碩士 / 國立交通大學 / 交通運輸研究所 / 86 / In recent years, the deregulation of transportation industry
has been prevalent.There are more transportation firms nowadays
than before. Generally speaking,the characteristics of
investment in transportation include huge amount of money,long
investment period and high risk. In financial management, one of
the mostimportant models of risk and return is Sharp-Lintner-
Black*s Capital Assets Pricing Model. The first part of our
study is a literature survey on the theories of CAPM. Then for
transportation industry during 1995 to 1997, we use the
functions and macros of some spreadsheet softwares (such as
Excel or Lotus) to find the efficient portfolios and efficient
frontier. Then, we calculate the bs of the common stocks in
Taiwan stock market, we group them as portfolios to verify
whether the CAPM is suitable for our stock market. Finally, we
apply CAPM to Taiwan*s transportation industry. We try to find
out the transportation firms* cost of equity and the weighted
average cost of capital, for the purpose of setting a better
criterion for project evaluation of transportation industry.
Our findings indicate that the bs of common stocks in Taiwan
stock market are all positive. From the industry*s point of
view, it appears that most industries* bs are scattered between
0.6 to 0.8 and are somewhat stable, except for electronics and
financial industries. Financial industry*s b has fallen down
between the two periods of our study and electronics industry*s
vice versa. The cross section analysis shows that the CAPM may
be suitable to Taiwan stock market, but the R2 is only 20%. It
means that there are some other factors that may affect the
return of the stocks. As for the transportation industry, Ta
Jung*s b is the highest and Tse-Shing*s is the lowest. Most of
the Firms* monthly cost of equity and averaged cost of capital
are spreaded between 0.5% and 0.6%, a little bit lower than the
banking industry*s averaged loan rate.
| Identifer | oai:union.ndltd.org:TW/086NCTU0118044 |
| Date | January 1998 |
| Creators | Sheih, Yu-Da, 謝育達 |
| Contributors | Kai Kao, 高凱 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 76 |
Page generated in 0.0333 seconds