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題名：台灣證券市場高階動差系統風險資產定價之研究
作者：王明傳 引用關係
校院名稱：國立臺灣科技大學
系所名稱：企業管理系
指導教授：林丙輝
學位類別：博士
出版日期：2003
主題關鍵詞：系統偏態；系統峰態；共偏態；共峰態；資產定價；動量投資組合；systematic skewness；systematic kurtosis；coskewness；cokurtosis；asset pricing；momentum portfolio
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中文摘要
本研究主要目的在探討偏態與峰態等高階動差系統風險對資產定價的影響。研究分兩部份進行，第一部份主要驗證系統偏態風險對資產定價的影響，第二部份再同時考慮系統偏態與系統峰態對資產定價的影響。
而驗證系統偏態風險對資產定價影響時，採用台灣證券交易所1986年1月至2000年12月132種股票的月資料為研究對象，因眾多實證結果顯示傳統CAPM模型產生嚴重誤差，故本研究直接採取包括公司規模及帳面值對市價比率兩個因素的Fama-French (1995) 三因子模型。而為提高研究的強韌度(robustness)，研究採用Harvey and Siddique (2000b) 四種不同定義的系統偏態風險。
研究結果顯示，投資組合以產業別、公司規模、帳面值對市價比率或動量策略形成時，系統偏態風險為資產定價重要且顯著的要素。若以偏態為第四個評價因子加入三因子模型後，Gibbons, Ross and Shanken (1989) 之F檢定值降低，模式r-square值增加，明確顯示偏態因素對模型評價正確的重要性。投資組合若以動量策略或共偏態策略形成時，輸的投資組合或低共偏態的投資組合之偏態值與峰態值較高。採外，若以證券風險溢酬分類形成投資組合時，平均風險溢酬與公司規模及共偏態係數成正相關，顯示系統偏態風險與公司規模關係密不可分。然系統偏態對風險溢酬的影響因受反公司規模效應(reverse firm-size effect)的干擾，顯得較為曖昧不明。
為更深入探討高階動差對資產定價的影響, 第二部份除考量偏態風險外，尚考慮峰態因素對資產定價的影響。此部份的研究方法是以傳統二階動差CAPM模型及Fama-French三因子模型為基本模型，逐步將系統偏態風險與系統峰態風險加入資產定價模式中，以測試系統偏態及系統峰態對資產定價的影響。系統偏態與系統峰態之參數估計值除採市場模型估計取得外，尚採用如Harvey and Siddique (2000b)取得代理系統偏態風險的程序，以取得代理系統偏態風險及代理系統峰態風險估計值，再以Fama-MacBeth 兩階段橫斷面迴歸程序檢定之。此部分的研究資料係採用台灣證券市場1991年1月至2002年8月132種證券之週資料為研究對象。實證結果顯示， CAPM模型之系統偏態迴歸參數估值呈顯著狀態，然系統峰態之迴歸參數不顯著也不一致。當檢驗模式改用Fama-French三因子模型時，公司規模及帳面值對市價比率對資產定價之重要程度遠遠超越三階及四階動差。而此部份的研究結果也顯示，Fama-French模型三階動差迴歸係數的參數估計值雖不顯著，但其正負符號均為與理論預期相符合的正號，此結果不論在市場模式或代理模型，任何投資組合的實證結果均相當一致，故證實台灣證券市場證券風險溢酬的衡量受偏態因素的影響，但較不受峰態風險的影響。
關鍵字：系統偏態，系統峰態，共偏態，共峰態，資產定價，動量投資組合
Abstract
The main purpose for this study is to investigate systematic risk in asset pricing with higher moments, especially for skewness and kurtosis. The study takes two parts with different methodology to evaluate the effects for these two moments.
The first part is an empirical examination of asset pricing with the systematic skewness in the pricing model. Monthly rate of return on 132 common stocks listed on the Taiwan Stock Exchange from Jan. 1986 to Dec. 2000 are used. Recognizing the significant pricing bias from the traditional CAPM, we adopt the Fama-French (1995) three-factor model, which incorporates the firm-size and book-to-market ratio in asset pricing as the base case, and then includes the skewness factor used by Harvey and Siddique (2000b) in the pricing model. Four different measurements of systematic skewness are adopted for robustness tests.
The evidence shows that systematic skewness is significant and might be important in asset pricing when portfolios are formed by industry, firm-size, book-to-market, or momentum strategies. The empirical evidence also shows that for the three-factor model, the Gibbons, Ross and Shanken (1989) F-value decreases, and the R-square increases, after including the fourth factor, which is the skewness. When portfolios are constructed by momentum or coskewness strategies, lower momentum, or lower coskewness portfolios exhibit higher skewness and higher kurtosis. When portfolios are grouped by excess returns, it is seen that the average excess return is positively correlated with size and coskewness. Thus the systematic skewness is closely related to firm size. And the relationship between systematic skewness and excess return is obscured by the reverse firm-size effect.
Then, the second part, in addition to examine the effects of systematic skewness factor, the study further considers systematic kurtosis of stock returns on asset pricing as well. The traditional two-moment CAPM and Fama-French model with size and book-to-market factors included were used as base cases. Then the three-moment and four-moment CAPMs and Fama-French models with systematic skewness and kurtosis included were tested. In addition to the market models used to estimate the parameters of systematic skewness and kurtosis, some proxy measures obtained from a procedure similar to Harvey and Siddique (2000b) were also adopted. Following the Fama-MacBeth procedure, the two-step cross-sectional regressions were adopted to test the pricing models. Weekly returns for 132 common stocks on the Taiwan Stock Exchange over the period from Jan. 1991 to Aug. 2002 were used for empirical testing also.
The results show that the three-moment CAPM is significant, whereas the fourth moment is not consistent with the empirical data. In the case of the Fama-French model, the size and book-to-market effects seem to dominate the moment effects. Although the parameters are insignificant, their consistent signs confirm the existence of the third moment effect on asset pricing for Taiwan stock market.
Keywords：systematic skewness, systematic kurtosis, coskewness, cokurtosis, asset pricing, momentum portfolio.
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