本篇論文欲探討影響台灣股市系統性風險係數檢定結果之原因。歸納原因有四，分別為投組報酬率計算方式不同、指數選取的不同、樣本選取的不同以及分組方式的不同。實證結果顯示，在其他條件不變下，僅改變投資組合報酬率的計算方式，不論以加權平均法或者簡單平均法計算投資組合報酬率，對系統性風險係數的檢定結果並無影響。在其他條件不變下，僅改變指數的選取，不論以加權股價指數代理市場指數或者以報酬指數代理市場指數，對系統性風險係數的檢定結果並無影響。
在其他條件不變下，僅改變樣本的選取，不論樣本為上市公司，包含金融類股但排除全額交割股，或者樣本為上市、上櫃公司，包含金融類股以及全額交割股為下市前的資料，對系統性風險係數的檢定結果並無影響。
當其他條件不變下，改變分組方式，會強烈地影響系統性風險係數的檢定結果。由於二階段橫斷面迴歸分析中，必須以組beta估計值替代個股beta值，又分組方式的不同會影響組beta的估計值，進而影響第二階段的橫斷面迴歸分析結果。

This thesis wants to examine what affect the results of the test of beta coefficient. We sum up four reasons: first, the method of calculating the returns of the portfolio. Second, the difference of selecting the market index. Third, the difference of selecting the sample. Last, the difference of grouping. The empirical results reveal that the method of calculating the returns of the portfolio will not affect the results of the test of beta coefficient. The empirical results reveal that the difference of selecting the market index and the sample will not affect the results of the test of beta coefficient, neither. We find that only the the difference of grouping will affect the results of the test of beta coefficient.
Because the difference of grouping will affect the estimation of group beta and in the two-step cross section regresssion analysis we have to put the group beta into the individual stock,
the difference of grouping will affect the results of the test of beta coefficient.

[1]王泳萍(2000), "台灣與上海股市報酬率決定因子之研究-三因子或公司特徵", 《朝陽
大學財務金融學系碩士論文》, 963-988
[2]方智強‧姚明慶(1998),"臺灣上市公司的淨值市價比現象", 《管理學報》, 15(3),
367–391
[3]周行一‧陳怡雯(2001),"台灣證券交易所發行量加權股價指數未納入現金股利在投資收
益因素對投資報酬率的影響及基金績效衡量之影響",《證券市場發展季刊》,53, 1-24
[4]周賓凰‧劉怡芬(2000),"臺灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？",
《證券市場發展季刊》,12(1), 1–32
[5]林美瑛(2000),"我國企業選擇股票掛牌市場的決策分析",《台灣大學會計研究所碩士
論》,20-32
[6]曹大岑‧朱大中(2001),"台灣股市報酬指數$-$調整以股價指數衡量股市報酬率及財富
差距",《產業金融》,111, 58-75
[7]黃一祥‧王元章‧何加政‧許嘉惠(2003),"台灣股市系統性風險之估計及橫斷面預期報
酬之分析",《財務金融學刊》,11(3), 1–33
[8]黃錫和(1994),"影響台灣股票投資報酬率變動原因之橫斷面分析",《台北商專學
報》,22-43
[9]劉亞秋‧黃理哲‧劉維琪(1996),"國內股市系統性風險之探討",《證券市場發展季
刊》,963-988
[10]Banz, Rolf W., and William J. Breen (1981), “The relationship between
Return and Market Value of Common Stocks”, Journal of Financial
Economics, 9(1), 3–18.
[11]Black, F., M. C. Jensen, and M. Scholes (1972), “The Capital Asset
Pricing Model:Some Empirical Tests”, Studies in the theory of capital
markets, 9(1), 3–18.
[12]Chan, K. C., N. Chen, and D. Hsieh (1985), “An Exploratory Investigation
of the Firm Size Effect”, Journal of financial Economics, 14(1), 451–471.
[13]Chan, L. K., C. Y. Hamao, and J. Lakonishok (1991), “Fundamentals and
Stock Returns in Japan”, Journal of Finance, 46(1), 1739–1789.
[14]Chen, Nai-fu, Richard Roll, and Stephen A. Ross (1986), “Economic Forces
and the Stock Market”, Journal of Business, 59(3), 383–403.
[15]Clark, G. and M. Statman (2000), “The DJIA Cross 652,230”, Journal of
Protfolio management, 26(1), 89–93.
[16]Daniel, Kent and Sheridan Titman (1997), “Evidence on the Characteristics
of Cross Sectional Variation in Stock Returns”, Journal of Finance, 52
(1), 1–33.
[17]Fama, E. F. and J. MacBeth (1973), “Risk, Return, and Equilibrium:
Empirical Tests”, Journal of Political Economy, 81(1), 607–636.
[18]Fama, Eugene F. and Kenneth R. French (1992), “The Cross-Section of
Expected Stock Returns”, Journal of Finance, 47(2), 427–465. (1993),
“Common Risk Factors in the Returns on Stocks and Bonds”, Journal
of Financial Economics, 33, 3–56.
[19]Grauer, Robert R. and Johannus A. Janmaat (2004), “The unintended
consequences of grouping in tests of asset pricing models”, Journal of
Banking Finance, 28(1), 2889–2914.
[20]Lintner, J. (1965), “The Valuation of Risk Assets and the Selection of
Risky Investments in Stock Portfolios and Capital Budgets”, Review of
Economics and Statistics, 47(1), 13–37.
[21]Markowitz, HM (1952), “On Portfolio Selection”, Journal of Finance,
7(1), 77–91.
[22]Sharpe, W. F. (1964), “Capital Assets Prices: A Theory of Market
Equilibrium under Conditions of Risk”, Journal of Finance, 19(1),
342–442.