原油價格波動與權益市場報酬的關係

News Related to the Oil Price Change as a Risk Factor in Equity Returns

洪惠娟(Chuen-Hui Hung)

指導教授 ： 方世詮

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

本文以國際原油價格作為總體經濟生產風險的代理變數，探討國際原油價格波動是否為橫斷面股票報酬的系統性風險因子。本研究延用模擬投資組合(Lamont(2001),Vassalou(2003)等)，建構經濟體系生產風險模擬投資組合並以其探究原油價格波動與橫斷面股票市報酬的關係。同時，本文也討論經濟體系生產風險與規模溢酬(SMB)及價值成長溢酬(HML)的關係。
本文實證結果發現，國際原油價格所隱含的訊息，可以顯著的提昇橫斷面股市報酬被解釋的能力，尤其是資本資產訂價模型(CAPM)所無法解釋的部份。再者，規模溢酬(SMB)對橫斷面股市報酬的解釋能力，有很大部份來自於規模溢酬(SMB)可以捕捉經濟體系的生產風險。至於價值成長溢酬(HML)則隱含較少的經濟體系生產風險。

關鍵字

國際原油價格 ； 資本資產定價模型 ； 橫斷面股票報酬

並列摘要

Base on the crude oil price change proxying for macroeconomic production risk, this paper explores the issue whether the crude oil price changes is the systematic risk factor of cross-sectional equity returns. This paper analyzes the relation between cross-sectional equity returns and production risk mimicking portfolio which is constructed by the methods of Lamont (2001) and Vassalou (2003). We also investigate the relationship between macro production risk and Fama-French factors (HML and SMB).
The major finding of this paper is that the news related to crude oil price change could significantly increase the explaining ability of the cross-sectional equity returns comparing with CAPM. Moreover, the reason why the SMB pricing factor could explain the cross section of equity premium is it captures the macroeconomic production risk. However, the HML factor embodies less economic production risk information.

並列關鍵字

capital asset pricing model ； crude oil price ； cross-sectional stock returns.

參考文獻

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