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研究生：	吳嘉祥 shiang, Wu-chia
論文名稱：	動態的貝它值以及B股折價的問題：兩個分量回歸模型的運用 Beta Dynamics and B-share Price Discount Puzzle:Two Essays on Application of Quantile Regression Model
指導教授：	黎明淵 yuan, Leon-ming
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：	中文
論文頁數：	40
中文關鍵詞：	B股折價、動態貝它、分量回歸、貝它
外文關鍵詞：	Quantile Regression, B-Share Discount, Beta, Dynamic Beta
相關次數：	點閱：54 下載：2
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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

這兩篇論文中我們使用分量回歸的方式去驗證隨分量變動的貝它值以及試著去解釋Ｂ股的折價。
在第一篇論文中我們使用分量回歸的方法去驗證七大工業國和世界股價指數間的的關連性。使用分量回歸的方法允許ＩＣＡＰＭ模型可以隨著分量的變動而變動。當七大工業國的各國股市報酬率分量增加且呈現正報酬時，七大工業國所有國家的貝它值也會隨之增加。當七大工業國的各國股市報酬率分量減少且呈現負報酬時，七大工業國中的五個國家的貝它值也會隨之增加。
在第二篇論文中，我們檢驗Ｂ股折價以及五個理性變數之間（風險等級、流動性、公司治理、公司大小、以及差異化的需求）的關連性，其估計係數將可以隨著Ｂ股折價的分量大小而改變。我們發現當Ｂ股折價的分量增加時，這些理性變數對Ｂ股折價的影響將會隨之變小，但是我們並沒有發現在解除交易限制前後有什麼明顯的不同。

The two essays in this study employ the quantile regression method to examine the quantile varying beta and to explain the B-share discount.
In first essay, we examine the relation between stock returns and a World Index for seven industrial stock markets using the quantile regression method. The quantile regression method allowed the ICAPM betas to change with the return quantile of the domestic market. For the G7 market, all countries’ beta would increase when the domestic market exists extreme positive return. Five of the G7 countries’ beta would increase when the domestic market exists extreme positive return.
In second essay, we exam the relationship between B-share discount and five rational variable-risk levels, liquidity, corporate governance, firm size, and differential demand. The estimated coefficients are allowed to change with the discount quantile of the B-share discount. We found that the effect of most variables to B-share discount goes lower when the discount quantile goes higher. But we cannot find any concisely conclusion between the pre-lifting period and post-lifting period.

Contents
Essay 1: Beta Dynamics:

1.Introduction………………………………………………………5
2.The Data……………………………………………………………6
3.Empirical method
  3.1The ICAPM………………………………………………………7
  3.2The Quantile Regression……………………………………8
4.Empirical result………………………………………………10
5.Conclusion……………………………………………………12
6.Reference 1……………………………………………………39

Essay 2: B-Share Price Discount Puzzle:
1.Introduction……………………………………………………20
2.The Data…………………………………………………………21
3.Empirical method
  3.1 Multiple regressions……………………………………22
  3.2 The Quantile Regressio…………………………………22
4.Empirical result………………………………………………23
5.Conclusion………………………………………………………25
6.Reference 2……………………………………………………40



List of Tables
Essay 1: Beta Dynamics:

Table 1: Descriptive statistics of G7 stock market returns…13
Table 2 : The Quantiles of Returns in a Vary Markets……13
Table 3 : Correlation Matrix of Returns……………………14
Table 4-a : Quantile-Varying Beta Estimates in Bust Regime…14
Table 4-b : Quantile-Varying Beta Estimates in Boom Regime…15

Essay 2: B-Share Price Discount Puzzle: 

Table 1 Definitions of Dependent/Independent Variables…………………………………26
Table 2-A  Descriptive Statistics Dependent/Independent Variables (Pre-Lifting)………27
Table 2-B  Descriptive Statistics Dependent/Independent Variables (Post-Lifting)……27
Table 3-A  Correlation Matrix of Dependent/Independent Variables (Pre-Lifting)……28
Table 3-B  Correlation Matrix of Dependent/Independent Variables (Post-Lifting)……28
Table 4-A  OLS Estimation Results (Pre-Lifting)……………29
Table 4-B  OLS Estimation Results (Post-Lifting)…………29
Table 5-A Estimation Results for the Quantile Regressions (Pre-Lifting)………………30
Table 5-B Estimation Results for the Quantile Regressions (Post-Lifting)……………31
Table 6-A  Statistic Tests of the Equality of Slope Parameters across various Quantiles (Pre-Lifting)………………………………32
Table 6-B  Statistic Tests of the Equality of Slope Parameters across various Quantiles (Post-Lifting)………………………………33
List of Figures
Essay 1: Beta Dynamics:

Figure 1: Betas and 95% Confident Level Estimations under Varies Market Quantile…………………………………………………………16

Essay 2: B-Share Price Discount Puzzle:

Figure 1-A  Impact on B-Share Discount of the Ratio Outstanding (RO), by Quantiles in Pre Lifting Period……………………………………………………………34
Figure 1-B  Impact on B-Share Discount of the Ratio Outstanding (RO), by Quantiles in Post Lifting Period……………………………………………………………34
Figure 2-A  Impact on B-Share Discount of the Floating Ratio (FO), by Quantiles in Pre Lifting Period……………………………………………………………35
Figure 2-B  Impact on B-Share Discount of the Floating Ratio (FO), by Quantiles in Post Lifting Period……………………………………………………………35
Figure 3-A  Impact on B-Share Discount of the Market Value (MV), by Quantiles in Pre Lifting Period……………………………………………………………36
Figure 3-B  Impact on B-Share Discount of the Market Value (MV), by Quantiles in Post Lifting Period……………………………………………………………36
Figure 4-A  Impact on B-Share Discount of the Relative Turnover (RT), by Quantiles in Pre Lifting Period……………………………………………………………37
Figure 4-B  Impact on B-Share Discount of the Relative Turnover (RT), by Quantiles in Post Lifting Period……………………………………………………………37
Figure 5-A  Impact on B-Share Discount of the Beta Ratio (BR), by Quantiles in Pre Lifting Period……………………………………………………………38
Figure 5-B  Impact on B-Share Discount of the Beta Ratio (BR), by Quantiles in Post Lifting Period……………………………………………………………38
                                    

Reference 1
Marshall E. Blume , Stock Returns and Dividend Yields: Some More Evidence The Review of Economics and Statistics, Vol. 62, No. 4. (Nov., 1980), pp. 567-577.
Frank J. Fabozzi; Jack Clark Francis, Beta as a Random Coefficient The Journal of Financial and Quantitative Analysis, Vol. 13, No. 1. (Mar., 1978), pp. 101-116.
Stanley J. Kon; Frank C. Jen, Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression, The Journal of Finance, Vol. 33, No. 2. (May, 1978), pp. 457-475.
Elton Scott; Stewart Brown, Biased Estimators and Unstable Betas, The Journal of Finance, Vol. 35, No. 1. (Mar., 1980), pp. 49-55.
R Gregory-Allen, CM Impson, I Karafiath, An Empirical Investigation of Beta Stability: Portfolios vs. Individual Securities, Journal of Business Finance & Accounting, 1994
Tim Bollerslev; Robert F. Engle; Jeffrey M. Wooldridge, A Capital Asset Pricing Model with Time-Varying Covariances, The Journal of Political Economy, Vol. 96, No. 1. (Feb., 1988), pp. 116-131.
K French, E Fama , Industry Costs of Equity, Journalof Financial Economics, 1997
R Koenker, G Basset, Regression percentiles, Econometrica, 1978
Reference 2

Ali F. Darrat, Yanhui Wu, Maosen Zhong On the Chinese B-Share price discount puzzle.
Bailey, W. and J. Jagtinani, 1994. Risk and return on China’s new markets: Some preliminary evidence, Pacific-Basian Finance Journal 2,243-260.
Chen, G, B. Lee, and Rui, 2001. Foreign ownership restriction and market segmentation in China’s stock markets, Journal of Financial Research, 24 , 133-155.
Ian Domowitz; Jack Glen; Ananth Madhavan, 1997. Market segmentation and stock prices: evidence from an emergining market. The Journal of Finance, 52, No.3 (July), 697-718
Pekka T. Hietata,1989 Asset pricing in partially segmented markets: evidence from the Finish market, The Journal of Finance, 44, No.3 (July), 697-718
Wang, F. and Y. Xu, 2004. What determines Chinese stock returns?. Financial Analyst

校內：2010-09-12公開
校外：2010-09-12公開

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