| Summary: | 碩士 === 銘傳大學 === 管理科學研究所 === 90 === Recently, people expect to inspect the structure of security return, so several economic models were developed in succession. Although models get completed step by step, each has its own assumptions and limits. In managerial practice, the descriptions of the real world are inconformity.
In order to solve the problem of inconformity conclusion and to provide ideal reference, this thesis is going to contrast the performance of the prominent capital pricing models in describing the Taiwan stock market. The underlying models consist of Capital Asset Pricing Model (CAPM), Consumption Capital Asset Pricing Model (CCAPM), and Arbitrage Pricing Theory (APT). Nonnested tests are used to investigate the performance of above-mentioned three models, and procedures employed include the CDP-test and J-test.
According to the result of empirical research, APT is the best model specification during 1989(Q3)-2001. Except APT, although during 1993-1997 the CAPM dominates the CCAPM, during 1994(Q3)-1999(Q2) and 1997-2001 the CCAPM dominates.
The results of this thesis support the great use of APT which is the more compatible with the Taiwan stock market than CAPM and CCAPM. Another finding is that CCAPM dominates CAPM both in theoretical and empirical research in Taiwan stock market.
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