系統風險、公司規模、帳面市值比、風險值和股票報酬的關係:以台灣股票市場為例

Abstract

本研究利用橫斷面時間序列分析法探討台灣股票市場上:市場因素、規模效應、股價淨值比效應和風險值因素對股票市場報酬的解釋力，主要目的是要加入新的風險指標—風險值，形成四因子模型，利用時間序列分析此因子對台灣股市報酬的解釋力及影響方向，對模型的總解釋力影響為何。實證結果發現，利用歷史模擬法所算出的風險值，在橫斷面分析時，1%和5%顯著水準之下，具有解釋能力，而在時間序列分析方面，若分成25投資組合來看，對大規模公司而言，風險值因子對投資組合期望報酬率較具有解釋力。

This paper investigates the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in the Taiwan stock market. Our primary objective is to determine whether the Value-at-Risk factor has marginal explanatory power that is related to the Fama-French three-factor model. This study finds that Value-at-Risk can explain average stock returns at the 1% and 5% significance levels based on cross-sectional regression analysis. In addition, from the perspective of the time series regression, the HVARL factor can also help explain the variation in the stock market, especially for the larger companies in Taiwan’s stock market.