台灣股市條件資產定價模型之研究

Abstract

本文使用Wang（2003）所提出的條件資產定價模型（conditional asset pricing model）來分析台灣股市資料，進行資產定價分析。我們發展Wang（2003）所提出的條件資產定價模型之隨機折現因子（stochastic discount factor）的一般式。該一般式可同時說明不同因子數目的條件資產定價模型，且因子可不侷限為零成本投資組合（zero-cost portfolio）。使用台灣股市資料為研究對象，研究結果發現，相對於一因子的條件資本資產定價模型（CAPM；Sharpe，1964；Lintner，1965）、條件三因子模型（Fama and French，1993）、條件四因子模型（Carhart，1997）、及顧廣平（民94）的條件四因子模型，以包含總體經濟因子與市場因子的條件二因子模型（Vassalou，2003）之定價誤差最小，且檢定結果支持條件二因子模型。

In this paper, we use the conditional asset pricing model (Wang, 2003) to analyze the stock market in Taiwan. We develop the more general equation of stochastic discount factor based on Wang's conditional asset pricing model. The general equation of stochastic discount factor can be applied to the conditional asset pricing model with k factors, k ≥1, and the type of factor is not necessary to be a zero-cost portfolio. The conditional models of the capital asset pricing model (CAPM; Sharpe, 1964; Lintner, 1965), the two-factor model (Vassalou, 2003), the three-factor model (Fama and French, 1993), the four-factor model (Carhart, 1997), and Ku's four-factor model were used to analyze the data collected from the stock market in Taiwan. The conditional two-factor model including macroeconomic factor and market factor yields the minimum pricing error and the adequacy of the model is concluded under the significance level 0.05. By these results, the conditional two-factor model is suggested to the stock market in Taiwan.