本研究主要目的在於建構台灣上市股票市場的總體經濟多因子風險模型。第一部分為挑選有效因子，首先收集台灣與美國兩地的總體經濟指標資料，透過單根檢定確定資料均為定態序列後，依照本研究的評分規則篩選出能顯著解釋股票報酬的總體指標，之後再藉由因素分析與主成分分析形成複合因子。第二部分為模型建構，包括估計因子曝險、特有報酬、特有風險和因子報酬共變異數矩陣，最後再進行Bias Test以檢視模型的績效表現。本研究的樣本外期間為2008/01~2014/12，實證結果顯示風險模型的判定係數(R-squared)平均為22%，代表依照本研究方法所選出的總體因子確實可以解釋部分的股票報酬變化，也可以提供經理人從總體面的角度來進行指數追蹤或建構增值投資組合時的參考。

The purpose of this paper is to construct a macroeconomic multi-factor risk model based on the listed stock market in Taiwan. The first part is to filter out the effective factors. We collect macroeconomic indicators from Taiwan and the USA and perform a unit root test to make sure that our data are stationary time series. We select the effective indicators according to the criteria in this paper and then use factor analysis and principal component analysis to derive our composite macro factors. The second part is to build the risk model, including estimating the factor exposure, specific return, specific risk and factor return covariance matrix. Finally, we conduct a bias test to evaluate the performance of our model during the out-of-sample period from 2008/01 to 2014/12. Our empirical results show the average R-squared of our model is 22%, which indicates that the macro factors selected using the methodology in this paper can explain part of the variability of stock returns and provide fund managers with macroeconomic viewpoints when doing index tracking or constructing enhanced portfolios.

論文審定書…………………………………………………………………………... i
誌謝........................................................................................................ii
摘要........................................................................................................iii
ABSTRACT.............................................................................................iv
I. INTRODUCTION..............................................................................1
1.1 Background.....................................................................................1
1.2 Research Motivation and Purpose.....................................................3
1.3 Research Structure..........................................................................4
II. LITERATURE REVIEW....................................................................5
2.1 Multi-Factor Model...........................................................................5
2.2 Macroeconomic Factor Model...........................................................8
2.3 Factor Analysis and Principal Component Analysis............................11
III. METHODOLOGY............................................................................14
3.1 Data...............................................................................................14
3.2 Analytical Framework.......................................................................16
3.3 Formation of Significant Macro Factors..............................................17
3.3.1 Unit root test....................................................................................18
3.3.2 Effective indicators screening............................................................19
3.3.3 Factor analysis and principal component analysis................................24
3.4 Construction of Macroeconomic MFM.................................................27
3.4.1 Time series multiple regression for factor exposures............................28
3.4.2 Estimation of specific return and specific risk......................................30
3.4.3 Construction of factor return covariance matrix....................................31
3.5 Model Performance Bias Test............................................................32
IV. EMPIRICAL RESULTS......................................................................35
4.1 The Result of Unit Root Tests............................................................35
4.2 The Outcome of Indicators Screening.................................................36
4.3 The Outcome of Factor Analysis........................................................36
4.4 The Analysis of Macroeconomic Factor Risk Model.............................38
4.4.1 Multi-collinearity test..........................................................................38
4.4.2 The results of R-squared performance.................................................39
4.4.3 The results of bias test......................................................................40
V. CONCLUSION..................................................................................44
REFERENCES.........................................................................................47

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