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題名 台灣長期股票市場風險溢酬之實證研究
作者 蘇皓毅
Su Haw Yih
貢獻者 周行一
蘇皓毅
Su Haw Yih
關鍵詞 風險溢酬
平均股票報酬模式
股利成長模式
盈餘成長模式
淨值市值比
行為財務學
日期 2002
上傳時間 18-九月-2009 13:22:42 (UTC+8)
摘要 本研究針對台灣股票市場自民國51年2月9日至民國91年12月31日，對股票報酬率與風險溢酬進行實證研究，並且依據Fama與French的方法論，依照台灣發行量加權股價指數(TAIEX)的標準進行資料採樣，以平均股票報酬模式(average stock return model)、股利成長模式(dividend growth model)與盈餘成長模式(earning growth model)來進行估計，研究結果發現台灣股票市場的風險溢酬相較於以美國為主的已開發市場，呈現較高水準的風險溢酬與高度的變異性，此外，在經由變異數調整後，依據基本分析方法(股利成長模式與盈餘成長模式)所衡量的風險溢酬較具一致性，並且股利成長模式為較優秀的風險溢酬估計式，其原因包括其在各個投資期間有較低的標準差，以及在數值上呈現了一致性。
另外，在實質股利成長率與盈餘成長率的預估上，無論是一年期或二年期的預測力都相當低。股利股價比(Dt/Pt)與盈餘股價比(Yt/Pt)在近年呈現下滑的趨勢，根據價值分析理論，暗示未來股票報酬率有可能降低，然而，依據淨值市值比(BE/ME) 效應，則出現與前述推論不一致的結果。
不過，三種模式的風險溢酬皆高於平均收益報酬率A(Yt/Bt-1)，顯示投資報酬率低於資金成本，違反投資淨現值大於零的原則，因此依賴基本分析對台灣這類新興市場進行分析可能存在適用上的問題。為加強對台灣股票市場的解釋，本研究另加入其它觀點與行為財務學角度的解釋，來說明台灣股票市場高風險溢酬與高變異的特性。
Abstract
This thesis is an empirical analysis of the risk premium of Taiwan’s equity market. The sample period covers 1962/2/9 - 2002/12/31. My methodology is based on the average stock return model, dividend growth model, and earning growth model suggested by Fama and French (2002). In contrast to the United States, which is a developed market, my empirical results indicate that Taiwan’s equity market is characterized by high risk premium and high volatility. In addition, fundamental analyses (dividend growth model and earning growth model) yield similar results. But the dividend growth model has the best forecasting ability of the three models because of its high consistency and low variability.
The real dividend growth rate and the real earning growth rate have low predictability of one- and two-year growth rates in the future. The Dt/Pt and Yt/Pt ratio decrease in recent years, implying that future equity premium will decrease. However, the BE/ME ratio does not behave similarly.
Surprisingly, the equity premium of all three models is grater than the average real income return on book equity. The expected stock return exceeding the expected income return on book equity implies that typical corporate investments have negative net present value. Thus, applying fundamental analysis to an emerging market such as Taiwan may not be suitable. I try to provide sensible explanations for my findings on the Taiwan’s equity market by referencing viewpoints expressed in the behavioral finance literature and other literatures.
參考文獻 中文部分
1. 臺灣證券交易所四十週年特刊 臺灣證券交易所 2002年2月
2. 基本分析在台灣股市應用的訣竅 杜金龍 1999年6月
3. 周行一、陳怡雯(2001)，“台灣證券交易所發行量加權股價指數位納入現金股利再投資收益因素對投資報酬率的影響及基金績效衡量的影響”，證券市場發展季刊，53期，P1-24
4. 周行一、黃寬彥(2002)，“台灣股票市場的長期績效”， Working Paper
5. 龔怡霖(2000)，“行為財務學–文獻回顧與未來發展”，國立中央大學/財務管理研究所未出版碩士論文
6. 江宏儒(2002)，“股票市場從眾行為之探討：新興市場與已開發國家之比較”，國立高雄第一科技大學財務管理所未出版碩士論文
7. 台灣證券交易所網站，http://www.tse.com.tw/
8. 行政院主計處網站，http://www.dgbas.gov.tw/
西文部分
1. Avery C.,P.Zemsky (1998),“Multidimensional uncertainty and herd behavior in financial markets”, American Economic Review,88, 724-748.
2. Benartzi, S. and R. Thaler (1995),“Myopic loss aversion and the equity premium puzzle,” Quarterly Journal of Economics 110, 75-92.
3. Blanchard, Olivier, J. (1993), ”Movements in the equity premium”, Brooking Papers on Economic Activity 2, 75-138.
4. Brown, Stephen J.,William N.Goetzmann, Stephen A .Ross (1995),”Survival” ,Journal of Finance, July,50, 853-874.
5. Campbell, John Y. (1991), ”A variance decomposition for stock returns”, Economic Journal, 101, 157-179.
6. Campbell, John Y., Robert J. Shiller (1998), ”Valuation ratios and the long-run stock market outlook”, Journal of Portfolio Management 24, 11-26.
7. Chan, Louis K. C., Y. Hamao, J. Lakonishak (1991),”Fundamentals and Stock Returns in Japan”, Journal of Finance,46(5),1739-1789.
8. Chester R Schneider (2001), ”Death of the risk premium exaggerated”, Pensions & Investments, Chicago, Vol. 29, 14.
9. Chrstie,W.G.,R.D.Huang (1995),”Following the Pied Piper: Do Individual return herd around the market? ”, Financial Analyst Journal, 31-37.
10. Claus, James, Jacob Thomas (2001), ”Equity premium as low as three percent: Evidence from analysts’ earnings forecasts for domestic and international stock markets”, Journal of Finance 56, October, forthcoming.
11. Cochrane, John (1991), ”Volatility tests and efficient markets: A review essay”, Journal of Monetary Economics 27, 463-487.
12. Cochrane, John H. (1994), ”Permanent and transitory components of GNP and stock prices”, Quarterly Journal of Economics 109, 241-265.
13. Cootner, Paul H. (1962), “Stock Price: Random Versus Systematic Changes.” International Management Review.
14. Cutler, D., J. Porterba and L. Summers (1991),“Speculative dynamics,” Review of Economic Studies 58, 529-46.
15. De Bondt, W. F. M. and R. H. Thaler (1985),“Does the stock market overreact?” Journal of Finance 40, 793-808.
16. Devenow A., I. Welch (1996),“Rational Herding in Financial Economics,” European Economic Review 40, 603-615.
17. Fama Eugene F., Kenneth R. French (1992), “The cross-section of expected stock returns, ” Journal of Finance, 47, 427-465.
18. Fama Eugene F., Kenneth R. French (1988), “Permanent and temporary components of stock prices.” Journal of Political Economy , Vol 98, 246-274.
19. Fama, Eugene F., and Kenneth R. French (2001), ”The Equity Premium”, Journal of Finance 57, 637-659.
20. Fant, L. F., D. R. Peterson (1995), ” The effect of size, book-to- market equity, prior returns, and beta on stock returns：January versus the remainder of the year”, Jouh, 18, 129-142. rnal of Financial Researc
21. Gebhardt, William R., Charles M. C. Lee, Bhaskaram Swaminathan, (2001), ”Toward an implied cost of capital”, Journal of Accounting Research 39, June, forthcoming.
22. Gordon, Myron, (1962), ”The Investment Financing and Valuation of the Corporation ”,Irwin, Homewood, IL.
23. Harvey, Campbell R. (1995),”Predictable risk and returns in emerging markets”, Review of Financial Studies, v8,n3, 773-816.
24. Ibbotson Associates (2001),”Stocks,Bonds,Bills,and Inflation:2000 Yearbook Chicago, IL:Ibbotson Associates.
25. Kendall, M.G. (1953), “The Analysis of Economic Time Series, Part I: Prices.” Journal of the Royal Statistical Society, 96, 11-25.
26. LeRoy, S. F. and R. D. Porter (1981),“Stock price volatility: a test based on implied variance bounds,” Econometrica 49, 97-113.
27. Lopes, Lola (1987),“ Between hope and fear: the psychology of risk.,” Advances In Experimental Social Psychology 20, 255-295.
28. Louis K. C. Chen,Jason Karceski, Josef Lakonshok (2003), ”The level and persistence of growth rates” , Journal of Finance ,No2, 643-684.
29. Markowitz, H.M (1952),”Portfolio Selection” ,Journal of Finance , 79-91.
30. Mehra, Rajnish, and Edward Prescott (1985),”The equity premium: A puzzle” ,Journal of Monetary Economics 15, 145-161.
31. Mimi Lord (2002), ”Is the equity risk premium still thriving, or a thing of the past? ”, Journal of Financial Planning, Denver, Vol. 15, 62-68.
32. Mossin, J. (1966), ”Equilibrium in a Capital Asset Market”, Econometrica , Vol. 34, 768-783.
33. Olsen, Robert A. (1998),“Behavioral finance and its implications for stock-price volatility,” Financial Analysts Journal March/April, 10 -18.
34. Philippe Jorion, William N.Goetzmann (1999), “Global Stock Markets in the Twentieth Century”, Journal of Finance 57, 953-980.
35. Poterba, James M., Lawrence H. Summers (1988), “Mean Reversion in Stock Price : Evidence and Implications”, Journal of Financial Economics , 27-59.
36. Reitz,Thomas (1988),”The Equity Risk Premium：A Solution？” , Journal of Monetary Economics, 117-132.
37. Robert D.Arnott and Ronald J.Ryan (2001), ”The Death of the Risk Premium”, The Journal of Portfolio Management , 61-74.
38. Robert D Arnott, Peter L. Bernstein (2002), ”What risk premium is "normal？ ”, Financial Analysts Journal, Charlottesville, Vol. 58, 64-85.
39. Sharfstein, D.,J.Stein (1990), ”Herding behavior and investment”, American Economics Review,80, 465-479.
40. Sharp, W. F. (1964), ”Capital Asset Prices: A Theory of Market Equilibrium under Condition of Risk”, Journal of Finance, Vol.19 , 425-442.
41. Shefrin, H. and Meir Statman (1994),“Behavioral capital asset pricing theory” , Journal of finance and quantitative analysis vol.29 no.3 ( September ),323-49.
42. Shefrin, H., R. Thaler (1998),“The behavioral life of cycle hypothesis,” Economic Inquiry 24, 609-643.
43. Shiller, R. J. (1979),“The volatility of long term interest rates and expectations models of the term structure,” Journal of Political Economy 87, 1190-1219.
44. Shiller, R. J. (1981),“Do stock prices move too much to be justified by subsequent changes in dividends?” American Economic Review 71, 421-498.
45. Shleifer, A. and L. Summers (1990),“The noise trader approach to finance,” Journal of Econometrics 4(2), 19-23.
46. Siegel, Jeremy J.(1992), ”The Equity Premium：Stock and Bond Returns Since 1802”, Financial Analysts Journal, 123-136.
47. Siegel, J. (1998), ” Stocks for the long run”, 2nd edition, New York, McGraw- Hill.
48. Summers H. Lawrence (1986), “Does the Stock Market Rationally Reflect Fundamental Values?” The Journal of Finance, Vol XLI, No.3.
49. Thaler, R. H. (1985),“Mental accounting and consumer choice,” Marketing Science4, 199-214.
50. Tversky, A., D. Kahneman (1974),“Judgment under uncertainty: Heuristics and Biases,” Science 185, 1124-1131.
51. Tversky, A., D. Kahneman (1979),“Prospect theory : An analysis of decision under risk,” Econometrica vol.47 no.2, 263-91.
52. Tversky, A., and D. Kahneman (1983),“Extensional versus intuitive reasoning: the conjunction fallacy in probability judgment,” Psychological Review 90, 293-315.
53. William J.B. (1956),”The Theory of Investment Value”, Amsterdam: North-Holland.
54. William Reichenstein (2002) ,”What Do Past Stock Market Returns Tell Us About the Future？”, Journal of Financial Planning, Denver, Vol.15, 72-83.
描述 碩士
國立政治大學
企業管理研究所
90355001
91
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0090355001
資料類型 thesis
dc.contributor.advisor 周行一zh_TW
dc.contributor.author (作者) 蘇皓毅zh_TW
dc.contributor.author (作者) Su Haw Yihen_US
dc.creator (作者) 蘇皓毅zh_TW
dc.creator (作者) Su Haw Yihen_US
dc.date (日期) 2002en_US
dc.date.accessioned 18-九月-2009 13:22:42 (UTC+8)-
dc.date.available 18-九月-2009 13:22:42 (UTC+8)-
dc.date.issued (上傳時間) 18-九月-2009 13:22:42 (UTC+8)-
dc.identifier (其他 識別碼) G0090355001en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34939-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理研究所zh_TW
dc.description (描述) 90355001zh_TW
dc.description (描述) 91zh_TW
dc.description.abstract (摘要) 本研究針對台灣股票市場自民國51年2月9日至民國91年12月31日，對股票報酬率與風險溢酬進行實證研究，並且依據Fama與French的方法論，依照台灣發行量加權股價指數(TAIEX)的標準進行資料採樣，以平均股票報酬模式(average stock return model)、股利成長模式(dividend growth model)與盈餘成長模式(earning growth model)來進行估計，研究結果發現台灣股票市場的風險溢酬相較於以美國為主的已開發市場，呈現較高水準的風險溢酬與高度的變異性，此外，在經由變異數調整後，依據基本分析方法(股利成長模式與盈餘成長模式)所衡量的風險溢酬較具一致性，並且股利成長模式為較優秀的風險溢酬估計式，其原因包括其在各個投資期間有較低的標準差，以及在數值上呈現了一致性。
另外，在實質股利成長率與盈餘成長率的預估上，無論是一年期或二年期的預測力都相當低。股利股價比(Dt/Pt)與盈餘股價比(Yt/Pt)在近年呈現下滑的趨勢，根據價值分析理論，暗示未來股票報酬率有可能降低，然而，依據淨值市值比(BE/ME) 效應，則出現與前述推論不一致的結果。
不過，三種模式的風險溢酬皆高於平均收益報酬率A(Yt/Bt-1)，顯示投資報酬率低於資金成本，違反投資淨現值大於零的原則，因此依賴基本分析對台灣這類新興市場進行分析可能存在適用上的問題。為加強對台灣股票市場的解釋，本研究另加入其它觀點與行為財務學角度的解釋，來說明台灣股票市場高風險溢酬與高變異的特性。		zh_TW
dc.description.abstract (摘要) Abstract
This thesis is an empirical analysis of the risk premium of Taiwan’s equity market. The sample period covers 1962/2/9 - 2002/12/31. My methodology is based on the average stock return model, dividend growth model, and earning growth model suggested by Fama and French (2002). In contrast to the United States, which is a developed market, my empirical results indicate that Taiwan’s equity market is characterized by high risk premium and high volatility. In addition, fundamental analyses (dividend growth model and earning growth model) yield similar results. But the dividend growth model has the best forecasting ability of the three models because of its high consistency and low variability.
The real dividend growth rate and the real earning growth rate have low predictability of one- and two-year growth rates in the future. The Dt/Pt and Yt/Pt ratio decrease in recent years, implying that future equity premium will decrease. However, the BE/ME ratio does not behave similarly.
Surprisingly, the equity premium of all three models is grater than the average real income return on book equity. The expected stock return exceeding the expected income return on book equity implies that typical corporate investments have negative net present value. Thus, applying fundamental analysis to an emerging market such as Taiwan may not be suitable. I try to provide sensible explanations for my findings on the Taiwan’s equity market by referencing viewpoints expressed in the behavioral finance literature and other literatures.		en_US
dc.description.tableofcontents 第一章緒論.......................................................................1
1.1 研究動機與目的.......................................................................1
1.2 研究範圍與限制.......................................................................3
1.3 研究架構.......................................................................4
第二章理論基礎與文獻探討.......................................................................7
2.1 資本資產定價模型 ......................................................................7
2.2 美國風險溢酬之實證研究.......................................................................7
2.3 美國以外其他國家之風險溢酬實證研究..................................................................... 14
2.4 行為財務學觀點..................................................................... 16
2.4.1 損失趨避..................................................................... 16
2.4.2 過度反應..................................................................... 18
2.4.3 從眾行為..................................................................... 19
2.5 淨值市值比..................................................................... 19
第三章研究方法..................................................................... 21
3.1 平均股票報酬模式..................................................................... 21
3.2 股利成長模式..................................................................... 21
3.3 盈餘成長模式..................................................................... 22
3.4 風險溢酬..................................................................... 22
3.5 夏普指數..................................................................... 23
3.6 複迴歸分析..................................................................... 23
3.6.1 一年期實質股利成長率預估..................................................................... 23
3.6.2 二年期實質股利成長率預估..................................................................... 24
3.6.3 一年期實質盈餘成長率預估..................................................................... 24
3.6.4 二年期實質盈餘成長率預估..................................................................... 24
3.7 風險溢酬之調整..................................................................... 25
3.8 平均收益報酬率..................................................................... 26
第四章實證結果分析.......................................... ...... ....................27
4.1 資料選取與變數定義......................................................................27
4.1.1 研究期間..................................................................... 27
4.1.2 資料來源..................................................................... 27
4.2 實質股利率..................................................................... 36
4.3 通貨膨脹率..................................................................... 37
4.4 不含金融保險類股之市場風險溢酬..................................................................... 38
4.5 金融保險類股風險溢酬..................................................................... 39
4.6 包含金融保險類股之市場風險溢酬..................................................................... 41
4.7 投資期間分析..................................................................... 43
4.7.1 二十年投資期間..................................................................... 43
4.7.2 十年投資期間..................................................................... 44
4.7.3 五年投資期間..................................................................... 47
4.7.4 以股市高點為分界(79.2.10) ............................................................. 48
4.7.5 美國與台灣同期比較..................................................................... 50
4.8 複迴歸分析..................................................................... 52
4.8.1 實質股利成長率預估..................................................................... 52
4.8.2 實質盈餘成長率預估..................................................................... 53
4.9 股利股價比與盈餘股價比之平均數復歸特性..................................................................... 55
4.10 調整後風險溢酬..................................................................... 57
4.11 淨值市值比..................................................................... 58
4.12台灣風險溢酬現象之解釋..................................................................... 60
4.12.1無風險利率的趨勢......................................................................60
4.12.2生存者偏誤..................................................................... 61
4.12.3平均數復歸與平均數背離..................................................................... 61
4.13 行為財務學觀點之解釋..................................................................... 62
4.13.1 短視的損失驅避..................................................................... 62
4.13.2 過度反應與從眾行為..................................................................... 63
第五章結論與建議..................................................................... 65
5.1 結論..................................................................... 65
5.2 後續研究建議..................................................................... 68
參考文獻..................................................................... 69		zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0090355001en_US
dc.subject (關鍵詞) 風險溢酬zh_TW
dc.subject (關鍵詞) 平均股票報酬模式zh_TW
dc.subject (關鍵詞) 股利成長模式zh_TW
dc.subject (關鍵詞) 盈餘成長模式zh_TW
dc.subject (關鍵詞) 淨值市值比zh_TW
dc.subject (關鍵詞) 行為財務學zh_TW
dc.title (題名) 台灣長期股票市場風險溢酬之實證研究zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文部分zh_TW
dc.relation.reference (參考文獻) 1. 臺灣證券交易所四十週年特刊 臺灣證券交易所 2002年2月zh_TW
dc.relation.reference (參考文獻) 2. 基本分析在台灣股市應用的訣竅 杜金龍 1999年6月zh_TW
dc.relation.reference (參考文獻) 3. 周行一、陳怡雯(2001)，“台灣證券交易所發行量加權股價指數位納入現金股利再投資收益因素對投資報酬率的影響及基金績效衡量的影響”，證券市場發展季刊，53期，P1-24zh_TW
dc.relation.reference (參考文獻) 4. 周行一、黃寬彥(2002)，“台灣股票市場的長期績效”， Working Paperzh_TW
dc.relation.reference (參考文獻) 5. 龔怡霖(2000)，“行為財務學–文獻回顧與未來發展”，國立中央大學/財務管理研究所未出版碩士論文zh_TW
dc.relation.reference (參考文獻) 6. 江宏儒(2002)，“股票市場從眾行為之探討：新興市場與已開發國家之比較”，國立高雄第一科技大學財務管理所未出版碩士論文zh_TW
dc.relation.reference (參考文獻) 7. 台灣證券交易所網站，http://www.tse.com.tw/zh_TW
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