本研究利用Fama&French(1993)三因子模型進行台灣上市股票市場獨特性波動的估計。研究期間從2005年1月到2010 年12月為止，共計6 年。本文主要檢驗獨特性風險與橫斷面股價報酬之間的關係。控制變數中除了文獻中常見的Beta、公司規模、淨值市價、週轉率、動能等因子外，額外加入了法人持股比率，進一步再依法人持股比例進行樣本分組，深入了解法人持股對於特性風險與橫斷面股價報酬之間關係的影響。最後將市場總獨特性風險加入Fama&French(1993)三因子模型成為第四個因子，探討此四因子模型對於報酬的解釋能力。 實證結果顯示台灣股票市場上獨特性風險與報酬呈現顯著的正相關，顯示在無法分散獨特性風險下，投資者理當要求正的風險溢酬。且在依法人持股比例分組後的子樣本回歸結果發現，法人持股比例越低(散戶持有率高)的子樣本中，獨特性風險與報酬的正相關越顯著，顯示了散戶比起法人分散投資（Diversification）的能力較差，理應要求更高的獨特性風險溢酬。最後，在四因子模式中的所有變數仍然皆為顯著且具有解釋能力，並且四因子模型的調整後判定係數較三因子模型高，因此可以得知，四因子模型的配適能力較三因子模型好。 The focus of this paper is to examine the relationship between idiosyncratic volatility and the cross-section stock returns. Control variables included in beta,company size, book-to-market ratio, turnover rate and momentum effect ,we added additional institutional ownership ratio. We want to understand of the effect of institutional ownership ratio to the relationship between idiosyncratic volatility and the cross-section stock returns. Finally, we use total idiosyncratic volatility risk as the fourth risk factor-ratio and add it to Fama & French (1993) three-factor model. We want to know the relationship among these four risk factors and the stock return and compare the results of the three-factor model with the four-factor model. The results show the relationship between idiosyncratic volatility and the stock returns is significantly positive. And in accordance with the subsample grouping by institutional ownership, we found that the lower the proportion of institutional ownership,the potive relationship between idiosyncratic volatility and stock returns is more significantly. Finally, all factors are significant in explaining stock returns in the three–factor model and four–factor model. Moreover, the adjusted R-squared in the four-factor modal is higher than in the three–factor model.
