自從1960年代資本資產定價理論(Capital Assets Pricing Model,CAPM)問世後，CAPM的諸多相關假設便一直備受爭議，本研究欲藉由模型的修正，以臺灣股票市場中21檔分類股之條件與非條件系統風險與類股報酬率之間的關係，來證明CAPM於理論上的重要性，進而使上述基於CAPM所發展而來的指標與研究方法能繼續使用。同時利用該修正後模型，以金融類股指數報酬率做為市場報酬率之替代變數，研究各金控公司之系統風險於金控成立前後之改變狀況。研究期間自1997年1月至2004年8月。研究方法為二階段迴歸法、條件化模型及事件研究法。研究結果顯示非條件化模型中系統風險與報酬率無顯著關係，條件化模型則兩者間具有同向關係；此外金控公司成立後多數較原先未成立前之系統風險為高。 This paper examines the relationship between conditional and unconditional systematic risk against stock return for twenty-one categories in Taiwan’s stock market. The study period starts from Jan. 1997 to Aug. 2004 and key data are retrieved from AREMOS and TEJ. This paper uses the two-stage regression method, conditional model and event study. The results show that there has no significant relationship between unconditional systematic risk and equity return. However, a significant two-way relationship exists between conditional systematic risk and equity return. In addition, most financial holding companies have higher system risk than ever.
