以台灣股票市場檢驗q5因子模型

本研究旨在檢驗Hou et al.(2021)提出的q5因子模型在台灣股票市場的資產定價能力。q5因子模型是將Hou et al.(2015)提出的q因子模型進行擴展，加入預期投資增長因子。q5因子模型除了市場風險因子以外，包含規模因子、投資因子、獲利因子與預期投資增長因子。我按照文獻的方法檢驗各個因子的報酬，發現獲利因子與預期投資增長因子能產生非常顯著的正報酬，而規模因子與投資因子的報酬與它們相比則較不顯著。本研究還將q5因子模型與q因子模型、Fama-French三因子模型、五因子模型及六因子模型(1993;2015;2018)進行資產定價能力的比較。結果顯示，q5因子模型在解釋市場異常現象的比較中，具有優於其他多因子模型的報酬解釋能力。然而，在解釋產業投資組合報酬的比較中，q5因子模型的表現並未優於Fama-French六因子模型。

關鍵字

q5因子模型；預期投資增長；市場異常現象；多因子模型；資產定價

並列摘要

The purpose of this study is to verify the performance of the Hou et al.(2021)q5-factor model in the Taiwan securities market. The q5-factor model augments the Hou et al.(2015)q-factor model with the expected growth factor. In addition to the market factor, the q5-factor model includes the size factor, the investment factor, the return on equity factor, and the expected growth factor. I find that the average returns of the return on equity factor and the expected growth factor are higher and more significant in comparison to the size factor and the investment factor in Taiwan. This article also compares the explanatory power of the q5-factor model to other factor models, including the q-factor model, the Fama-French 3-factor model, the Fama-French 5-factor model, and the Fama-French 6-factor model(1993;2015;2018). The results show that the q5-factor model has the best explanatory power for anomalies. However, the q5-factor model takes second place in the race of explanatory power for industry portfolios, inferior to the Fama-French 6-factor model.

並列關鍵字

The q5-factor model ； Expected growth ； Anomalies ； Factor models ； Asset pricing

參考文獻

Abel, Andrew, and Janice Eberly, 2011, How q and cash flow affect investment without frictions: An analytic explanation, Review of Economic Studies 78, 1179–1200.

Google Scholar

Ahmed, Shamim, Ziwen Bu, and Daniel Tsvetanov, 2019, Best of the best: a comparison of factor models, Journal of Financial and Quantitative Analysis 54, 1713–1758.