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題名 是否有比歷史平均法更有效預測股票市場溢酬的方法？－以美國市場為例
Is there a way to predict the stock market risk premium better than historical average? Evidence from the US market stock market作者 邱芝螢
Chiu, Jhih-Ying貢獻者 顏佑銘
Yen, Yu-Min
邱芝螢
Chiu, Jhih-Ying關鍵詞 股票市場溢酬
樣本外測試
模型平均法
Stock market premium
Out of sample test
Model averaging日期 2020 上傳時間 3-Aug-2020 17:23:41 (UTC+8) 摘要 本研究乃運用Welch and Goyal(2008)所提出的1945年至2018年的十二項經濟變數資料去預測股票市場溢酬。首先重新檢驗單一變數的樣本內測試(in-sample test)及樣本外測試(out-of-sample test)的結果，接著透過組合變數模型估計，最後再以模型平均法(Model Averaging)建構新的模型。希望藉由新的建構模型方法，比較不同預測模型的預測能力。實證結果發現，以上所建構的模型，皆無法打敗歷史平均法(historical average method)。
In this paper, I use the twelve economic variables of Welch and Goyal (2008) to predict the stock market premium. First of all, I reexamine the in-sample and out-of-sample test. After that, I establish the combination variable to predict the stock market. Finally, I use the model averaging to establish new models. Empirical results display that, the whole models fail to beat the historical average.參考文獻 中文參考文獻1.陳旭昇(2009)，＂時間序列-總體經濟與財務金融與財務金融之應用”，台北:東華書局英文參考文獻1.Ang, Andrew Bekaert, Geert. (2007) “Stock return predictability: Is it there? “, Review of Financial Studies, 651-7072.Baetje, FabianMenkhoff, Lukas.(2016) “Equity premium prediction: Are economic and technical indicators unstable?”, International Journal of Forecasting, 1193-12073.Campbell, John Y.Thompson, Samuel B.( 2008) “Predicting excess stock returns out of sample: Can anything beat the historical average? ”, Review of Financial Studies, 1509-15314.Cenesizoglu, Tolga Timmermann, Allan (2012) “Do return prediction models add economic value?”, Journal of Banking and Finance, 2974-29875.Cochrane, John H.(2008) “The dog that did not bark: A defense of return predictability”, Review of Financial Studies, 1533-15756.Cremers, K. J.Martijn (2002) “Stock Return Predictability: A Bayesian Model Selection Perspective”, Review of Financial Studies, 1223-12497.Hjalmarsson, Erik (2010) “Predicting global stock returns”, Journal of Financial and Quantitative Analysis, 49-808.Li, Jiahan Tsiakas, Ilias (2017) “Equity premium prediction: The role of economic and statistical constraints”, Journal of Financial Markets, 56-759.Neely, Christopher J. Rapach, David E. Tu, Jun Zhou, Guofu (2014) “Forecasting the equity risk premium: The role of technical indicators”, Management Science, 1772-179110.Pettenuzzo, Davide Timmermann, Allan Valkanov, Rossen (2014) “Forecasting stock returns under economic constraints” , Journal of Financial Economics, 517-55311.Paye, Bradley S. Timmermann, Allan (2006) “Instability of return prediction models”, Journal of Empirical Finance, 274-31512.Rapach, David E. Strauss, Jack K. Zhou, Guofu (2010) “Out-of-sample equity premium prediction: Combination forecasts and links to the real economy”, Review of Financial Studies, 821-86213.Welch, Goyal (2008) “A Comprehensive Look at The Empirical Performance of Equity Premium Prediction”, The Review of Financial Studies, 1455-1508 描述 碩士
國立政治大學
國際經營與貿易學系
107351023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107351023 資料類型 thesis dc.contributor.advisor 顏佑銘 zh_TW dc.contributor.advisor Yen, Yu-Min en_US dc.contributor.author (Authors) 邱芝螢 zh_TW dc.contributor.author (Authors) Chiu, Jhih-Ying en_US dc.creator (作者) 邱芝螢 zh_TW dc.creator (作者) Chiu, Jhih-Ying en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:23:41 (UTC+8) - dc.date.available 3-Aug-2020 17:23:41 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:23:41 (UTC+8) - dc.identifier (Other Identifiers) G0107351023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130910 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 107351023 zh_TW dc.description.abstract (摘要) 本研究乃運用Welch and Goyal(2008)所提出的1945年至2018年的十二項經濟變數資料去預測股票市場溢酬。首先重新檢驗單一變數的樣本內測試(in-sample test)及樣本外測試(out-of-sample test)的結果，接著透過組合變數模型估計，最後再以模型平均法(Model Averaging)建構新的模型。希望藉由新的建構模型方法，比較不同預測模型的預測能力。實證結果發現，以上所建構的模型，皆無法打敗歷史平均法(historical average method)。 zh_TW dc.description.abstract (摘要) In this paper, I use the twelve economic variables of Welch and Goyal (2008) to predict the stock market premium. First of all, I reexamine the in-sample and out-of-sample test. After that, I establish the combination variable to predict the stock market. Finally, I use the model averaging to establish new models. Empirical results display that, the whole models fail to beat the historical average. en_US dc.description.tableofcontents 論文審定書 i謝辭 ii摘要 iiiAbstract iv第一章 緒論 1第一節 研究動機與目的 1第二節 研究架構(流程) 2第二章 文獻回顧 3第三章 研究方法 6第一節 單一變數 6第二節 組合變數 6第三節 模型平均 6第四節 預測結果評估 7第四章 實證分析 9第一節 樣本說明 9第二節 單一變數 10第三節 組合變數 17第四節 模型平均 19第五章 結論 23參考文獻 24 zh_TW dc.format.extent 1323103 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107351023 en_US dc.subject (關鍵詞) 股票市場溢酬 zh_TW dc.subject (關鍵詞) 樣本外測試 zh_TW dc.subject (關鍵詞) 模型平均法 zh_TW dc.subject (關鍵詞) Stock market premium en_US dc.subject (關鍵詞) Out of sample test en_US dc.subject (關鍵詞) Model averaging en_US dc.title (題名) 是否有比歷史平均法更有效預測股票市場溢酬的方法？－以美國市場為例 zh_TW dc.title (題名) Is there a way to predict the stock market risk premium better than historical average? Evidence from the US market stock market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文參考文獻1.陳旭昇(2009)，＂時間序列-總體經濟與財務金融與財務金融之應用”，台北:東華書局英文參考文獻1.Ang, Andrew Bekaert, Geert. (2007) “Stock return predictability: Is it there? “, Review of Financial Studies, 651-7072.Baetje, FabianMenkhoff, Lukas.(2016) “Equity premium prediction: Are economic and technical indicators unstable?”, International Journal of Forecasting, 1193-12073.Campbell, John Y.Thompson, Samuel B.( 2008) “Predicting excess stock returns out of sample: Can anything beat the historical average? ”, Review of Financial Studies, 1509-15314.Cenesizoglu, Tolga Timmermann, Allan (2012) “Do return prediction models add economic value?”, Journal of Banking and Finance, 2974-29875.Cochrane, John H.(2008) “The dog that did not bark: A defense of return predictability”, Review of Financial Studies, 1533-15756.Cremers, K. J.Martijn (2002) “Stock Return Predictability: A Bayesian Model Selection Perspective”, Review of Financial Studies, 1223-12497.Hjalmarsson, Erik (2010) “Predicting global stock returns”, Journal of Financial and Quantitative Analysis, 49-808.Li, Jiahan Tsiakas, Ilias (2017) “Equity premium prediction: The role of economic and statistical constraints”, Journal of Financial Markets, 56-759.Neely, Christopher J. Rapach, David E. Tu, Jun Zhou, Guofu (2014) “Forecasting the equity risk premium: The role of technical indicators”, Management Science, 1772-179110.Pettenuzzo, Davide Timmermann, Allan Valkanov, Rossen (2014) “Forecasting stock returns under economic constraints” , Journal of Financial Economics, 517-55311.Paye, Bradley S. Timmermann, Allan (2006) “Instability of return prediction models”, Journal of Empirical Finance, 274-31512.Rapach, David E. Strauss, Jack K. Zhou, Guofu (2010) “Out-of-sample equity premium prediction: Combination forecasts and links to the real economy”, Review of Financial Studies, 821-86213.Welch, Goyal (2008) “A Comprehensive Look at The Empirical Performance of Equity Premium Prediction”, The Review of Financial Studies, 1455-1508 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202001021 en_US
