產業因素重要嗎？ 以台灣股市各異常現象為例之實證研究

Abstract

市面上有非常多關於資產定價模型的研究文獻，惟針對的多數為整個市場，少有針對個別產業進行進一步的研究分析。除此之外，台灣股市的規模效應與投資效應等異常股市現象方向與Fama and French (2015) 研究美國股市所提出的理論相反，值得進一步的探討。本研究使用Fama and French (2015)所提出的五因子模型、Fama and French (1992)的三因子模型及Carhart(1997)的四因子模型，來對台灣股市─一共分為七個投資組合：全產業、全產業不含金融股、電子股、金融股、非金非電股、價值股與成長股，做OLS迴歸分析。本研究驗證了市場效應、規模效應、價值效應、獲利效應、投資效應和動能效應等股市異常現象在不同產業別對於超額報酬解釋力有其差異性。

There are a lot of studies about the asset pricing model. Although few of them take a focus on how industry factor has an impact on the explanation of stock excess returns. In addition, size effect and investment effect in Taiwan stock market turn out to have an opposite relationship with excess returns compared to Fama and French (2015).This study applied the five-factor model of Fama and French (2015), three-factor model of Fama and French (1992) and four-factor model of Carhart(1997) to seven stock portfolios formed from Taiwan stock market by different industries. The empirical results show that market effect, size effect, value effect, profitability effect, investment effect and momentum effect have differ in the power to explain excess return in different portfolios divided by industry.