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研究生： 陳玉倩
Chen, Yu-Chien
論文名稱： 評價模型之比較-根據加拿大與英國上市櫃公司
The Comparison of Pricing Models Based on the Listed Companies in Canada and UK
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： 2010
畢業學年度： 98
語文別： 英文
論文頁數： 81
中文關鍵詞： 淨值市價比 、O-score 、動能因子 、財務預警模型 、評價模型 、三因子模型 、四因子模型
外文關鍵詞： Book-to-Market Equity, O-score, Momentum Factor, Financial Alarm Model, Pricing Model, Three-factor Model, Four-factor Model
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    • Fama and French (1993) 提出了由市場因子、規模因子與帳面價值比因子所構成的三因子模型，並主張這個模型對於股票報酬有很高的解釋力。然而， Griffin 和Lemmon (2002) 採用Ohlson (1980) 的O-score作為危機風險的代理變數，並指出O-score能夠解釋股票報酬的資訊，而這些資訊是Fama-French的三因子模型所未能掌握到的。
    因此，本研究引用Lai et al. (2010) 等人的研究，將財務危機因子(O-score)納入Fama-French的三因子模型中。寄望此財務危機四因子模型相較Fama- French的三因子模型能提升對股票報酬的解釋力。此外，本研究也引用Carhart (1997) 的股票動能四因子模型來解釋股票報酬。最後透過比較這三個評價模型，試圖尋找出對股價報酬有較佳解釋力的評價模型。
    本研究結果顯示，三個評價模型中，加入財務危機因子的四因子模型擁有較高的調整判定係數(adjusted R-square)且整體的截距項不顯著異於零。此外，本研究也發現財務危機因子(O-score factor)能有效地增加股票報酬的解釋力，而動量因子(momentum factor)僅能稍微增加股票報酬的解釋力，因為動量因子對於股票報酬較無顯著影響力。因此，本研究認為加入財務危機因子的四因子模型，對於加拿大與英國的股票市場的報酬來源，能提供更完整的解釋。

    Fama and French (1993) propose a three-factor model that is formed by market, size and BE/ME factors, arguing that this three-factor model has greater explanatory power for stock returns. However, Griffin and Lemmon (2002) use Ohlson’s (1980) O-score as a direct proxy for distress risk, and argue that this captures some information about stock returns that the BE/ME factor does not capture.
    Therefore, this study adds a financial distress factor, namely the O-score, to Fama and French’s (1993) three-factor model, as proposed by Lai et al. (2010), to investigate whether or not this four-factor model has greater explanatory power for stock returns. In addition, we also use Carhart’s (1997) four-factor model to explain the stock returns. Finally, we compare and examine the relative effectiveness of these three asset pricing models.
    This study finds that the financial distress four-factor model has a higher adjusted R-square and that its overall intercept is insignificantly different from zero among these three pricing models. Moreover, this study also finds that adding the O-score factor to the three-factor model can effectively increase the explanatory power for stock returns, while adding the momentum factor to the three-factor model can only slightly increase the explanatory power, because overall coefficients of the momentum factor of 15 portfolios have no significant impact on stock returns. Therefore, this study suggests that the financial distress four-factor model can explain the stock return structure more completely in both the Canadian and UK stock markets.

    Chapter 1 Introduction 1 1.1 Motivation and Background of Study 1 1.2 Research Objectives 3 Chapter 2 Literature Review 4 2.1 The Categories of Stock 4 2.2 Financial Alarm Model 9 2.3 Three-Factor Model 12 2.4 Documents Related to Four-Factor Model 15 2.4.1 Momentum Factor 15 2.4.2 Financial Distress Factor 17 Chapter 3 Design of the Study 19 3.1 Data Collection and Processing 19 3.1.1 Source of Data and Period of Study 19 3.1.2 Sample Selection 20 3.2 Methodology 20 3.2.1 The 15 Portfolios Classified According to BE/ME and Probability of Financial Distress (O-score) 20 3.2.2 Pricing Models 23 3.2.3 The Definition of Variables 28 Chapter 4 Empirical Results 30 4.1 Summary Statistics of Firms Characteristics 30 4.2 O-score, Book-to-Market Equity, and Returns 35 4.3 Asset Pricing Models 38 4.3.1 Fama and French’s (1993) Three-Factor Model 38 4.3.2 Financial Distress Four-Factor Model 46 4.3.3 Carhart’s(1997) Four-Factor Model 54 4.4 The Effectiveness of Three Asset Pricing Models 62 4.4.1 GRS Test 62 4.4.2 The Impact of Additional Factor on Stock Return 63 4.4.3 Five-Factor Model 66 Chapter 5 Conclusions and Suggestions 75 5.1 Conclusions 75 5.2 Suggestions 76 References 77

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