風險值與股票報酬相關性之研究-多因子模型之應用

The Relations between Value at Risk and stock return - Applications of MultiFactor Model

李弘揚(Hung-Yang Li)

指導教授 ： 洪進朝

長榮大學/管理學院/經營管理研究所(博)/碩士(2007年)

https://doi.org/10.6833/CJCU.2007.00127

摘要

摘要

資本資產訂價模型（CAPM）一直以來被廣泛的應用在衡量風險與投資報酬方面，然而在CAPM模型中使用市場風險（β）來解釋預期報酬，目前在實證上還存在許多爭議。近年來風險值（VaR）日漸受到學術界的重視，在實務上也被廣泛的應用在金融相關產業，因為風險值不同於其它衡量風險的方法，是在於它明確地量化了投資決策時所需承擔的風險。
本研究主要探討風險值對股票報酬之關係，以2002年1月至2006年12月間台灣股票市場上市公司為樣本進行實證分析，根據Fama and MacBeth（1973）之橫斷面迴歸分析，測試風險值與預期股票報酬之間是否具有相關性，再以Fama and French（1992）三因子模型為基礎，再加上風險值因子所形成之四因子來解釋台灣股票市場的報酬。
研究結果發現，股票報酬與風險值間具有高度的正相關，且發現風險值衡量風險較市場風險（β）佳；在參考Fama and French（1992）所建構的25個投資組合所進行的迴歸分析中發現，在加入風險值因子後對於迴歸模型能提供額外的解釋能力，顯示在加入風險值因子之後，使我們能更準確的預測股票報酬。

關鍵字

風險值 ； 預期報酬 ； 橫斷面迴歸 ； 三因子模型

並列摘要

Abstract
All the time Capital Assets Pricing Model（CAPM）extensive application in weighing the risk and investing return. There are a lot of disputes on the real example at present, about use the market risk （Beta） in the CAPM to explanation expectancy return.
In recent years Value at risk（VaR）receives the attention of the academia and practical realm. It is also applied to the relevant industries of finance. Because value at risk is different from other methods of measurement risk-It digitizes the risk. This way make investor understand how many risk are needed while carrying on investment decision.
This research discusses the relation the stock return of value at risk. An Empirical Analysis of Taiwan Stock Exchange Corporation listed company while using from January of 2002 to December of 2006. According to Fama and MacBeth（1973）Cross section regression testing the relation between value at risk and expected stork return. And then with the Fama and French（1992）three factor model, in addition, value at risk factor form fourth factor model to explain return of Taiwan stock market.
The result of study finds the stock return and value at risk has strong positive correlation. And find risk value weighs the risk better than the market risk（β）. Consulting Fama and French（1992）to constructing 25 portfolio and find while regression analyzing, that the model can offer extra explanation ability to the regression model after add to value at risk factor. Express it after add to the value at risk factor, the expected stock return enabling us to be more accurate.

並列關鍵字

Value at Risk ； expected return ； cross-sectional regression ； three factor models

參考文獻

6.李春旺、劉維琪、高孔廉（民78）。股價行為與規模效應：台灣股票市場實證研究。管理評論,頁99-121.

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