An Investigation on the Risk-Return Relationship in Taiwan Stock Market: The D-CAPM Approach

[[abstract]]本研究在考慮下方風險的情況下，利用Estrada（2002）所提出之D-CAPM模型，以台灣股票市場為研究對象，同時比較CAPM模型與D-CAPM模型在不同投資組合下，對平均報酬之解釋能力。實證結果發現：（1）考慮下方風險之D-CAPM模型，所估計之系統風險值，較CAPM模型為高；（2）在「電子類股」投資組合上，D-CAPM模型之風險變數（β^D）對於預期報酬率之預測能力，明顯高於CAPM模型；（3）在資訊透明度較佳之台灣五十與摩根台指成分股上，傳統CAPM模型之風險變數（σ與β），則較考慮下方風險下D-CAPM模型之風險變數（Σ與β^D），對於預期報酬率有較佳之解釋能力。[[abstract]]This paper takes the downside risk into account in the D-CAPM model proposed by Estrada (2002) to investigate the risk-return relationship in Taiwan stock market. In addition, we compare the explanatory power of several stock portfolios by using the betas from CAPM and downside betas from D-CAPM model. The empirical results show that: First, the systematic risk estimated from D-CAPM model is larger than the risk obtained from CAPM model. Second, in Electronic Sector stock portfolio, the risk variables (β^D) based on D-CAPM model clearly have greater explanatory power than those based on CAPM model. Third, in the constituent stocks for Taiwan 50 index and MSCI Taiwan index usually considered to have better information transparency, we find that the risk variables (σ and β) based on CAPM model have better capabilities of explaining the average returns than the risk variables (Σ and β^D) based on D-CAPM model