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題名：市場狀態、風險變異與資產報酬異常現象之研究
作者：黃金恩
作者(外文)：Chin-En Huang
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：郭崑謨
學位類別：博士
出版日期：2001
主題關鍵詞：市場狀態；報酬異常；報酬異常；資本資產定價模式；market state；return anomaly；risk variation；capital asset pricing model
原始連結：連回原系統網址new window
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摘要
資本資產定價模式(CAPM)理論推導時的基本假設，與實證研究使用的模式之間，存在未被重視的橫溝(gap)，包括理論模式推論的是期望報酬與風險之關係，而實證模式經常應用於逐期報酬實現值的評價；以及過去的實證模式忽略了系統風險(β)估計時相對應的估計誤差σ(β)，亦即忽略β估計的不確定性對資產評價的影響。本研究嚐試建立一個條件式資產評價模式，並引入馬可夫過程，將條件式模式轉換為可供實證使用的非條件評價模式，成為一個一階兩狀態馬可夫轉換評價模式，用以探討CAPM應用於台灣股票市場時，其評價誤差是否具有系統性偏誤，以及導致這些偏誤的可能原因。
本研究以1991年1月至1999年12月台灣上市股票145種為樣本，每種樣本取得月報酬資料108筆進行實證，結果顯示有47種樣本股票至少得到一種狀態是有意義的，約佔樣本股票的32%，表示CAPM對這些股票的評價有明顯的偏誤存在。進一步分析這種偏誤存在的原因，本研究發現σ(β)愈大的樣本，CAPM評價存在系統性偏誤的可能性愈大，但評價偏誤現象與β大小較無明確關係。
評估影響CAPM評價誤差大小的影響因素時，本研究發現估價誤差大小與β無關，而與σ(β)有關，σ(β)愈大，定價偏誤愈大，此結果與本研究推論符合。σ(β)愈大，馬可夫估計結果愈顯著，代表σ(β)愈大時，CAPM的定價偏誤愈明確。亦即，過去實證研究者採用固定風險係數的評價模式時，產生的評價誤差現象可能來自於估計系統風險時，忽略系統風險本身的不確定性。
關鍵字：市場狀態，風險變異，資本資產定價模式，報酬異常
Abstract
There is a gap between theoretical capital asset pricing model (CAPM) and empirical CAPM. The former identifies the relation between “expected” returns and betas, and the later evaluates abnormal returns period by period. Most empirical studies of the traditional CAPM assume that the betas remain constant over time. It is a possible explanation that empirical research has found little relation between sample mean returns and estimated betas. The CAPM pricing bias get worse when the market state of the periods used for estimating betas are so different with those used for evaluating returns. We advocate that the CAPM holds in a conditional sense, i.e., betas are not constant. By introducing Markov-switching Model into the conditional CAPM, we developed an unconditional first-order two-state Markov-switching Pricing Model. We use it to test the goodness-of-fit of CAPM in Taiwan Stock Market.
We study the CAPM anomalies to the returns of stocks listed in Taiwan Stock Market for the periods of January 1991 to December 1999. The monthly returns on 145 sample stocks were obtained from AREMOS database. We find that Markov switching models do reveal some clear evidence for systematic bias of CAPM in 47 out of 145 sample stocks.
We also examine whether the unstable estimation of betas cause CAPM pricing bias. Our estimation results generally support the variation of betas play an important role in CAPM anomalies. We find that the bigger of betas’ variation, the more possibility of systematic bias, and the bigger pricing errors in CAPM.
Keywords: market state, risk variation, capital asset pricing model (CAPM), CAPM anomalies
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