企業創新效率之六因子資產定價模型

An Innovation-Augmented Six-Factor Asset Pricing Model

本文實證分析加入創新效率因子之六因子資產定價模型，其他五因子為市場溢酬因子、市值規模因子、帳面市值比因子、獲利能力因子、以及投資策略因子。實證結果發現，創新效率因子對股票報酬之解釋力不顯著，至於市場溢酬因子與市值規模因子則與文獻一致，維持高度顯著解釋力，獲利能力因子與投資策略因子亦呈現顯著，然而，帳面市值比因子雖因獲利能力因子與投資策略因子之加入模型中，其部分解釋力為其所取代，惟本實證結果尚不足以推論帳面市值比因子應自資產定價模型中去除。 This paper empirically examines an innovation-augmented six-factor asset pricing model. In addition to the innovative efficiency factor, the other factors in the model include market premium factor, market size factor, book-to-market ratio factor, profitability factor, and investment strategy factor. We find that the innovative efficiency factor has an insignificant impact on stock returns. Market premium factor and market size factor remain their high significant impacts as prior studies have found. We also find that the impacts of profitability factor and investment strategy factor are significant. However, the impact of book-to-market ratio factor decreases with the inclusion of the profitability factor and the investment strategy factor in the model. Nonetheless, we cannot infer that the book-to-market ratio factor should be excluded from the model.