傳統的CAPM理論說明，當投資者持有多樣化的投資組合時，只有系統風險對股票報酬產生影響。但在許多文獻上發現，因為投資者在投資組合多樣化不足的情況下，非系統風險對股票報酬也產生風險溢酬，因此本文檢驗了台灣股票報酬是否也與非系統風險相關，或者只與系統風險產生關連。

為了估計出股票的的非系統風險，本研究使用了Fama-French三因子模型估計出非系統風險，為了進一步檢測所估計出的非系統風險是不是良好的估計值，使用時間序列迴歸測試出非系統風險是否遵循隨機漫步過程，發現台灣股票市場的非系統風險並不遵循隨機漫步過程。為了捕捉非系統風險隨時間變化的性質，本研究使用GARCH 模型估計台灣的預期非系統風險，然後使用Fama- MacBeth（1973）觀察出報酬、公司規模、淨值市價權益比率，以及流動性與預期非系統風險和滯後一期非系統風險波動率之間的關係。

本研究發現公司規模以及淨值市價權益比率和平均報酬之間呈現負相關，亦證明出預期非系統風險與平均報酬呈現正相關關係。加入一個月滯後的非系統風險，本研究發現月報酬與非系統風險波動之間為負相關系，但報酬與同期的非系統風險呈現正相關關係。

The traditional CAPM theory shows that when investors hold diversified portfolios, only systemic risk has an impact on stock returns.However, in many literatures, idiosyncratic risk also generate risk premiums on stock returns because investors underdiversified portfolios. Therefore, this paper examines whether Taiwan's stock returns are also related to idiosyncratic risk, or only to systemic risks.

To estimate the idiosyncratic risk of stocks, I used the Fama-French three-factor model to estimate idiosyncratic risk. To further detect whether the estimated idiosyncratic risk is a good estimate, use time series regression to test whether the idiosyncratic risk risk follows a random walk. It was found that the idiosyncratic risk of the Taiwan stock market does not follow the random walk process. To capture the nature of idiosyncratic risk over time, I used the GARCH model to estimate Taiwan's expected idiosyncratic risk. Then use Fama-MacBeth (1973) to observe the relationship between compensation, company size, book-to-market equity, and liquidity versus idiosyncratic risk and lagging idiosyncratic risk.

Finally, there is a negative correlation between the company size and the and the book-to-market equity average return.It also proves that the expected idiosyncratic risk is positively correlated with the average return.There is a negative correlation between idiosyncratic risk finding monthly returns and idiosyncratic risk fluctuations, but returns are positively correlated with idiosyncratic risk in the same period.

論文審定書…………………………………………………………… i
中文摘要………………………………………………………….…... ii
英文摘要………………………………………..……………………. iii
第 一 章 緒論………………………………………………………... 1
1.1研究背景與動機……………………………………………….. 1
1.2研究目的……………………………………………………….. 4
1.3研究範圍……………………………………………………….. 5
1.4研究流程……………………………………………………….. 6
第 二 章 文獻探討…………………………………………………... 7
2.1非系統風險…...………………………………………………... 7
2.2非系統風險與報酬負相關…………………………………….. 8
2.3非系統風險與報酬正相關…………………………………….. 8
第 三 章 研究方法…………………………………………………. 10
3.1基本模型…...……………………………………………......... 10
3.2非系統風險波動率…………………………………………… 12
3.3非系統風險的時間序列性質………………………………… 13
3.4期望非系統風險波動率……………………………………… 14
第 四 章 實證結果…………………………………………………. 16
4.1橫斷面敘述統計…...…………………………………………. 16
4.2個別股票的逐月橫斷面分析………………………………… 18
4.3本章小結……………………………………………………… 22
第 五 章 結論與建議………………………………………………. 22
5.1研究結論……………...………………………………………. 22
5.2研究建議……………………………………………………… 23
參考文獻……………………………………………………….……… 24

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