市場報酬與獨特性風險關係之探討─以台灣股票市場為例

Market Returns and Idiosyncratic Risk: Evidence from Taiwan Stock Market

黃德昌(De-Chang Huang)

指導教授 ： 林泉源

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

近年來實證研究皆發現，獨特性波動在解釋期望報酬上扮演相當關鍵的角色，但是對於其關係的探討，各學者之間卻是眾說紛紜，且國外研究鮮少以新興市場做為其研究對象。故本研究以台灣股票市場為例，探討獨特性波動與未來市場報酬之間的關係，以了解獨特性波動在資產定價中所扮演的角色究竟為何。
首先，本文參考Xu and Malkiel(2003)的方法建構出整體市場的總波動、市場波動與獨特性波動。爾後，將整體市場的股票區分成大型與小型股票投資組合，再探討不同的加權基礎（均等與價值加權）下，獨特性波動與市場報酬之間的關係。另外，研究中亦將報酬依照Angelidis and Tessaromatis(2008a)的方法分成正交市場報酬、價值溢酬與規模溢酬成分，以探討獨特性波動與各種成分溢酬之關係。最後，本文將全樣本期間劃分為二個子期間，藉以探討其關係的穩健性。
實證結果顯示：(1)延遲期獨特性波動與市場報酬之間存在顯著的負向關係，且此顯著關係乃是由大型股票獨特性波動所導致。(2)大型股票獨特性波動與正交市場報酬之間具有顯著的負向關係，此結果可能是造成大型股票獨特性波動與市場報酬顯著之原因。(3)本文在不同子期間下探討大型股票獨特性波動與市場報酬之間的關係，發現前述之關係僅在第二子期間中是成立的，表示此關係在樣本期間改變下是不穩健的。

關鍵字

獨特性波動 ； 獨特性風險 ； 市場報酬

並列摘要

Recently, many studies indicated that idiosyncratic volatility is an important role in stock return predictions, but there were different opinions about the relations between idiosyncratic volatility and stock return. However, less researches has been conducted on idiosyncratic volatility in emerging markets. The purpose of this article is to investigate the relations between idiosyncratic volatility and stock return in Taiwan stock market.
We follow the Xu and Malkiel(2003) methodology to construct the total volatility, market volatility and idiosyncratic volatility of stock market. Then we investigate the relations between idiosyncratic volatilities and market returns with different capitalization portfolios, different weighting schemes and different subpreiods. According to Angelidis and Tessaromatis(2008a), we also investigate the relations between idiosyncratic volatilities and different premium components(orthogonal market return, size premium and value premium).
The evidence show that there is a significantly negative relation exists between large stock idiosyncratic volatility and market returns. This relation is not robust across subpreiods. The relation between orthogonal market return and large stock idiosyncratic volatility is also negative and statistically significant.

並列關鍵字

Idiosyncratic Volatility ； Idiosyncratic Risk ； Market Return

參考文獻

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