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    Title: 單因子、三因子或四因子模式?
    Authors: 顧廣平
    Contributors: 淡江大學財務金融學系
    Keywords: 因子模式;報酬共通時間序列變異;平均報酬橫斷面變異;Factor Model;Common Time-Series Variation in Returns;Cross-Sectional Variation in Average Returns
    Date: 2005-07
    Issue Date: 2013-04-17 11:20:29 (UTC+8)
    Publisher: 臺北市:中華民國證券暨期貨市場發展基金會
    Abstract: 本研究評估多種因子模式在解釋台灣股票報酬變異的適用性,這些模式包括Black, Jensen and Scholes(1972)的單因子模式、Fama and French(1993)的三因子模式和Carhart(1997)的四因子模式,以及由本研究所建構之市場、成交量、營收市價比三因子模式與市場、成交量、營收市價比、動能四因子模式。結果顯示Black, Jensen and Scholes(1972)、Fama and French(1993)與Carhart(1997)等三種因子模式似乎不太適用於台灣股市,結果建議市場、成交量、營收市價比、動能四因子模式是一個較佳的選擇。
    This paper investigates the validity of various factor models in explaining the variation in stock returns in Taiwan. The models considered include the one-factor model of Black, Jensen and Scholes(1972), the three-factor model of Fama and French(1993), and the four-factor model of Carhart(1997). And I develop two models: the market, volume and sales-to-price three-factor model, and the market, volume, sales-to-price and momentum four-factor model. The results show that three models of Black, Jensen and Scholes(1972), Fama and French(1993) and Carhart(1997) seem unable to apply to the Taiwan stock market, and suggest that market, volume, sales-to-price and momentum four-factor model is a better choice.
    Relation: 證券市場發展季刊 17(2),頁 101-146
    DOI: 10.6529/RSFM.2005.17(2).3
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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