| Summary: | 碩士 === 中原大學 === 國際經營與貿易研究所 === 104 === This thesis rewrite the four-factor model, developed by Carhart(1997), as a panel smooth transition regression(PSTR) framework, and uses margin balance/ financing balance ratio as the transition variable in the framework, to evaluate the nonlinear path of stock returns and four time-varying risk premiums. Sample period span from 2008:Q1 to 2015:Q2. Sample objects are 34 companies listed on FTSE TWSE Taiwan 50 Index.
The empirical results can be summarized as follows:
1.Holding growth stocks can lead to higher returns than the value; holding small size stocks can lead to excess returns than big size.
2.In the PSTR model, four risk premiums vary with time and across stocks, depending margin balance/ financing balance ratio in different regimes, not constant obtained from the traditional three-factor model and four-factor model.
3.When the company stock’s margin balance/ financing balance ratio is at a high level, owned small size and growth stocks can lead to excess returns; when the ratio is at a medium level, owned value stocks and corporate ownership ratio isn’t high can lead to excess returns.
|
|---|
