臺灣股票市場風險、規模、淨值╱市價比、成交量週轉率與報酬之關係

Abstract

本研究之主要目的在探討系統風險β、規模、淨值╱市價比與成交量 週轉率四變數對股票報酬的解釋能力，以台灣股票市場民國七十年七月至 民國八十五年六月共180個月之股票月報酬資料，採Fama and MacBeth (1973)之橫斷面迴歸模式進行分析，同時考慮Lo and MacKinlay(1990) 指出利用投資組合進行分析，可能產生統計推論偏誤，誇大投資組合超額 報酬與變數間的關係，遂採用個別股票進行分析。並進一步檢驗模式的穩 定性，及變數對股票報酬的解釋能力是否存在一月之季節性效應。實證結 果如下： 1. 系統風險β對台灣股票報酬並無解釋能力。 2. 台灣股票市 場不存在規模效應。 3. 淨值╱市價比對於股票報酬具有正向顯著解釋能 力。 4. 成交量週轉率對股票報酬具有負向顯著解釋能力。 5. 在一月之 季節性效應分析中，淨值╱市價比對股票報酬只有在一月份具有顯著解釋 能力，而成交量週轉率對股票報酬則只有在非一月份具有顯著解釋能力。 The purpose of this study is to investigate the effect of systematic risk,size, book-to-market equity, and turnover ratio on stock returns. The sample period covers July 1981 through June 1996 in Taiwan stock market. Lo andMacKinlay (1990) point out that the portfolio grouping approach may bias statistical inferences and spuriously exaggerate the relationship betweenportfolio excess return and the variables. For this reason, this study apply the Fama and MacBeth (1973) procedure to data on individual securities. This study also examine the robustness for the FM model and explore the January seasonal in the explanatory power of the variables. The empirical results are as follows: 1. The systematic risk does not explain the stock returns. 2. The size effect does not exist in Taiwan stock market. 3.The book-to-market equityhas positively significant explanatory power with respect to stock returns. 4.The turnover ratiohas negatively significant explanatory power with respect tostock returns. 5. In January seasonal analysis, the book-to-market equity has significant explanatory power with respect to stock returns only in January, and the turnover ratio has significant explanatory power with respect to stockreturns only in non-January.