規模效應是資本資產定價模型所無法解釋的報酬異常現象中，最常被討論的一個。本文首先將探討台灣股市是否具有規模效應情形，若有，再進一步檢視其型態為何。接下來，本文試圖了解是否公司發生財務危機的機率高低會與規模溢酬有所關連，亦即，小公司因為較容易發生財務危機事件，因此平均而言，較大公司有更高的報酬率。本研究將採用Shumway(2001)的羅吉斯迴歸模型來估算公司發生財務危機事件之機率，並且比較不同變數之預測能力如何。
經由實證結果，發現1986年至2009年的台灣股市具有規模效應情形，此結果與之前幾位研究者之研究結果相符。而在財務危機事件機率的部份，亦可看出發生財務危機機率較高的投資組合享有較高的報酬率，此情形在小市值規模的公司身上尤其明顯。從以上發現，我們可以推論財務危機風險確實為構成規模效應的因素之一。 / Size effect is one of wildly-discussed pricing anomalies that cannot be explained by capital assets pricing model, we would like to exam whether it exists in Taiwan stock markets and how its pattern is. Furthermore, we assume the higher financial distress risk a company has, the higher expected return it will earn. That is, there is positive correlation between financial distress risk and return. Following the logistic model developed by Shumway(2001), we explore the list of variables which have greater explanatory power in prediction.
Through empirical data with stocks listed and ever listed on Taiwan Stock Exchange and GreTai Securities Market, we find size effect does exist. The result is consistent with previous study. We also see firms with higher distress risk tend to have higher returns, this condition is especially obvious in small companies. So we can infer that having higher distress risk is one of the reasons why small companies can earn higher returns, they are consistent with our conjecture.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0097357026 |
| Creators | 柯貞伃 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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