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研究生： 王致程
Wang, Chih-cheng
論文名稱： 價值股與成長股之投資績效分析－根據韓國與新加坡上市櫃公司
The Analysis of Investment Performance between Value and Growth Stocks in Korea and Singapore
指導教授： 李宏志
Li, Hung-chih
賴秀卿
Lai, Syou-Ching
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2007
畢業學年度： 95
語文別： 英文
論文頁數： 73
中文關鍵詞： 四因子模型 、三因子模型 、股票平均報酬 、財務預警模型 、淨值市價 、股票動能 、規模
外文關鍵詞： three-factor model, value stock, growth stock, size, book-to-market equity, O-score, structure of stock return, distress risk, four-factor model
相關次數： 點閱：128  下載：4 
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    • 本篇是引用Griffin and Lemmon(2002)與Ohlson(1980)財務預警之研究方法，首先計算出韓國與新加坡之財務預警模型。本研究延伸Fama and French(1995)三因子模型，分別納入財務危機風險(Griffin and Lemmon,2002)與股票動能(Carhart,1997)建立四因子模型，試圖對韓國及新加坡股票市場報酬來源提出較具完整解釋能力的四因子模型。

    經由報酬來源之實證結果發現：無論韓國或新加坡市場，本論文所建立的四因子模型(財務危機)比Fama and French三因子模型能提供較完整之解釋以及比Carhart四因子模型(股票動能)有較高的解釋能力，根據調整後的判定係數大於Fama and French三因子模型與Carhart四因子模型，而且截距項也相對不顯著異於零。市場因素、淨值市價、規模因素，和財務危機風險因素對股票平均報酬有顯著的影響。

    Fama and French (1993) propose three-factor capital asset pricing model consisting of market factor, firm size factor, and BE/ME factor to explain average stock return. In addition, Griffin and Lemmon (2002) use the probability of bankruptcy (O-score) as a natural proxy for firm distress and find that O-score is related to stock return since it can capture the additional information about stock return above BE/ME.
    Therefore, this study builds a new capital pricing model using Fama and French’s three-factor model plus financial distress factor (O-score) to check whether this new model could explain the stock returns more complete than Fama and French’s three-factor model. Finally, this study also compares this new four-factor model with Carhart’s (1995) four-factory model and makes some suggestions for the later research.
    This study finds that our four-factor model has stronger explanative power than Fama and French’s three-factor model since the intercepts are more insignificant different from zero and the adjusted R-square becomes higher than Fama and French’s three-factor model.

    CHAPTER 1 INTRODUCTION 1 1.1 Motivation and Background of the Study 1 1.2 Purpose of the Study 3 1.3 Structure of the Study 3 CHAPTER 2 LITERATURE REVIEW 5 2.1 The categories of stock 5 2.2 Probabilistic Model of Bankruptcy 10 2.2.1 Single-Variable Analysis 10 2.2.2 Multi-Variable Discriminate Analysis 10 2.2.3 Logit and Probit Analysis 13 2.3 Three-Factor Model 14 2.4 Documents related to Stock Return and Firm Characteristics 16 2.5 Documents Related to Four-Factor Model 16 2.5.1 Momentum Factor 16 2.5.2 Financial Distress Factor 17 CHAPTER 3 DESIGN OF THE STUDY 19 3.1 Data Collection and Processing 19 3.1.1 Sources of Data and Period of Study 19 3.1.2 Sample Selection 20 3.2 Research Models 20 3.3 The Definition of Variables 25 CHAPTER 4 EMPIRICAL RESULT AND ANALYSIS 29 4.1 Summary Statistics of Firms Characteristics 29 4.2 Return Patterns for the Portfolios in Korea and Singapore 32 4.3 O-score, BE/ME and Fama and French’s (1993) Three-Factor Model 35 4.4 O-score, BE/ME and the Four-Factor Model of the Financial Distress 43 4.5 Carhart’s Four-Factor Model 51 4.6 New three-factor model 58 4.7 Summary Statistics of Sales and Investment Ratios for Portfolios 65 CHAPTER 5 CONCLUSION AND SUGGESTIONS 67 5.1 Conclusion 67 5.2 Suggestions for Researchers 68 REFERENCES 69

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