- 作者: 劉維琪; 翁霓
- 作者服務機構: 國立中山大學企管研究所; 國立政治大學企管研究所
- 中文摘要: 財務實證研究上多以市場模式估計貝他,但卻因觀察資料不符迴歸假設而造成貝他估計的偏誤。本文即以台灣證券交易所上市的六十九家公司為研究對象,探討在以日內資料作實證分析時,利用市場模式估計貝他係數的有效性。實證結果發現,由於我國上市公司日內交易多相當活絡,因此多數個股依最小平方法所求得的貝他係數有高估的現象,適合以Scholes和Williams所提出的修正模式調整之。
- 英文摘要: Event studies of security markets, where a market model is used to estimate beta, havelong been an interesting approach in finance research. Observed returns, however, are measuredin discrete time, and thus violate a priori assumptions for regression analyses. In this study,our emphasis is on how daily data of the Taiwan Stock Market fits the market model, andhow to modify the estimate beta bias. The sample includes sixty-nine companies listed on theTaiwan Stock Exchange. We found that most betas are overestimated, and should be modifiedby using the Scholes-Williams model.
- 中文關鍵字: 系統風險; 貝他偏誤; 價格不連續
- 英文關鍵字: --