漲跌幅與公司規模對股票報酬之影響 － 台灣股票市場之實證研究

Abstract

本論文利用Black,Jensen和Scholes(1972)的時間序列分析方法及 Fama和 French(1993)實證模式設計技巧建構股票定價模式，探討台灣股市在民 國70年至82年間，市場、漲跌幅及規模等三因子對股票平均報酬率的影響 及其數量性效果，並使用多變量 Repeated-Measures實驗設計方法進行檢 定台灣股市在研究期間內，是否存在漲跌幅效果及規模效果，其實證結果 發現：１．股票前十二月接觸停板總次數為衡量漲跌幅因素的適當指標。 ２．公司規模與接觸停板頻率之間存在負相關。３．在控制漲跌幅因子下 ，台灣股市存在規模效果，公司規模與報酬率之間呈負相關。４．在控制 規模因子下，台灣股市存在漲跌幅效果，接觸停板次數與報酬率之間呈負 相關。５．市場、漲跌幅及規模三因子模式是一個能捕捉台灣股票市場特 性的股票定價模式。 In this article, the time-series method of Black, Jensen Scholes(1972) and the design technique of the empirical Molel of Fama and French(1993) are employed to examine the impact and the quantitative effect of three factors, namely market factor, price limits factor and size factor, on the expected stock returns for the period 1981-1993 in Taiwan. In addition, the multivariate repeated-measures design is applied to test price limits effect and firm size effect. The important results are as follows: 1. The frequency of hitting limits is a good proxy of price limits factor. 2. There exists negative correlation between the frequency of hitting limits and the firm size. 3. The firm size effect exists in Taiwan stock market. With controlled frequency of hitting limits, there is a negative correlation between the firm size and the stock returns. 4. The price limits effect exists in Taiwan stock market. With controlled firm size, there is a negative correlation between the frequency of hitting limits and the stock returns. 5. The market, price limits and size factors model can capture the characteristics of Taiwan Stock market.