博碩士論文 etd-0715113-102108 詳細資訊


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姓名 邱世淦(Shih Kan Chiu) 電子郵件信箱 E-mail 資料不公開
畢業系所 企業管理學系研究所(Business Management)
畢業學位 碩士(Master) 畢業時期 101學年第2學期
論文名稱(中) 以資本資產定價模型為基礎驗證台灣上市公司個股期望報酬與實際報酬之關係
論文名稱(英) On the expected and actual return of Taiwan listed companies based on CAPM
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    摘要(中) 摘  要
    本研究主要以資本資產定價模型(Capital Asset Pricing Model, CAPM)衡量股票的預期報酬,以及探討在CAPM 模型中所定義的三個參數無風險利率(risk-free rate)、beta(系統風險係數)及風險溢酬(risk premium)要如何選取才能使 CAPM 對股票預期報酬達到最佳的解釋力。同時也探討除了系統性風險會影響股票預期報酬外,是否也有其它因素對股票預期報酬同樣也具有影響及解釋力。研究中將探討總體經濟因素如:股市趨勢、原油價格對股票預期報酬的影響。另外也將驗證如:週轉率效應(Turnover Rate)、股利政策(Payout Policy)、規模效應(Size Effect)及動能效應(Momentum)對股票預期報酬有何種程度的影響以及探討這些現象是否也存在台灣股市中。
    本研究將以上所提因子設計成模型實證後得到以下結論:
    1.CAPM參數的選擇,其中的風險溢酬參數若採用前期大盤報酬為資料則會造成CAPM 解釋力不佳的情況。
    2.台灣股市預期報酬與股市趨勢呈負相關,具有週轉率效應、規模效應及動能效應。
    3.銀行業股票報酬與股市趨勢呈負相關,具有週轉率效應、規模效應,與原油價格為正相關與動能效應呈現負相關。
    4.科技業股票報酬與股市趨勢呈負相關,具有週轉率效應及規模效應,與原油價格為負相關與動能效應呈現負相關。
    5.傳統產業股票報酬與股市趨勢呈負相關,具有週轉率效應及規模效應,與原油價格與動能效應皆呈現正相關。與股利發放率則為負相關。
    摘要(英) Abstract
    This study applies capital asset pricing model (CAPM) to evaluate expected returns of stocks and investigates how to choose the three parameters defined in the CPAM – risk-free rate, beta, and risk premium – to make the CPAM achieve the highest explanatory power for the stock expected return. This study also investigates, besides the systematic risk that can have an impact on stock expected return, if there are any other factors that have an impact on and explanatory power for the stock expected return. Some macroeconomic factors, such as stock market trends and the crude oil price, are studied to find out their impacts on the stock expected return. Other factors, including turnover rate, payout policy, size effect, and momentum, are also discussed in this study to examine their levels of impact on the stock expected return and to investigate if these anomalies exist in Taiwan’s stock market.
    This study designs an empirical model with the above factors and concludes the following results:
    1. As for the choice of the CAPM factors, if the previous period of the Taiwan Stock Exchange is used as the data source, the explanatory power of the CAPM will be low.
    2. The expected return of the Taiwan Stock Exchange market has a negative correlation with the stock trends, and the expected return is influenced by the turnover rate, size effect, and momentum.
    3. The expected return of the bank stocks has a negative correlation with the stock trends, the expected return is influenced by the turnover rate as well as size effect, and it has a positive correlation with the crude oil price and a negative correlation with the momentum.
    4. The expected return of the technology industry stocks has a negative correlation with the stock trends, the expected return is influenced by the turnover rate as well as size effect, and it has a negative correlation with the crude oil price and a negative correlation with the momentum.
    5. The expected return of the traditional industry stocks has a negative correlation with the stock trends, the expected return is influenced by the turnover rate as well as size effect, it has a positive correlation with the crude oil price as well as the momentum and a negative correlation with the dividend payout ratio.
    關鍵字(中)
  • 股市趨勢
  • 週轉率效應
  • 規模效應
  • 資本資產定價模型
  • 關鍵字(英)
  • Turnover rate
  • Trend
  • CAPM
  • Size effect
  • 論文目次 目  錄
    論文審定書 i
    致  謝 ii
    摘  要 iii
    Abstract iv
    目  錄 vi
    第壹章  緒論 1
    第一節  研究背景與動機 1
    第二節  研究目的 2
    第三節  研究架構與流程 3
    第貳章  理論基礎與文獻探討 5
    第一節  資本資產定價模型 5
    第二節  規模效應 11
    第三節  價量關係 17
    第四節  總體經濟因素 22
    第五節  價格動能 28
    第六節  股利政策 30
    第參章  研究設計 33
    第一節 樣本選擇與資料來源 33
    第二節 變數定義 34
    第三節  研究方法 41
    第肆章  實證結果 42
    第一節 敘述統計 42
    第二節 CAPM 參數實證結果 46
    第三節  CAPM 與台灣股市趨勢實證結果 48
    第四節  CAPM 與動能效應實證結果 49
    第五節  CAPM 與研究模型實證結果 50
    第伍章  結論與建議 66
    第一節  研究結論 66
    第二節 研究限制 68
    第三節 後續研究建議 68
    參考文獻 69
    參考文獻 參考文獻
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    口試委員
  • 高蘭芬 - 召集委員
  • 盧正壽 - 委員
  • 陳安琳 - 指導教授
  • 口試日期 2013-07-30 繳交日期 2013-08-15

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