風險值與股票報酬之關係－臺灣實證研究

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 987654321/31656

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题名:	風險值與股票報酬之關係－臺灣實證研究
其它题名:	The relationship between value at risk and stock returns : a case of Taiwan
作者:	王源遠;Wang, Yuan-yuan
贡献者:	淡江大學財務金融學系碩士班林允永;Lin, Yun-yung
日期:	2005
上传时间:	2010-01-11 01:06:11 (UTC+8)
摘要:	自Sharpe(1964)提出資本資產訂價模型(CAPM)後，CAPM一直是學術界及實務界用來評估衡量風險與報酬的方法，然而CAPM亦不斷的接受挑戰，例如Merton(1973)及Ross(1976)提出多因子架構的理論模型及80年代以後許多學者相繼發表CAPM所無法解釋的報酬型態的異象(anomalies)，其中又以 Fama-French 所提出的三因子模型最為有名。因此影響股票報酬橫斷面的變化，已非CAPM理論單一市場因素可以通盤解釋的，雖然大部份學者仍肯定市場存在效率性，但從風險值因子的角度，隱約看到否定 Fama 弱式效率市場假說的觀點，即過去報酬的型態會影響未來的預期報酬，且從市場微結構的角度，過去股票交易量因子(或週轉率)也會影響股票報酬橫斷面的變化。本研究根據1999年7月2日至2004年6月30日期間，以臺灣50指數成分股為實證對象，採用指數加權移動平均法(EWMA)來估計風險值以及Panel Data分析方法做實證分析。嘗試以 Fama-French 三因子模型為基礎加上風險值因子及週轉率因子所形成四因子模型及五因子模型來解釋台灣股票市場的報酬情形，提供影響台灣股票市場報酬的粗略輪廓。實證結果發現如下： 1.由回溯測試檢定的結果可知，採用指數加權移動平均法(EWMA)能有效地估計風險值，風險控管能力有一定水準。 2.從三因子模型觀察：市場因素與股票報酬間沒有存在顯著的關係及股價淨值比因素對股票報酬具有顯著的解釋力，與 Fama-French三因子模型的文獻結論一致，唯規模因素不具顯著性，與 Fama 的實證結果不一致。 3.從四因子模型觀察：市場因素、股價淨值比因素及風險值因素均對股票報酬具有顯著的解釋力，唯規模因素不具顯著性。 4.從五因子模型觀察：週轉率因素對股票報酬存在正向關係且具有顯著的解釋力及市場因素、規模因素與風險值因素亦對股票報酬具有顯著的解釋力，唯股價淨值比因素不具顯著性。 5.就風險值因素的角度發現：無論在四因子或五因子模型，風險值對股票報酬均具有顯著的解釋力，與Bali and Cakici(2004)的實證結果一致。此即顯示VaR factor將可提供股市交易者在選股操作上另一客觀的參考指標。 Since Sharpe (1964) proposed the Capital Asset Pricing Model (CAPM), investors used CAPM as a standard approach to measure the return and risk. But there are some suggest that the CAPM can not explain the return anomalies existed in the market. The multi-factor model suggested by Merton (1973) and Ross (1976) and the common factors model proposed by Fama and French (1996) argued that the beta in CAPM cannot explain well of return and risk. The explanation power of return can not capture by beta only. The previous return pattern will affect the future expected return distribution. From the market microstructure view of point, the trading volume (or turnover rate) can also affect the change of cross section return. The paper analyzes the Taiwan 50 index stock from July 2, 1999 to June 30, 2004. We apply EWMA approach to estimate the Value at Risk (VaR) of these stocks. The Panel Data Analysis is also uses for empirical examination. From the basis of Fama-French''s three factors model, we add the VaR and Turnover rate to form the four and five factors model to analyze the return and risk in Taiwan''s stock market. The empirical results show that: 1.The EWMA approach can estimate VaR efficiently from the back testing result. 2.From the three factors model: The relationship between return and market factor is not significant. The MV/BE factor is significant explanation for the return. This is consistent with the Fama-French mondel. But the market value factor is not significant. 3.From the four factors model: The market factor, MV/BE, and VaR are significant. The only insignificant factor is market value. 4.From the five factors model: The turnover rate has positive effect on the return. The MV/BE is not significant. The other factors are significant explanation power of return. 5.The VaR factor is significant is both four and five factors model to explain the return. This is consistent with the Bali and Cakici (2004) finding. This shows that VaR can be another reference index for stock choosing strategy.
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