企業創新效率之六因子資產定價模型__臺灣人文及社會科學引文索引資料庫

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題名：	企業創新效率之六因子資產定價模型
書刊名：	商管科技季刊
作者：	劉清標／吳佩紋／林筱鳳
作者(外文)：	Liu, Chin-piao／Wu, Pei-wen／Lin, Hsiao-feng
出版日期：	2019
卷期：	20:1
頁次：	頁69-108
主題關鍵詞：	資產定價模型；三因子模型；五因子模型；創新效率；Asset pricing model；Three-factor model；Five-factor model；Innovative efficiency
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:2 共同引用:0 點閱:6

本文實證分析加入創新效率因子之六因子資產定價模型，其他五因子為市場溢酬因子、市值規模因子、帳面市值比因子、獲利能力因子、以及投資策略因子。實證結果發現，創新效率因子對股票報酬之解釋力不顯著，至於市場溢酬因子與市值規模因子則與文獻一致，維持高度顯著解釋力，獲利能力因子與投資策略因子亦呈現顯著，然而，帳面市值比因子雖因獲利能力因子與投資策略因子之加入模型中，其部分解釋力為其所取代，惟本實證結果尚不足以推論帳面市值比因子應自資產定價模型中去除。

以文找文

This paper empirically examines an innovation-augmented six-factor asset pricing model. In addition to the innovative efficiency factor, the other factors in the model include market premium factor, market size factor, book-to-market ratio factor, profitability factor, and investment strategy factor. We find that the innovative efficiency factor has an insignificant impact on stock returns. Market premium factor and market size factor remain their high significant impacts as prior studies have found. We also find that the impacts of profitability factor and investment strategy factor are significant. However, the impact of book-to-market ratio factor decreases with the inclusion of the profitability factor and the investment strategy factor in the model. Nonetheless, we cannot infer that the book-to-market ratio factor should be excluded from the model.

以文找文

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