單因子、三因子或四因子模式？ (One-Factor, Three-Factor or Four-Factor Models)

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Title:	單因子、三因子或四因子模式？ (One-Factor, Three-Factor or Four-Factor Models)
Other Titles:	One-Factor, Three-Factor or Four-Factor Models
Authors:	顧廣平
Contributors:	淡江大學財務系
Keywords:	股票報酬;超額報酬;多因子模式;報酬共通時間序列變異;平均報酬橫斷面變異;Stock Return;Abnormal Return;Multiple Factor Model
Date:	2002-12-20
Issue Date:	2011-10-22 22:51:23 (UTC+8)
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的單因子模式、Fama and French的三因子模式和 Carhart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、Fama and French與Carhart等三種因子模式似乎不太適用於台灣股市，而結果建議市場、成交量、營收市價比、動能四因子模式是一個較佳的選擇。
Relation:	第一屆北商學術論壇研討會論文集，12頁
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Proceeding

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