臺灣博碩士論文加值系統

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。

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.

目錄
中文摘要............................................................................................................................ I
英文摘要...........................................................................................................................II
目錄..................................................................................................................................III
表目錄............................................................................................................................. IV
壹、緒論............................................................................................................................1
貳、原油價格與模擬投資組合....................................................................................3
一、原油價格.......................................................................................................... 4
二、模擬投資組合建構........................................................................................ 5
三、模擬投資組合、規模溢酬(SMB)及價值成長溢酬(HML)關係......... 7
參、敏感性分析..............................................................................................................8
一、模擬投資組合敏感性分析........................................................................... 8
肆、結論與建議............................................................................................................10
參考資料： .....................................................................................................................17
IV
表目錄
表1：油價樣本資料來源.............................................................................. 11
表2：模擬投資組合報酬的基本敘述統計量............................................... 11
表3：生產風險投資組合係數之估計........................................................... 12
表4：規模溢酬(SMB)與價值成長溢酬(HML)對模擬投資組合解釋能力.. 12
表5：TRB1 及TRB2 對規模溢酬(SMB)的解釋能力.................................. 13
表6：TRB1 及TRB2 對價值成長溢酬(HML)的解釋能力......................... 14
表7：模擬投資組合報酬的基本敘述統計量............................................... 14
表8：生產風險投資組合係數之估計........................................................... 15
表9：規模溢酬(SMB)與價值成長溢酬(HML)對模擬投資組合解釋能力.. 16
表10：TRB1 及TRB2 對規模溢酬(SMB)的解釋能力................................ 16
表11：TRB1 及TRB2 對價值成長溢酬(HML)的解釋能力........................ 16

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