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| 研究生： |
陳鄔福 |
|---|---|
| 論文名稱： |
資本資產定價模式運用於台灣股票市場之研究 無 |
| 指導教授： | 林煜宗 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 企業管理學系 Department of Business Administration |
| 畢業學年度： | 68 |
| 語文別： | 中文 |
| 論文頁數： | 149 |
| 中文關鍵詞： | 無 |
| 相關次數： | 點閱：121 下載：0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
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序言
圖表目錄
第一章 緒論1
第一節 研究動機與目的1
第二節 研究範圍與方法2
第三節 資料來源與限制5
第四節 研究架構6
第五節 研究概述7
第二章 投資報酬與風險11
第一節 投資報酬11
第二節 成長模式13
第三節 投資組合報酬15
第四節 投資風險與風險之衡量16
第五節 系統風險與非系統風險24
第六節 風險與報酬之關係30
第三章 資本資產定價模式基本理論35
第一節 CAPM之基本假設36
第二節 市場投資組合38
第三節 資本市場線41
第四節 證券市場線46
第五節 資本資產定價模式之應用57
第六節 基本假設之放寬67
第四章 實證研究81
第一節 運用CAPM於股票分析81
第二節 資料處理83
第三節 報酬之常態分配檢定86
第四節 自行相關檢定87
第五節 個別證券之CAPM檢定89
第六節 投資組合之CAPM檢定93
第七節 與美日研究結果比較106
第五章 結論與建議113
第一節 結論113
第二節 建議115
參考書目123
附錄一 報酬之t化全距及杜賓瓦森檢定值131
附錄二 週報酬全期時間序列分析統計值135
附錄三 週報酬分期時間序列分析統計值136
附錄四 週報酬全期橫斷面估計迴歸線139
附錄五 週報酬分期橫斷面估計迴歸線140
圖表目錄
圖次：
1-1本研究之架構7
2-1投資計畫風險圖20
2-2風險分散圖26
2-3遠東紡織公司月報酬特性線28
3-1投資機會集合與資本市場線39
3-2期望報酬與投資比例線性圖43
3-3變異數與投資比例線性圖44
3-4投資機會集合與證券市場線47
3-5 σim為橫軸之證券市場線51
3-6 βi為橫軸之證券市場線56
3-7 CML之績效評估61
3-8投資機會線61
3-9 SML之績效評估63
3-10 SML之資本投資計畫選擇66
3-11不同借貸利率之CML 68
3-12零貝它投資組合70
3-13粗略風險分散投資者存在之CML 74
3-14受交易成本影響之CML 74
4-1月報酬全期橫斷面估計迴歸線103
4-2月報酬分期橫斷面估計迴歸線104
表次：
1-1列入研究之公司名稱3
2-1隨機投資組合風險分散之情形24
3-1夏普績效指數評估表60
3-2崔諾績效指數評估表62
3-3簡生績效指數評估表64
4-1月報酬迴歸統計值90
4-2週報酬迴歸統計值91
4-3月報酬全期時間序列分析統計值97
4-4月報酬分期時間序列分析統計值98
4-5月報酬橫斷面迴歸統計值101
4-6週報酬橫斷面迴歸統計值102
4-7月報酬分期橫斷面迴歸統計值105
4-8週報酬分期構斷面迴歸統計值106
4-9 Jacob個別證券之CAPM檢定統計值108
4-10 B.J.S三氏投資組合之CAPM檢定統計值109
4-11 L.Q.R三氏日本之CAPM檢定統計值110
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