本研究以傳統的Fama-French (1992) 三因子模型基礎,將其改寫成縱橫平滑轉換迴歸 (panel smooth transition regression, PSTR) 架構,並使用代表市場投資人對整體市場狀況之情緒反應的恐慌指數 (volatility index, VIX) 與股票周轉率 (SGR) 二個變數,作為模型之轉換變數,以估計股價報酬及風險溢酬。實證上,以台灣上市櫃41家生醫科技公司為對象,進行估計。資料來源為台灣新報 (Taiwan Economic Journal, TEJ) 資料庫,資料期間為2010年1月至2014年12月,共1968筆觀察值。 實證結果發現,在重新改寫成PSTR架構的Fama-French三因子模型中,市場風險溢酬、規模溢酬與淨值市價比溢酬具有門檻效果,而非如傳統的Fama-French (1992) 三因子模型所主張的固定值。當市場不確定性提高時,投資人的恐慌情緒越高,生醫科技類股的投資組合風險也越高,此時投資組合由小型成長型股票轉換到大型成長型股票,會有較高的安全性與獲利性。此外,在考慮股票短期周轉率下,不論交易的熱絡與否,應以小型成長股的組合為主,但隨著短期交易的熱絡,會容易產生理性泡沫。
This thesis rewrites the traditional Fama-French (1992) three-factor model as a framework of panel smooth transition regression (PSTR) to evaluate stock returns and risk premiums. Volatility index and turnover rate, two typical proxies of investors’ sentiment are used as the transition variables in the PSTR model. In empirical, we use 41 listed biological technology firms during 2010: 1M through 2014: 12M as sample objects. Thus, there are 1968 observations. The empirical results show that market premium, scale premium, and value premium have threshold effects under the PSTR version of Fama-French (1992) three-factor model, but not constant suggested by the traditional Fama-French (1992) three-factor model. High market uncertainty causes the rise of investors’ sentiment, which leads to the increase in the risk of biological technology portfolio. In this circumstance, shifting small-cap growth firms to large-cap growth firms can obtain higher safety and profitability. In addition, the portfolio of small-cap growth stocks has a higher return than other portfolios regardless of the level of the turnover rate. However, the rational bubble becomes more likely when the turnover rate rises.