本文使用縱橫平滑轉換迴歸模型(panel smooth transition regression model, PSTR)的架構探討Carhart的四因子評價模型,並將原來Carhart的線性模型修改為非線性之PSTR模型,且運用外資持股比例變動當作模型中的轉換變數,藉此探討外資的持股比例對於股價報酬及四種風險溢酬(risk premiums)的門檻效果。研究樣本為台灣證券交易市場中的41家半導體公司之報酬率,研究期間為2005年6月至2014年12月。 實證結果顯示:(1)四個因子的風險溢酬會隨著時間及公司的不同而變化。(2)當外資持股比例變動較高的情況之下,持有成長型的股票會擁有較多的收益。(3)當外資持股比例變動增加時,有利於高成長營收的股票,且能掙得更多的報酬。(4)這一次研究的外資持股比率變動對於股價報酬及四種風險溢酬,均產生門檻效果。
This study reconstruct the Carhart four-factor model as the panel smooth transition regression (PSTR) framework. We use the change rate of QFII shareholding as the transition variable to investigate the threshold effects on stuck returns. In empirical, we use 41 semiconductor stocks listed. On the Taiwan Security Exchange Corporation as simple objects. The sample period spans from June 2005 through December 2014. There are some interesting findings. (1) The four estimated risk premiums are time-varying and firm-varying. (2) The higher the change rate of QFII shareholdings, the larger returns the growth stocks would be. (3) The increase in the change rate of QFII shareholdings is helpful for the stocks with high growth of revenues to earn more returns. (4) The change rate in QFII shareholdings has thresholds on the stock returns and the estimated risk premiums.