風險與股票報酬之跨期抵換關係─以台灣上市公司為例

Abstract

本文藉由市值規模與淨值市價比兩種橫斷面的分類標準來建構投資組合，研究台灣上市公司其風險與股票報酬的關係。先利用雙變量BEKK-GARCH模型捕捉台灣上市公司投資組合與美國股市的波動傳遞性(即條件共變異數)，並延伸Merton(1973)跨期資本資產定價模型(ICAPM)，加入總體經濟變數股利收益率、公司特徵變數，與條件共變異數共同考量風險對於投資組合預期報酬的影響。\n\n\n實證結果顯示，條件共變異數在大部分情況下是不能夠解釋投資人的預期報酬，與Baillie與DeGennaro(1990)、Campbell與Hentchel(1992)的結論相同。投資人的預期報酬與股利收益率呈現負向且顯著的關係，代表景氣衰退時，伴隨著風險增加，投資人要求較高的報酬率。SMB與HML公司特徵變數能夠解釋台灣上市公司的股票報酬，存在規模效應，且投資人對於價值型的股票擁有較高的預期報酬。

This paper explores the intertemporal relation between risk and stock returns for a cross section of size/book-to-market portfolios with listed companies in Taiwan. We use the BEKK bivariate generalized autoregressive conditional heteroskedasticity (BEKK-GARCH) model to estimate a portfolio’s conditional covariance with the stock market of United States, and then extend Intertemporal Capital Asset Pricing Model (ICAPM), adding macroeconomic variable-dividend to price ratio, firm characteristic variables\nto evaluate risk how to affect the expected return of portfolios.\n\n\nThe empirical results showed conditional covariance cannot evaluate the expected return, consistent with the results of Baillie and DeGennaro (1990) and Campbell and Hentchel (1992). The relation between dividend-price ratio and the expected return is significant negative, meaning investors need higher expected return for higher risk during recession. Firm characteristic variables, such as SMB and HML, can evaluate the expected return, and there is size effect in listed companies in Taiwan. Also, investors have higher expected return for value stocks relative growth stocks.