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題名：On the Two-Stage Estimation of the Fama-French Three Factor Model: Evidence from Taiwan
書刊名：交大管理學報
作者：鄭宗記 引用關係／賴弘能 引用關係／蔡佩芬
作者(外文)：Cheng, Tsung-chi／Lai, Hung-neng／Tsai, Pei-fen
出版日期：2006
卷期：26:2
頁次：頁21-48
主題關鍵詞：三因子模型；兩階段估計；誤差變項模型；Three factor model；Two-stage estimation；Errors in variables
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:66
  • 點閱點閱:39
關於因子模型的參數估計問題，文獻中常以兩段段迴歸處理。本文以臺灣股票市場為例，檢驗一些常用的兩階段估計方法在Fama-French三因子模型參數估計的影響。證據大多顯示支持市場因子，而支持高—低淨值市場比的證據微弱。風險貼水的顯著程度取決於分組與逐年更新的程序；誤差變項與非同步交易的調差並對結果不會造成太大的影響。
In this paper, a few common approaches to implementing the two-stage test on the Fama-French three-factor models are examined for Taiwan’s stock market. Much of the evidence favors the MKT factor, while the support for the HML factor is weak. The significance of the risk premium is deeply dependent on the grouping and rolling procedure. Adjustments for errors-in-variable or non-synchronous trading do not affect the results very much.
期刊論文
1.黃一祥、王元章、何加政、許嘉惠(20031200)。臺灣股市系統性風險之估計及橫斷面預期報酬之分析。財務金融學刊，11(3)，1-33。new window  延伸查詢new window
2.Carhart, M.(1997)。On Persistence in Mutual Fund Perfomance。Journal of Finance，52(1)，57-82。  new window
3.Chan, K. C.、Chen, N. F.(1988)。An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk。Journal of Finance，43(2)，309-325。  new window
4.Chen, A.(2002)。The Stable Factors for the Stock Returns in Taiwan: Cross-Validation, Factor Analysis and Simulation。Journal of Management，19(3)，519-542。  new window
5.Chui, A. C. W.、Wei, K. C. J.(1998)。Book-to-Market, Firm Size, and the Tum-of-the-Year Effect: Evidence from Pacifio Basin Emerging Markets。Pacific-Basin Finance Journal，6(3/4)，275-293。  new window
6.Huang, Y. S.(1997)。The Size Anomaly on the Taiwan Stock Exchange。Applied Economics Letters，4(1)，7-12。  new window
7.Hung, J. H.、Lei, A.(2002)。An Empirical Study on the Relationship between Stock Return and Firm Size, Sock Price, Price-to-Eamings, and Book-to-Market。Management Review，21(3)，25-48。  new window
8.Kan, R.、Zhang, C.(1999)。Two-Pass Tests of Asset Pricing Models with Useless Factors。Journal of Finance，54(1)，203-235。  new window
9.Shanken, Jay(1992)。On the Estimation of Beta-Pricing Models。Review of Financial Studies，5(1)，1-33。  new window
10.Sheu, H. J.、Wu, S.、Ku, K. P.(1998)。Cross-Sectional Relationships between Stock Returns and Market Beta, Trading Volume, and Sales-to-Price in Taiwan。International Review of Financial Analysis，7(1)，1-18。  new window
11.Mitchell, Mark L.、Stafford, Erik(2000)。Managerial Decisions and Long-Term Stock Price Performance。Journal of Business，73(3)，287-329。  new window
12.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business，59(3)，383-403。  new window
13.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
14.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy，81(3)，607-636。  new window
15.Dimson, Elroy(1979)。Risk Measurement When Shares Are Subject to Infrequent Trading。Journal of Financial Economics，7(2)，197-226。  new window
16.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
17.方智強、姚明慶(19980900)。臺灣上市公司的淨值市價比現象。管理學報，15(3)，367-391。new window  延伸查詢new window
18.周賓凰、劉怡芬(20000400)。臺灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？。證券市場發展季刊，12(1)=45，1-32。new window  延伸查詢new window
單篇論文
1.Huang, I. H.(2005)。Another Method of Estimating Beta and the Cross-Section of the Stock Returns: Evidence from Taiwan，National University of Kaohsiung, Dept, of Finance。  new window
圖書論文
1.Black, F.、Jensen, M.、Scholes, M.(1972)。The Capital Asset Pricing Model: Some Empirical Findings。Studies in the Theory of Capital Markets。New York：Praeger。  new window
 
 
 
 
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