資本資產訂價模式的理論、實證技巧及應用之研究－以上市運輸產業公司為例

Abstract

In recent years, the deregulation of transportation industry has been prevalent.There are more transportation firms nowadays than before. Generally speaking,the characteristics of investment in transportation include huge amount of money,long investment period and high risk. In financial management, one of the mostimportant models of risk and return is Sharp-Lintner- Black*s Capital Assets Pricing Model. The first part of our study is a literature survey on the theories of CAPM. Then for transportation industry during 1995 to 1997, we use the functions and macros of some spreadsheet softwares (such as Excel or Lotus) to find the efficient portfolios and efficient frontier. Then, we calculate the bs of the common stocks in Taiwan stock market, we group them as portfolios to verify whether the CAPM is suitable for our stock market. Finally, we apply CAPM to Taiwan*s transportation industry. We try to find out the transportation firms* cost of equity and the weighted average cost of capital, for the purpose of setting a better criterion for project evaluation of transportation industry. Our findings indicate that the bs of common stocks in Taiwan stock market are all positive. From the industry*s point of view, it appears that most industries* bs are scattered between 0.6 to 0.8 and are somewhat stable, except for electronics and financial industries. Financial industry*s b has fallen down between the two periods of our study and electronics industry*s vice versa. The cross section analysis shows that the CAPM may be suitable to Taiwan stock market, but the R2 is only 20%. It means that there are some other factors that may affect the return of the stocks. As for the transportation industry, Ta Jung*s b is the highest and Tse-Shing*s is the lowest. Most of the Firms* monthly cost of equity and averaged cost of capital are spreaded between 0.5% and 0.6%, a little bit lower than the banking industry*s averaged loan rate.