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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31503

    Title: 臺灣上市公司獨特性波動風險對股票報酬關係之研究
    Other Titles: The relations between idiosyncratic volatility risk and stock return in Taiwan stock market
    Authors: 林曉梅;Lin, Hsiao-mei
    Contributors: 淡江大學財務金融學系碩士班
    邱忠榮;Chiou, Jong-rong;林允永;Lin, Yun-yung
    Keywords: 系統風險;市場價值;淨值市價比;獨特性風險;Beta;Market value;Idiosyncratic Volatility Risk;Panel Data
    Date: 2007
    Issue Date: 2010-01-11 00:50:28 (UTC+8)
    Abstract: 報酬與風險一直為投資人所關切的議題。本研究依據Fama and French(1992)的三因子模型為研究模型的基本架構,加入近年來波動性研究都將其重心擺在其上的獨特性波動風險因子,本文使用過去未討論過的GARCH(1,1)配置三因子殘差變異數作為獨特性波動風險因子,形成四因子資本資產定價模型,試探討此四因子模型對於股票報酬的關聯性。本研究方法以Panel data模型進行分析研究,將檢定結果加以比較三因子模型與四因子模型是否有何差異。
    In this paper we follow Fama and French (1992). We employ the common three risk factors in Fama and French (1992) and take another new risk factor- Idiosyncratic Volatility Risk (called IVR) in our 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. We analyze our empirical data with Panel Data model. The sample period is from 1996 to 2006. In summary, all factors are significant in explaining stock returns in the three–factor model. In the four-factor modal, even we take IVR in our model; all risk factors are still significant in explaining stock returns. Moreover, the in the four-factor modal is higher than in the three–factor model. In this paper, we find there is negative relation between Beta (or BE/ME) and stock return. Besides, we find there is positive relation between Market value and stock return. The other factor-IVR has positive relation with stock return as well. Our result is the same with the result from Chiang (2003).This is, the higher the idiosyncratic volatility of the Taiwan listed stocks is, the higher the return of the Taiwan listed stocks increases.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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