公司規模、淨值市價比對效率投資組合選取的影響評估— 平均數-左尾部分動差模型之應用

Abstract

以變異數計算風險，雖是廣為採納的方法，但其以整個報酬分配的波動性衡量風險，卻引起較大的爭議。因此，本研究除了採用平均數－變異數模型外，亦在下方風險的考量下，以平均數－左尾部分動差模型，探討台灣股票市場中，公司規模與淨值市價比兩因子，是否對效率投資組合的選擇具指標作用。研究期間自民國75年至89年止。實證結果發現：1.就報酬而言，台股具規模效應與淨值市價比現象。2.在平均數－變異數模型下，公司規模與淨值市價比兩因子對效率投資組合的選擇，效果不明顯。3.在平均數－左尾部分動差模型下，大規模的公司，其淨值市價比因子對效率投資組合的選擇，具指標作用。

In this study, we focus on the problem of portfolio selection and efficiency under the effects of size and book-to-market ratios (BE/ME). The traditional portfolio ranking methods are based on the mean-variance (M-V) model. Although this two-moment method is convenient, it may be insufficient to characterize return distributions. Therefore, mean-lower partial moment (M-LPM) model is employed to examine the impact of the two factors on portfolio selection for the period 1986-2000 in Taiwan. Our results show that the size and book-to-market effects do exist in Taiwan stock market. Using the M-V model, the empirical evidence shows that firm size and BE/ME do not play significant roles in selecting efficient portfolios. However, using the M-LPM model, portfolios of high BE/ME stocks dominate those of low BE/ME stocks, especially for large-size stocks.