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題名 實質消費下均衡資本資產評價
Equilibrium Asset Pricing Based on the “Real” Consumption作者 張俊評
Chang, Jun-ping貢獻者 徐燕山
Hsu, Yen-shan
張俊評
Chang, Jun-ping關鍵詞 均衡資產評價
實質消費
共同基金定理
抗通膨資產
Equilibrium Asset Pricing
Real Consumption
Mutual Fund Theroem
The Inflation-Indexed Bond日期 2007 上傳時間 14-Sep-2009 09:06:02 (UTC+8) 摘要 本文以完全規避通膨風險債券資產為評價基礎，推導出三因子實質消費資本資產訂價模型與s+4共同基金定理。三因子分別為實質消費成長因子、消費習慣因子以及情緒性預期偏差因子。情緒性三因子實證部份，橫斷面報酬模型平均解釋力約有61.79%，此實證結果顯示傳統消費資本資產訂價模型中訂價績效表現不佳，是忽略部份重要因素所致。 s+4共同基金為完全規避通膨風險債券資產、投機性巿場投資組合、s個規避實質狀態變數不利於投資機會集合變動之巿場投資組合、規避情緒性預期偏差風險的共同基金以及維持未來整體生活消費型態的共同基金。這之中完全規避通膨風險債券資產可減少巿場共同基金數目和降低交易成本之實質效果。
This thesis derives an inter-temporal asset pricing model in a real-term, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunity. When the inflation-indexed securities are available, a three-factor asset pricing model is derived in terms of real consumption growth, consumption-habit variation, and inflation rate change (or sentimental inflation expectation). Empirical results suggest that the derived asset pricing model in real framework can explain above a 60% of the variation in asset returns. Under the real framework, we demonstrate that s+4 fund separation applies. These funds may be chosen to be: (1) the instantaneously inflation-indexed bond, (2) the market portfolio, (3) the sentimental inflation-related asset, (4) the consumption habit-related asset, and (5) the s portfolios having the high correlations, respectively, with the s state variables.參考文獻 (1) Ait-Sahalia,Y., J.A. Parker and M. Yogo, 2004, “Luxury Goods and the Equity Premium,” Journal of Finance , 59, 2959-3004.
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國立政治大學
財務管理研究所
92357505
96資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923575052 資料類型 thesis dc.contributor.advisor 徐燕山 zh_TW dc.contributor.advisor Hsu, Yen-shan en_US dc.contributor.author (Authors) 張俊評 zh_TW dc.contributor.author (Authors) Chang, Jun-ping en_US dc.creator (作者) 張俊評 zh_TW dc.creator (作者) Chang, Jun-ping en_US dc.date (日期) 2007 en_US dc.date.accessioned 14-Sep-2009 09:06:02 (UTC+8) - dc.date.available 14-Sep-2009 09:06:02 (UTC+8) - dc.date.issued (上傳時間) 14-Sep-2009 09:06:02 (UTC+8) - dc.identifier (Other Identifiers) G0923575052 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31032 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 92357505 zh_TW dc.description (描述) 96 zh_TW dc.description.abstract (摘要) 本文以完全規避通膨風險債券資產為評價基礎，推導出三因子實質消費資本資產訂價模型與s+4共同基金定理。三因子分別為實質消費成長因子、消費習慣因子以及情緒性預期偏差因子。情緒性三因子實證部份，橫斷面報酬模型平均解釋力約有61.79%，此實證結果顯示傳統消費資本資產訂價模型中訂價績效表現不佳，是忽略部份重要因素所致。 s+4共同基金為完全規避通膨風險債券資產、投機性巿場投資組合、s個規避實質狀態變數不利於投資機會集合變動之巿場投資組合、規避情緒性預期偏差風險的共同基金以及維持未來整體生活消費型態的共同基金。這之中完全規避通膨風險債券資產可減少巿場共同基金數目和降低交易成本之實質效果。 zh_TW dc.description.abstract (摘要) This thesis derives an inter-temporal asset pricing model in a real-term, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunity. When the inflation-indexed securities are available, a three-factor asset pricing model is derived in terms of real consumption growth, consumption-habit variation, and inflation rate change (or sentimental inflation expectation). Empirical results suggest that the derived asset pricing model in real framework can explain above a 60% of the variation in asset returns. Under the real framework, we demonstrate that s+4 fund separation applies. These funds may be chosen to be: (1) the instantaneously inflation-indexed bond, (2) the market portfolio, (3) the sentimental inflation-related asset, (4) the consumption habit-related asset, and (5) the s portfolios having the high correlations, respectively, with the s state variables. en_US dc.description.tableofcontents 第壹章 緒論 1 第一節 研究之背景與動機 1 Ⅰ 資產配置部份 Ⅱ 資產訂價部份 第二節 研究目的 3 第三節 研究架構 6 第四節 研究流程 7 第貳章 相關文獻回顧 8 第一節 實質消費能力變化下訂價效果 8 第二節 生活消費型態變化下訂價效果 10 第三節 預期行為偏差程度下訂價效果 12 第四節 共同基金定理 16 第叁章 巿場結構與模型設定 20 第一節 巿場結構 20 Ｉ 投資人特質與巿場基本機制 第二節 模型基本設定 21 Ｉ 動態投資機會集合與實質狀態變數集合 Ⅱ 名目財富與實質財富限制式 Ⅲ 實質投資人目標效用函數 第肆章 實質經濟體系下的共同基金定理與均衡資產價格 28 第一節 消費成長、資產配置以及共同基金定理 28 Ｉ 名目消費決定性因素 Ⅱ 消費成長動態過程 Ⅲ 實質投資人最適投資組合 第二節 實質均衡條件 33 第三節 實質均衡下資本資產訂價模型 34 Ｉ Merton(1973) ICAPM與 Breeden(1979) CCAPM簡單介紹 Ⅱ 實質跨期資本資產訂價模型(Real ICAPM) Ⅲ 實質消費資本資產訂價模型(Real CCAPM) 第伍章 三因子實質消費資本資產訂價模型 43 第陸章 檢定資料、研究期間與重要變數說明 51 第一節 檢定資料 51 Ｉ 被檢定資產報酬資料 Ⅱ 總體經濟資料與研究期間 第二節 重要變數說明 52 第柒章 實證模型與方法以及實證結果 53 第一節 實證模型與方法 53 Ｉ 橫斷面迴歸實證模型 Ⅱ 條件式橫斷面迴歸實證模型 Ⅲ 實證方法 第二節 實證結果 60 第捌章 結論與未來研究建議 64 參考文獻 65 註解 76 附錄 86 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923575052 en_US dc.subject (關鍵詞) 均衡資產評價 zh_TW dc.subject (關鍵詞) 實質消費 zh_TW dc.subject (關鍵詞) 共同基金定理 zh_TW dc.subject (關鍵詞) 抗通膨資產 zh_TW dc.subject (關鍵詞) Equilibrium Asset Pricing en_US dc.subject (關鍵詞) Real Consumption en_US dc.subject (關鍵詞) Mutual Fund Theroem en_US dc.subject (關鍵詞) The Inflation-Indexed Bond en_US dc.title (題名) 實質消費下均衡資本資產評價 zh_TW dc.title (題名) Equilibrium Asset Pricing Based on the “Real” Consumption en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) (1) Ait-Sahalia,Y., J.A. Parker and M. Yogo, 2004, “Luxury Goods and the Equity Premium,” Journal of Finance , 59, 2959-3004. zh_TW dc.relation.reference (參考文獻) (2) Andolfatto, D., and D. Simon, 2005, “Are Inflation Expectations Rational?” Working Paper, Fraser University and University of Moran. zh_TW dc.relation.reference (參考文獻) (3) Baker M., and J. Wurgler, 2004, “A Catering Theory of Dividends,” Journal of Finance, 59, ll25-1165. zh_TW dc.relation.reference (參考文獻) (4) Baker, M., and J. Wurgler, 2007, “Investor Sentiment and the Cross-Section of Stock Returns,” Journal of Finance, 61, 1645-1680. zh_TW dc.relation.reference (參考文獻) (5) Baker, M., and J. Wurgler, 2007, “Investor Sentiment in the Stock Market,” Journal of Economic Perspectives, Forthcoming. zh_TW dc.relation.reference (參考文獻) (6) Bakshi, G., and Z. 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