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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比(Shean-Bii Chiu) | |
| dc.contributor.author | Chih-Yuan Lo | en |
| dc.contributor.author | 羅致遠 | zh_TW |
| dc.date.accessioned | 2022-11-24T03:35:02Z | - |
| dc.date.available | 2021-08-23 | |
| dc.date.available | 2022-11-24T03:35:02Z | - |
| dc.date.copyright | 2021-08-23 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-08-08 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/81186 | - |
| dc.description.abstract | 本研究旨在檢驗Hou et al.(2021)提出的q5因子模型在台灣股票市場的資產定價能力。q5因子模型是將Hou et al.(2015)提出的q因子模型進行擴展，加入預期投資增長因子。q5因子模型除了市場風險因子以外，包含規模因子、投資因子、獲利因子與預期投資增長因子。我按照文獻的方法檢驗各個因子的報酬，發現獲利因子與預期投資增長因子能產生非常顯著的正報酬，而規模因子與投資因子的報酬與它們相比則較不顯著。 本研究還將q5因子模型與q因子模型、Fama-French三因子模型、五因子模型及六因子模型(1993;2015;2018)進行資產定價能力的比較。結果顯示，q5因子模型在解釋市場異常現象的比較中，具有優於其他多因子模型的報酬解釋能力。然而，在解釋產業投資組合報酬的比較中，q5因子模型的表現並未優於Fama-French六因子模型。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-24T03:35:02Z (GMT). No. of bitstreams: 1 U0001-0308202113352400.pdf: 1043983 bytes, checksum: 89573f51630e90fca2930fcdd919eb6c (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | 口試委員審定書 i 致謝 iii 摘要 v Abstract vii 目錄 ix 表目錄 xiii 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究架構 2 第二章 文獻回顧 3 2.1 因子資產定價模型 3 2.2 q5因子模型的經濟意義 5 2.3 橫斷面市場異常現象 7 2.3.1 異常現象分類 7 2.3.2 動能類型異常現象 7 2.3.3 價值類型異常現象 8 2.3.4 投資類型異常現象 9 2.3.5 獲利類型異常現象 9 2.3.6 無形資產類型異常現象 10 2.3.7 交易摩擦類型異常現象 11 第三章 研究方法 13 3.1 研究樣本選取 13 3.2 多因子模型建構 13 3.2.1 q5因子模型建構與投資組合建構 13 3.2.2 Fama-French多因子模型建構 18 3.3 多因子模型對測試資產的報酬解釋力 20 3.3.1 異常現象投資組合建構 20 3.3.2 產業投資組合建構 22 3.3.3 報酬解釋力比較架構 22 第四章 實證結果 25 4.1 q5因子與Fama-French因子的基本性質 25 4.1.1 預期投資增長的橫斷面迴歸結果 25 4.1.2 因子報酬 27 4.1.3 因子相關性 28 4.2 異常現象投資組合的基本性質 29 4.2.1 異常現象投資組合報酬 29 4.2.2 異常現象投資組合相關性 30 4.3 q5因子投資組合的報酬 31 4.3.1 單因子投資組合 31 4.3.2 單因子與規模投資組合 33 4.3.3 雙因子與規模投資組合 34 4.4 以不同測試資產進行多因子模型比較 37 4.4.1 異常現象的高減低投資組合 37 4.4.1.1 益本比效應 37 4.4.1.2 股利殖利率效應 38 4.4.1.3 營業現金流量效應 39 4.4.1.4 價格動能效應(6M) 40 4.4.1.5 毛利率效應 41 4.4.1.6 資產報酬率效應 42 4.4.1.7 研發支出費用效應 43 4.4.1.8 營業槓桿效應 44 4.4.1.9 小結 45 4.4.2 異常現象與規模投資組合 46 4.4.2.1 益本比效應 46 4.4.2.2 股利殖利率效應 47 4.4.2.3 營業現金流量效應 47 4.4.2.4 價格動能效應(6M) 48 4.4.2.5 毛利率效應 49 4.4.2.6 資產報酬率效應 50 4.4.2.7 研發支出費用效應 50 4.4.2.8 營業槓桿效應 51 4.4.2.9 小結 52 4.4.3 產業投資組合 54 第五章 結論 59 參考文獻 61 | |
| dc.language.iso | zh-TW | |
| dc.subject | 市場異常現象 | zh_TW |
| dc.subject | q5因子模型 | zh_TW |
| dc.subject | 預期投資增長 | zh_TW |
| dc.subject | 資產定價 | zh_TW |
| dc.subject | 多因子模型 | zh_TW |
| dc.subject | The q5-factor model | en |
| dc.subject | Factor models | en |
| dc.subject | Asset pricing | en |
| dc.subject | Anomalies | en |
| dc.subject | Expected growth | en |
| dc.title | 以台灣股票市場檢驗q5因子模型 | zh_TW |
| dc.title | Validation of q5-Factor Model in Taiwan Securities Market | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 曾俊凱(Hsin-Tsai Liu),莊文議(Chih-Yang Tseng) | |
| dc.subject.keyword | q5因子模型,預期投資增長,市場異常現象,多因子模型,資產定價, | zh_TW |
| dc.subject.keyword | The q5-factor model,Expected growth,Anomalies,Factor models,Asset pricing, | en |
| dc.relation.page | 68 | |
| dc.identifier.doi | 10.6342/NTU202102039 | |
| dc.rights.note | 同意授權(限校園內公開) | |
| dc.date.accepted | 2021-08-09 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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