| 摘要: | 本文主要分成兩階段，第一階段參考Fama & Macbeth(1973)的實證模型，採用月資料型態，探討台灣股票市場是否符合CAPM市場效率性。第二階段參考Fama & French(1992)中所提的幾個公司特徵因素(公司規模、市價對淨值比、益本比、負債比)而建構出本階段的多因素模型，以季資料型態探討各變數對於於股票報酬率的解釋能力，本研究以台灣證券交易所自民國75年10月至民國88年9月間具有完整之季財務報表的72家上市公司為研究對象，建立panel data研究樣本，以GMM估計法進行實證研究，最後利用Durlauf and Hall(1990) 所提出的誤設比(noise ratio) 觀念，比較CAPM和多因素模型何者較符合台灣股市。本研究實證結果如下： 台灣股票市場不具市場效率性，在考慮多因素模型後，發現雖然系統風險β對股票報酬仍具有解釋能力，但是β並非是解釋股票報酬的唯一因子，尚有公司規模、市價對淨值比、負債比、負的益本比等其它因素可以解釋股票報酬中系統風險β未能解釋的部分，綜合上述結論，公司規模、市價對淨值比、負債比及負益本比為較值得注意的選股指標。 This research focuses on testing whether the stock market in Taiwan is efficient, and finding which characteristic factors can explain the rate of return in Taiwan stock market. The scheme of the research comprises two parts as follows: Part I, according to Fama & Macbeth (1973), probes whether the stock market in Taiwan fits the market efficiency in CAPM by using monthly data. Part II sets a multi-factors model by introducing characteristic factors in Fama & French (1992), such as firm size, book-to-market ratio, EP ratio, and leverage, to test the explanatory ability of these factors to rate of return in stock market. Sequentially, the research applies the GMM estimate and settles the panel data by selecting 72 firms that have been listed on Taiwan Stock Exchange from October 1986 to September 1999 and have complete quarterly financial statements. Finally, the part compares CAPM and multi-factors model and figures out which one of them fits the stock market in Taiwan better, by using the concept of noise ratio in the Durlauf and Hall (1990). The empirical findings are as following: The stock market in Taiwan is not an efficient market. The research finds that systematic risk β has explanatory ability by considering multi-factors model; however, β is not the only explanatory factor to rate of return. Factors, such as firm size, book-to-market ratio, leverage, and negative EP ratio can explain the residual part of market return that cannot be explained by β. Consequently, firm size, book-to-market ratio, leverage, and negative EP ratio are remarkable criteria to stock selection. |
