Hou et al. (2015) 等學者基於公司金融學的淨現值方法基礎上，從經濟學Tobin’s Q理論企業實體投資的角度提出了 q 因子模型後研究發現在美國股票市場中，投資中市值股票、低投資率公司股票與高獲利公司股票應獲得更高的預期報酬，本文試圖採用multiple regression analysis 和GRS檢定研究 q 因子模型對台股八項市場異常報酬之解釋能力，並採用產業投資組合對比分析比較 q 因子定價模型與Fama & French因子定價模型在台股之適用性，最後本文以 mean-variance spanning test對市場異象做效率前緣擴張差檢驗及計算夏普比率變動情況。本文使用 2009年1月至 2019年12月取自Taiwan Economic Journal 客製化數據資料以台灣證券交易所上市股票月報酬資料進行研究，本研究實證結果顯示 q 因子定價模型對台灣八項種市場異常效應之投資組合具有較高的解釋能力，從定價因子的來看，市場因子、規模因子及獲利因子對市場異常現象效應之投資組合較具解釋能力，而投資因子、規模因子與獲利因子對小規模股票投資組合的報酬率解釋能力較佳，本文也發現價值因子可能是多餘的因子，能夠被其他因子所解釋。因此整體來說 q 因子定價模型可以作為未來學術理論以及資產配置的基礎模型，但也有待後續學者研究對更多的股市異常現象進行研究。

Hou et al. (2015) based on the net present value method of corporate finance, the q factor model was proposed from the perspective of economic Tobin's Q theory of corporate entity investment. The study found that in the US stock market, investing in mid-cap company stocks, low-investment company stocks and high-profit company stocks should receive higher expected returns. This paper attempts to use multiple regression analysis and GRS test research q factor model to explain the abnormal returns of the eight stock markets in Taiwan and use industry portfolio comparative analysis to compare of q factor pricing model and Fama & French factor pricing model in Taiwan stocks. In the end, this paper uses mean-variance spanning to test expansion of the efficient frontier with market anomaly effect portfolio and calculate the change of Sharpe ratio. This study used data from the Taiwan Economic Journal from January 2009 to December 2019 to study the monthly returns of stocks listed on the TWSE. The empirical results show that the q-factor pricing model has a high explanatory power for Taiwan ’s eight kinds of market abnormal effect portfolios. The market anomaly effect portfolio is more capable of explaining from the perspective of pricing factors, market factors, scale factors and profit factors. Small-cap portfolio returns are more interpretable from market factors, scale factors and profit factors. This paper also found that the value factor may be an extra factor that can be explained by other factors. Therefore, the q factor pricing model can be used as a basic model for future academic theories and asset allocation. However, the further research will be required to study more stock market abnormalities.

摘要 i
Abstract ii
致謝 iii
目錄 iv
圖目錄 vi
表目錄 vii
1緒論 1
1.1研究背景與動機 1
1.2研究目的 3
1.3研究架構 5
2文獻回顧 7
2.1 q因子定價模型模型理論基礎 7
2.2 q因子定價模型解釋因子構造 10
2.2.1 I ⁄ A 因子構造與經濟含意 10
2.2.2 ROE因子構造與經濟含意 13
2.3橫斷面市場異象現象 13
2.3.1規模與淨值市價比效應 13
2.3.2本益比效應 16
2.3.3股利殖利率效應 16
2.3.4反轉與動能效應 17
2.3.5投資和盈利效應 18
2.4國內學者研究因子模型現況 18
3研究方法 19
3.1研究樣本與檢驗方法 19
3.2解釋變量與因子模型建構 20
3.3.1 q因子模型建構 20
3.3.2 Fama & French FF-3 & FF-5因子模型建構 22
3.3被解釋變數異象與投資組合建構 23
3.4 GRS統計量檢定 25
3.5均異擴張檢定 26
4 實證結果 31
4.1敘述統計結果 31
4.2多元回歸分析 33
4.3產業投資組合 42
4.4 GRS統計量結果 44
4.5均異擴張檢定與逐步檢定結果 45
5 結論與建議 55
參考文獻 56

中文文獻

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曲俊雪 (2018) , 「Q 因子定價模型對股票市場異象的解釋」, 吉林大學數量經濟系學位論文。
林天中 (1998) , 「台灣股票市場三因子:系統風險、公司規模及淨值市價比實證研究」, 國立清華大學經濟研究所碩士學位論文。
洪榮華、雷雅淇 (2002) , 「公司規模, 股價, 益本比, 淨值市價比與股票報酬關係之實證研究」, 管理評論, 21 (3), 25-48。
張尊悌 (1996) , 「貝它、公司規模及淨值市價比三因子評價模型之研究：以台灣股市為例」, 國立清華大學經濟研究所碩士學位論文。
畢少剛 (2015) , 「Q - 三因子模型在中國A股市場適用性研究」, 哈爾濱工業大學金融學系學位論文。
謝孟哲 (2016) , 「台灣股票報酬與五因子模型之關係」,中正大學財務金融學系學位論文。
顧廣平 (2005) , 「單因子, 三因子或四因子模式 ?」, 證券市場發展季刊, 17 (2), 101-146。

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