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題名：亞洲新興市場之三因子及動能現象之探討
作者：廖永熙
作者(外文)：Yung-Shi Liau
校院名稱：雲林科技大學
系所名稱：管理研究所博士班
指導教授：楊踐為
學位類別：博士
出版日期：2008
主題關鍵詞：兩階段迴歸；動能；帳面市值比；規模；book to market equity；Size；two-step procedure regression；momentum
原始連結：連回原系統網址new window
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本篇文章主要以Fama和MacBeth (1973)的兩階段迴歸檢驗資本資產訂價模式(CAPM)、Fama和French (1992)的三因子模式以及Carhart (1997)加入動能的四因子模式。由於亞洲股市相對於歐美股市的特殊市場微結構，例如，股市設有漲跌幅限制、公司家數少、公司規模小、內線交易、投資人組成的差異及較嚴重的政府干預等問題。是否微結構的差異會影響CAPM、三因子及四因子模式的成立。以亞洲新興市場為研究對象，選定香港、新加坡、南韓、台灣及泰國為樣本，研究時間由2000年至2006年。實證結果歸納如下：
1.在單因子模式方面，除了香港不存在系統風險貼水外，新加坡、台灣和泰國均存在顯著為正的系統風險貼水，而南韓存在顯著為負的系統風險貼水。進一步觀察單因子模式是否適用亞洲新興股市發現CAPM在香港、新加坡、南韓、台灣和泰國並無法成立。
2.在Fama和French (1992)的三因子模式方面，除了台灣不存在規模風險貼水外，香港、新加坡、南韓和泰國均存在顯著為正的規模風險貼水。而所有的市場均存在顯著為正的帳面市值風險貼水。進一步觀察三因子模式是否適用亞洲新興股市發現，三因子模式在香港、新加坡、南韓、台灣和泰國並無法成立。
3.在Carhart (1997)的四因子模式方面，在72個投資組合中，香港有42個組合存在顯著為正的動能風險貼水，28個組合存在顯著為負的動能風險貼水；新加坡有49個組合存在顯著為正的動能風險貼水，16個組合存在顯著為負的動能風險貼水；南韓有48個組合存在顯著為正的動能風險貼水，17個組合存在顯著為負的動能風險貼水；台灣有38個組合存在顯著為正的動能風險貼水，29個組合存在顯著為負的動能風險貼水；泰國有38個組合存在顯著為正的動能風險貼水，21個組合存在顯著為負的動能風險貼水。進一步觀察四因子模式是否適用亞洲新興股市發現，當香港股市組合為(6,130)、(9,150)和(12,150)及泰國股市組合為(3,110)、(9,110)、(9,140)及(12,130)，四因子模式才能成立。
This study tests capital asset pricing model (CAPM), Fama and French’s (1992) three factors and Carhart’s (1997) four factors model using two-step procedure regression introduced by Fama and MacBeth (1973). Since the special market microstructure differs from U.S. and Europe, the Asian emerging markets suffer from price limits, fewer companies, smaller market value, insider trading, investors component and government intervention problems. Whether the differentia of market microstructure still validate CAPM, three factors and four factors model deserves investigation. This study applies weekly data from Hong Kong, Singapore, South Korea, Taiwan and Thailand during 2000-2006 to test this hypothesis. The results are as followed:
1.Regarding the test of CAPM, market risk premium is significant in all market except for Hong Kong. Singapore, Taiwan and Thailand are positive and South Korea is negative. Furthermore, CAPM is not suitable for Asian emerging markets.
2.Regarding the test of Fama and French’s (1992) three factors model, size risk premium is significant positive in all market except for Taiwan and book to market equity risk premium is significant positive in all market. Furthermore, three factors model is not suitable for Asian emerging markets.
3.Regarding the test of Carhart’s (1997) four factors model, momentum risk premium where 42 out of 72 portfolios are significant positive while 28 coefficients are significant negative in Hong Kong. The momentum risk premium where 49 out of 72 portfolios are significant positive while 16 coefficients are significant negative in Singapore. The momentum risk premium where 48 out of 72 portfolios are significant positive while 17 coefficients are significant negative in South Korea. The momentum risk premium where 38 out of 72 portfolios are significant positive while 29 coefficients are significant negative in Taiwan. The momentum risk premium where 38 out of 72 portfolios are significant positive while 21 coefficients are significant negative in Thailand. Furthermore, four factors model is only suitable for the portfolio (6,130), (9,150) and (12,150) in Hong Kong and (3,110), (9,110), (9,140) and (12,130) in Thailand.
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