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研究生： 蔡佩芬
Pei-Fen Tsai
論文名稱： 在不同模型、分組方式以及貝他估計情況下之Fama和French三因子模型表現
The performance of Fama and French three-factor model in different models, groups, and estimations of betas
指導教授： 賴弘能
Hung-Neng Lai
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 92
語文別： 英文
論文頁數： 43
中文關鍵詞： Linear mixed-effects 、Fama and French三因子 、時間數列迴歸以及橫斷面迴歸 、Error-in-variables
外文關鍵詞： cross-sectional regression, time-series regression, Error-in-variables, Linear mixed-eff ects model, Fama and French three factors
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    • 我們利用三種不同的模型來驗證Fama和French在1993年所提出的三因子模型。在驗證的過程中，Fama及French所採用的方式是1973年由Fama以及MacBeth所提出的兩階段的方式，我們藉由代入不同的模型使得因子的顯著性不同。
    此外，在驗證過程中，對資料分組或是端視其個股的表現對於結果也會有所差異。其中以分組方式可獲得最穩定的估計但相對也使用了較少的資訊；反之，在兩個階段都使用個股資料可以利用到較多的訊息，估計值卻呈現相對不穩定的狀態。最後，我們納入兩種不同估計貝他的方式以檢驗其對結果產生的影響。

    This thesis uses three different approaches to examine the three-factor model proposed by Fama and French(1993).They use traditional two-pass procedure to solve the estimation problem, and we modify the method by taking different models.
    Whether we do grouping or not is also an important decision in dealing with our data, we find that grouping in both the two-stage get the stable estimates but lose much information.
    However, when we consider individuals in both step,and we include most information but the estimates vary a lot.
    We also consider different kinds of estimation of betas, and the appearance of estimates differ a lot.
    We can get different significant factors in the three models.

    1 Introduction 1 2 Traditional Two-pass Procedure Model 2 2.1 Fama and French Three Factors . . . . . . . . . . . . . . . . . . . . . 2 2.2 Fama and MacBeth Approach . . . . . . . . . . . . . . . . . . . . . . 4 2.2.1 25 FF Size-BE/ME Portfolios . . . . . . . . . . . . . . . . . . 4 2.2.2 First-stage: Time-series Regression . . . . . . . . . . . . . . . 5 2.2.3 Second-stage: Cross-sectional Regression . . . . . . . . . . . . 5 3 Errors-in-variables 6 3.1 The Approach of Jay Shanken . . . . . . . . . . . . . . . . . . . . . . 7 3.2 Two-pass Procedure of Jay Shanken . . . . . . . . . . . . . . . . . . . 9 3.3 Asymptotic Distribution of the Second-Pass Estimator . . . . . . . . 10 3.4 The Traditional Time-series Approach . . . . . . . . . . . . . . . . . 11 3.5 Annually Rolling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 4 Linear Mixed-e ects Model 12 4.1 Introduction of LME . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 4.2 Estimation and the Marginal Model . . . . . . . . . . . . . . . . . . . 13 4.3 LME Model Setting . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 5 Empirical Result 15 6 Conclusion 20 A Multivariate multiple regression 38 B Proof of Theorem 1 40 C AIC and BIC 41

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