公司特徵與獨特性風險對報酬的影響

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 學位論文 > Item 987654321/101916

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题名:	公司特徵與獨特性風險對報酬的影響
其它题名:	The effects of firm characteristics and idiosyncratic risk to return
作者:	林哲煒;Lin, Je-Wei
贡献者:	淡江大學財務金融學系碩士班林蒼祥;Lin, William T.;蔡蒔銓;Tsai, Shih-Chuan
关键词:	獨特性風險;股價報酬;公司特徵;Idiosyncratic risk;stock returns;firm characteristics
日期:	2014
上传时间:	2015-05-04 09:42:58 (UTC+8)
摘要:	獨特性風險在預測報酬的能力，目前在財金研究中仍眾說紛紜。由於各學者在實證方面使用的方法或母體不同，模型的建構及變數的衡量亦有許多不同。故本文想深入探討台灣股票市場的公司特徵、獨特性風險與報酬的影響關係。首先，本文主要檢驗個股獨特性風險與面股價報酬的關係，研究採取Fama and French (1993)三因子模型之直接分解法 (direct decomposition method) Xu and Malkiel (2003)與Goyal and Santa-Clara (2003)即以殘差之標準差作為獨特性風險的估計值。本研究採用月股價報酬資料做為樣本來估計獨特性風險變數，觀察獨特性風險是否對於股價報酬具有解釋能力。在使用Fama and MacBeth（1973）迴歸方法將獨特性風險與股票超額報酬做迴歸分析之後，發現其在解釋股票超額報酬上，具有顯著的正向關係。與Spiegel and Wang（2005）以及Fu（2009）的研究結果一致。本研究更進一步探討公司特徵和獨特性風險對報酬之間的關係，為尚未形成定論之議題增添新的研究結果。 Idiosyncratic risk ability to predict the socks return is currently still in the research of Finance opinions. Due to the different methods or maternal various scholars used in empirical construct and measure variables there are many different models. Therefore, this article would like to discuss the Taiwan stock market, the firm characteristics a unique impact on the relationship between idiosyncratic risk and expected return. First, this paper examine the relationship between idiosyncratic risk stocks and stock returns in the cross-sectional study to take Fama and French (1993) three-factor model of direct decomposition of (direct decomposition method) Xu and Malkiel (2003) and Goyal and Santa-Clara (2003) that is used as the standard deviation of the residuals of the estimated value of the idiosyncratic risk In this study, monthly stock return data as sample to estimate the idiosyncratic risk variables to observe whether the unique risks for stock returns have explanatory power. After using the Fama and MacBeth (1973) regression method to idiosyncratic risk and stock excess returns regression analysis found that its interpretation of the excess return on the stock, with a significant positive relationship. And consistent with Spiegel and Wang (2005) Fu (2009) findings. This study further explore the characteristics of the company of the relationship between the idiosyncratic risk and return.
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