本研究主要是探討台灣傳統產業股票報酬的解釋因素,以Fama and French的三因子模型為基礎,再加上交易量因子、益本比因子所形成五因子模型,探討這些因子對於傳統產業類股的股票報酬是否有解釋的能力。本研究採用多元迴歸分析,對最小平方法所算出的三因子模型、五因子模型迴歸係數做檢定,以判別因子對於股票的報酬率是否有顯著影響,並探討三因子模型和五因子模型對於台灣上市傳統產業股票的報酬何者具有較佳的解釋能力。 實證研究發現在三因子模型中,市場因素、規模因素具有顯著的解釋能力;在五因子模型中,市場因素、規模因素、淨值市價比因素和益本比因素具有顯著的解釋能力;五因子模型對於台灣傳統產業股票的報酬解釋能力優於三因子模型。
This paper investigates the explanation factors on the return of traditional industries in Taiwan. In this paper we discuss the excess stock return of traditional industries in Taiwan stock market. The three-factor model is established by including systematic risk, size, and book value to market value ratio. The five-factor model generalized the problem by considering turnover ratio and E/P ratio in addition. We compare with three-factor model and five-factor model. The result of the three-factor model shows that systematic risk and size are the major explanation factors on the return of traditional industries in Taiwan. The result of the five-factor model shows that systematic risk, size, book value to market value ratio and E/P ratio are the major explanation factors on the return of traditional industries in Taiwan.