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1、*,*,按一下以編輯母片標(biāo)題樣式,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,按一下以編輯母片,第二層,第三層,第四層,第五層,Common Risk Factors in Stock and Bond Returns,Eugene Fama and Kenneth French,Journal of Financial Economics 33(1993)3-56.,蕭朝興,11/5/2024,1,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,前言,本文從三方面來(lái)延伸,Fama and French(1992),的資產(chǎn)定價(jià)檢定,探討的資產(chǎn)包含了債券與股票,包含了股票市場(chǎng)與債券市場(chǎng)的變數(shù)來(lái)解釋報(bào)酬,研究方法,：,The time
2、series regression approach of Black,Jensen and,Scholes,(1972),R,(,t,),R,f,(,t,)=,a,+,b,R,M,(,t,),R,f,(,t,)+,s,SMB,(,t,)+,h,HML,(,t,)+,e,(,t,),11/5/2024,2,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,R,(,t,),R,f,(,t,)=Risk Premium,=Market Risk Premium,+Risk Premium associated with firm size,+Risk Premium associated with BM,如何判斷共同風(fēng)險(xiǎn)
3、因子能捕捉報(bào)酬的共同變異,?,Regression,slope,and,R,2,前言,11/5/2024,3,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,如何判斷資產(chǎn)定價(jià)模式是否設(shè)定良好,?,截距項(xiàng),（,a,）,是否顯著異於,0,？,當(dāng)截距項(xiàng)顯著異於,0,時(shí),，表示報(bào)酬的變異中，該資產(chǎn)定價(jià)模式有無(wú)法解釋的部分,R,(,t,),R,f,(,t,)+,b,R,M,(,t,),R,f,(,t,)+,s,SMB,(,t,)+,h,HML,(,t,),=,a,+,e,(,t,),三因子模式所預(yù)期的報(bào)酬率,前言,11/5/2024,4,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,模型與變數(shù)設(shè)定,解釋變數(shù)部分,11/5/2024,5,國(guó)立東華
4、大學(xué)財(cái)務(wù)金融學(xué)系,1.Breaking point(Size),Formation date At the end of June of year t,1963-1991,Why June?,Look-ahead,Bias.,Data available:At the end of June.,Size,step 1:All NYSE stocks on CRSP ranked,on SZ,step 2:The median NYSE size is then used,to split Amex and NASDAQ,stocks into two groups(S and B),11/5/
5、2024,6,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,1.Breaking point(BM),Data available:At the end of December of year t-1,Break NYSE,Amex,and NASDAQ stocks into three BM groups based on the breakpoints for the bottom 30%(Low),40%(Median)and top 30%(High)of the ranked values of BM for NYSE stocks.,Not use negative-BE firms.,Reason
6、s to sort firms into 3 groups on BM and only 2 groups on SZ.,Survivorship Bias,11/5/2024,7,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Construct Six Portfolios Through Independent Sort(A),B/M,Low,Media,High,size,Small,S/L,S/M,S/H,Big,B/L,B/M,B/H,Monthly valued-weighted return on the six portfolios are calculated from July of year
7、 t to June of year t+1and portfolio are reformed again on June of year t+1.,11/5/2024,8,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,2,.Construct Six Portfolios Through Independent Sources(B),SMB=1/3(S/L+S/M+S/H-B/L-B/M-B/H),Mimicking the common risk factor in return related to,size,HML=(S/H+B/H-S/L-B/L),Mimicking the common risk
8、factor in return related to,BM,Purpose:to reduce the correlation between HML and SMB,11/5/2024,9,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,The playing field-,The Empirical Results,11/5/2024,10,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 1 Descriptive Statistics,11/5/2024,11,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 1 Descriptive Statistics,Because we use NYSE breakpoints to
9、form the 25 size-,BE/ME,portfolios,the portfolios in the smallest size quintile have the most stocks(mostly small Amex and NASDAQ stocks).,In contrast,the portfolios in the largest size quintile have the fewest stocks but the largest fractions of value.The five portfolios in the largest,ME,quintile
10、average about 74%of total value.,11/5/2024,12,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 2(A)Summary Statistics,11/5/2024,13,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 2(A)Summary Statistics,High volatility capture substantial common variation in returns,High average premium(Mean)explain much cross-sectional variation in average returns,Take SMB
11、as an example:,The average SMB return 0.27%per month(t=1.73)means the average premium for the size-related factor in returns.,Sum of the intercept and residuals from the regression:,11/5/2024,14,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 2(B)Dependent variables,There is a negative relation between size and average return,a
12、nd there is a stronger positive relation between average return and book-to-market equity.,Because stock returns have high standard deviations(around 6%per month for the size-BM portfolios),large average returns often are not reliably different from 0.,11/5/2024,15,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 4 Stock-Market
13、Factors,11/5/2024,16,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 4 Stock-Market Factors,The only,R,2,values near 0.9 are for the big-stock low-book-to-market portfolios.For small-stock and high-,BE/ME,portfolios,R,2,values less than 0.8 or 0.7 are the rule.These are the stock portfolios for which the size and book-to-market
14、 factors,SMB,and,HML,will have their best shot at showing marginal explanatory power.,11/5/2024,17,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 5Stock-market Factors(B),The,R,2,values are not high enough.It leaves common variation in stock returns that is picked up by the market portfolio in Table 4.,11/5/2024,18,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)
15、系,Table 6Stock-market Factors(C),11/5/2024,19,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 6Stock-market Factors(C),Adding,SMB,and,HML,to the regressions collapses the,s,for stocks toward 1.0;low,s,move up toward 1.0 and high,s,move down.,HML,clearly captures shared variation in stock returns,related to book-to-market equity
16、,that is missed by the market and by,SMB,11/5/2024,20,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 6Stock-market Factors(C),R,2,s are quite high,11/5/2024,21,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Robust Test,Joint tests on the regression intercepts.(Table 9),Diagnostics.(Equation 2,page 42),January,seasonals,.(Table 10),Split-sample tests.,Portfolios form on,E/P,D/P,.(Table 11),【,說(shuō)明結(jié)果不是特例，而是具有通用性,】,11/5/2024,22,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 9,三因子模型的a呈現(xiàn)大幅度衰減,11/5/2024,23,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Table 9,11/5/2024,24,國(guó)立東華大學(xué)財(cái)務(wù)金融學(xué)系,Diagnostics-January,seasonals,研究目的,-,檢測(cè),
2-Common-risk-factors-in-the-returns-on-stocks-and-bonds
