, extrapolation, and risk. Journal of Finance49, 1541-1578. [25] Lee, C.M.C., Swaminathan, B., 1998, Price momentum and trading volume. Working paper, Cornell University. [26] Lo, A.W., MacKinlay, A.C., 1990, Data-snooping biases in tests of financial asset pricing models. Review of Financial Studies 3, 431-468. [27] Merton R.C., 1973, An intertemporal capital asset pricing model. Econometrica 41, 867-887. [28] Rhee, S.G., Wang, C.J., 1997, The bid-ask bounce effect and the spread size effect: Evidence from the Taiwan stock market. Pacific-Basin Finance Journal 5, 231-258. [29] Rouwenhorst, K.G., 1998, International momentum strategies. Journal of Finance 53, 267-284. zh_TW
