台灣ETF50、ETF100成分股報酬率結構分析

台灣加權股價指數中，有所謂的「權值股」，權值股的異動對台灣整體股票市場具有相當大的影響力。而權值股即是以上市公司的市值高低來決定的。此與ETF50及ETF100有相似之處，因此本研究選擇針對ETF50及ETF100的成份股作為研究對象。本研究採Fama and French的三因子模型的市場因子、規模因子、淨值市價比因子，和另外再加入的週轉率及本益比兩因子，所形成的五因子模型，探討從2004年至2008年共5年之ETF50及ETF100成份股的報酬橫斷面之變化。而結果顯示：1.三因子模型僅市場因子對標的股票報酬有解釋能力，而五因子模型則為市場因子、規模因子、週轉率因子有解釋能力。且五因子模型解釋能力比三因子模型更佳。2.台灣ETF50及ETF100成份股的股票存在著市場效應、反向規模效應及週轉率效應。

關鍵字

規模因子；淨值市價比因子；週轉率因子；本益比因子；指數股票型基金

並列摘要

This paper investigates the explanation factors on the return of component share of ETF50 and ETF100 in Taiwan. In this paper, we adapt and compare the Fama and French three factor model and the five factor model. The three-factor model is established by including systematic risk, size, book value to market value ratio, and the five-factor model generalized the problem by considering turnover ratio and price to earning ratio in addition. The result shows that systematic risk, size, and turnover ratio are the significant factors of component shares of ETF50 and 100 in Taiwan. Also, market effect, negative size effect, and turnover ratio effect are observed in in component share of ETF50 and ETF100 in Taiwan.Furthermore, the five-factor model is better than Fama and French three factor model.

並列關鍵字

size factor ； book value to market value ratio factor ； turnover ratio factor ； price to earning ratio factor ； Exchange Traded Funds

參考文獻

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國際替代計量

台灣ETF50、ETF100成分股報酬率結構分析

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