- 期刊
Conditional Heteroscedasticity, Dual Time-Varying Betas in Bull and Bear Months of the Three-Factor Model
三因子模型在多頭月及空頭月之條件異質性與雙重時間變動貝他值
摘要
本研究主要是將Schwert and Seguin（1990）與Reyes（1999）檢定市場模型中時間變動貝他值的方法，使用和延伸到Fama and French（1993）的三因子模型中。我們實證台灣股票市場之普通股所組成的幾種風格投資組合，檢定這些投資組合的三因子的貝他值在多頭月與空頭月中，對於條件市場波動變動的靈敏度。本文所提出的延伸模型是採用月內總條件市場波動做為條件變數，這個模型的特色是同時可以捕捉月內總市場波動在多頭月和空頭月中對於三因子的衝擊而使貝他值產生變動，以及檢定模型中殘差項的異質性。實證結果發現：三因子的時間變動貝他項是存在的，且三因子的貝它值對於月內總條件市場波動變動是靈敏的。對於大部分的風格投資組合而言，時間變動貝他項能夠提供解釋投資組合部份的平均報酬，最後我們也發現模型中的殘差項具有條件異質性。
並列摘要
This study adopts the time-varying betas in Schwert and Seguin's (1990) and Reyes's (1999) market models, which are further extended to Fama and French's (1993) three-factor model. Our primary purpose is to examine the sensitivity of three-factor betas in different common stock portfolios of Taiwan's stock market to conditional market volatility. The extended model in this research employs the sum of intra-monthly conditional market volatility as the conditional variable in order to capture the impacts of the sum of intra-monthly conditional market volatility on the three factors during bull and bear market months that result in changes in the beta value and the heteroscedasticity of the residual term in the test model. Results show that there are three-factor time-varying betas, and these portfolios can only exist in either the bull months or bear months. Further, three-factor's betas are sensitive to the sum of intra-monthly conditional market volatility, and the time-varying betas can explain part of the average return for most style portfolios and that conditional heteroscedasticity exists in the residual returns of the model.