頁籤選單縮合
題 名 | 臺灣地區股票報酬之橫斷面分析:三因子模式之實證=A Cross-sectional Analysis of the Stock Returns in Taiwan: Empirical Evidence from the Three-factor Model |
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作 者 | 陳家彬; | 書刊名 | 國立中興大學人文社會學報 |
卷 期 | 8 1999.06[民88.06] |
頁 次 | 頁213-236 |
分類號 | 563.54 |
關鍵詞 | 股票市場; 三因子模式; 超額報酬; 資本資產訂價模式; Stock market; Three-factor model; Excess returns; CAPM; |
語 文 | 中文(Chinese) |
中文摘要 | 近期有些學者陸續發現股票報酬率的異常現象似乎是受到一些β係數以外的其他 因素所影響,而使股票市場中存在某些效應,使得效率市場假說受到挑戰,也使 得CAPM作為資本資產訂價模式的地位動搖。本研究的主要目的為探討以公司規模 和權益帳面價值對權益市價比所形成的三因子模式在解釋臺灣股票橫斷面報酬的 適用性。研究期間為民國七十一年至八十六年,研究樣本包括臺灣地區的上市股 票,但不包含金融類股,實證模式則採迴歸分析方法。實證結果顯示三因子模式 在臺灣股票市場具有一定的適用性,但由於其對股票超額報酬的解釋能力不是很 高(約六成左右),顯示以臺灣地區的上市股票而言,規模和權益帳面價值對權益 市價比並不能完全解釋股票報酬的變異。 |
英文摘要 | Recently scholars find that the anomalies of stock returns are affected by some factors other than the coefficient. These findings challenge the efficient market hypothesis and the capital asset pricing model (CAPM). The purpose of this study is to apply the three-factor model developed by Fama and French (1993-1996) to examine the significance of firm size and book-to-market ratio (BE/ME) on the stock returns in Taiwan. The sample consists of the publicly traded stocks in Taiwan between 1982 and 1997, excluding the financial firms, and the regression method is employed to analyze the stock returns. The empirical results show that, in general, the three-factor model has viable applicability in Taiwan stock market. However, the regression models' R- squared values are not very high ( about 60%), implying that firm size and BE/ME are not the only significant variables that can explain the variations of stock returns in Taiwan. |
本系統中英文摘要資訊取自各篇刊載內容。