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題名 人口結構變化對股票市場報酬影響
The impact of demographic changes to stock market returns
作者 張丁互
Chang, Din Hu
貢獻者 周冠男
Robin K. Chou
張丁互
Chang, Din Hu
關鍵詞 人口結構
生命週期假說
股票報酬
demographic change
life-cycle hypothesis
equity return
日期 2015
上傳時間 1-三月-2016 10:27:17 (UTC+8)
摘要 This study examine the reactions in different portfolios under demographic changes for a deeper scope of the equity market. By six features: 1) beta 2) volatility 3) non-systematic risk 4) size 5) B/M 6) D/P, we distribute stocks into high or low level groups and test the reactions in each of these 12 portfolio. Empirical results in this study do suggest an increasing required risk premium for a growing population in retired-age (65+) group and a decreasing required risk premium for a growing population in middle-aged (44-64) group. Both effects in middle- and retired-age groups are stronger in a long time-horizon. Changes in demographic structure significantly add explanatory power to equity premium regressions involving Fama-French three factors. Moreover, we found retired-age population significantly demand more premium for high volatility stocks, growth stocks and large-cap stocks. However, there is no preference for any types of stock in middle-age population.
參考文獻 1. Abel, A. B. (2003). The effects of a baby boom on stock prices and capital accumulation in the presence of social security. Econometrica, 71(2), 551-578.
2. Ando, A., & Modigliani, F. (1963). The" life cycle" hypothesis of saving: Aggregate implications and tests. The American economic review, 55-84.
3. Ang, A., & Maddaloni, A. (2003). Do demographic changes affect risk premiums? Evidence from international data (No. w9677). National Bureau of Economic Research.
4. Arnott, R. D., & Chaves, D. B. (2012). Demographic changes, financial markets, and the economy. Financial Analysts Journal, 68(1), 23-46.
5. Bakshi, G. S., & Chen, Z. (1994). Baby boom, population aging, and capital markets. Journal of Business, 165-202.
6. Brooks, R. (2000). Life cycle portfolio choice and asset market effects of the baby boom. International Monetary Fund.
7. Davis, E. P. (2007). How will ageing affect the structure of financial markets.
8. Davis, E. P., & Li, C. (2003). Demographics and financial asset prices in the major industrial economies.
9. Dent Jr, H. (1993). The Great Boom Ahead-Your Comprehension Guide to Personal and Business Profit in the New Era of Prosperity.
10. Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1997). Demographics and international investments. Financial Analysts Journal, 53(4), 14-28.
11. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
12. Goyal, A. (2004). Demographics, stock market flows, and stock returns. Journal of Financial and Quantitative Analysis, 39(01), 115-142.
13. Modigliani, F. (1986). Life cycle, individual thrift, and the wealth of nations. The American Economic Review, 297-313.
14. Modigliani, F., & Brumberg, R. (1954). Utility analysis and the consumption function: An interpretation of cross-section data. Franco Modigliani, 1.
15. Shefrin, H. M., & Thaler, R. H. (1988). The behavioral life-cycle hypothesis.Quasi Rational Economics, 91-126.
16. Shiller, R. J. (2000). Irrational exuberance. Princeton UP.
17. Sterling, W., Waite, S., & O`Neill, B. (1999). Boomernomics: The future of your money in the upcoming generational warfare.
18. United Nations. Dept. of Economic. (2013). World population ageing, 1950-2050. New York: United Nations.
19. Yoo, P. S. (1994). Age distributions and returns of financial assets. Federal Reserve Bank of St. Louis Working Paper Series, (1994-002).
描述 碩士
國立政治大學
財務管理研究所
102357032
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357032
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Robin K. Chouen_US
dc.contributor.author (作者) 張丁互zh_TW
dc.contributor.author (作者) Chang, Din Huen_US
dc.creator (作者) 張丁互zh_TW
dc.creator (作者) Chang, Din Huen_US
dc.date (日期) 2015en_US
dc.date.accessioned 1-三月-2016 10:27:17 (UTC+8)-
dc.date.available 1-三月-2016 10:27:17 (UTC+8)-
dc.date.issued (上傳時間) 1-三月-2016 10:27:17 (UTC+8)-
dc.identifier (其他 識別碼) G0102357032en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/81462-
dc.description (描述) 碩士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) 102357032zh_TW
dc.description.abstract (摘要) This study examine the reactions in different portfolios under demographic changes for a deeper scope of the equity market. By six features: 1) beta 2) volatility 3) non-systematic risk 4) size 5) B/M 6) D/P, we distribute stocks into high or low level groups and test the reactions in each of these 12 portfolio. Empirical results in this study do suggest an increasing required risk premium for a growing population in retired-age (65+) group and a decreasing required risk premium for a growing population in middle-aged (44-64) group. Both effects in middle- and retired-age groups are stronger in a long time-horizon. Changes in demographic structure significantly add explanatory power to equity premium regressions involving Fama-French three factors. Moreover, we found retired-age population significantly demand more premium for high volatility stocks, growth stocks and large-cap stocks. However, there is no preference for any types of stock in middle-age population.en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature review and Hypothesis 6
2.1 Literature review 6
2.2 Hypothesis development 12
3. Data and Methodology 14
3.1 Data Description 14
3.2 Methodology 16
4. Empirical result 20
4.1 Portfolio returns 20
4.2 Multi-Year regression 25
5. Conclusion 37
6. Reference 38
Appendix 40		zh_TW
dc.format.extent 1494856 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357032en_US
dc.subject (關鍵詞) 人口結構zh_TW
dc.subject (關鍵詞) 生命週期假說zh_TW
dc.subject (關鍵詞) 股票報酬zh_TW
dc.subject (關鍵詞) demographic changeen_US
dc.subject (關鍵詞) life-cycle hypothesisen_US
dc.subject (關鍵詞) equity returnen_US
dc.title (題名) 人口結構變化對股票市場報酬影響zh_TW
dc.title (題名) The impact of demographic changes to stock market returnsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Abel, A. B. (2003). The effects of a baby boom on stock prices and capital accumulation in the presence of social security. Econometrica, 71(2), 551-578.
2. Ando, A., & Modigliani, F. (1963). The" life cycle" hypothesis of saving: Aggregate implications and tests. The American economic review, 55-84.
3. Ang, A., & Maddaloni, A. (2003). Do demographic changes affect risk premiums? Evidence from international data (No. w9677). National Bureau of Economic Research.
4. Arnott, R. D., & Chaves, D. B. (2012). Demographic changes, financial markets, and the economy. Financial Analysts Journal, 68(1), 23-46.
5. Bakshi, G. S., & Chen, Z. (1994). Baby boom, population aging, and capital markets. Journal of Business, 165-202.
6. Brooks, R. (2000). Life cycle portfolio choice and asset market effects of the baby boom. International Monetary Fund.
7. Davis, E. P. (2007). How will ageing affect the structure of financial markets.
8. Davis, E. P., & Li, C. (2003). Demographics and financial asset prices in the major industrial economies.
9. Dent Jr, H. (1993). The Great Boom Ahead-Your Comprehension Guide to Personal and Business Profit in the New Era of Prosperity.
10. Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1997). Demographics and international investments. Financial Analysts Journal, 53(4), 14-28.
11. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
12. Goyal, A. (2004). Demographics, stock market flows, and stock returns. Journal of Financial and Quantitative Analysis, 39(01), 115-142.
13. Modigliani, F. (1986). Life cycle, individual thrift, and the wealth of nations. The American Economic Review, 297-313.
14. Modigliani, F., & Brumberg, R. (1954). Utility analysis and the consumption function: An interpretation of cross-section data. Franco Modigliani, 1.
15. Shefrin, H. M., & Thaler, R. H. (1988). The behavioral life-cycle hypothesis.Quasi Rational Economics, 91-126.
16. Shiller, R. J. (2000). Irrational exuberance. Princeton UP.
17. Sterling, W., Waite, S., & O`Neill, B. (1999). Boomernomics: The future of your money in the upcoming generational warfare.
18. United Nations. Dept. of Economic. (2013). World population ageing, 1950-2050. New York: United Nations.
19. Yoo, P. S. (1994). Age distributions and returns of financial assets. Federal Reserve Bank of St. Louis Working Paper Series, (1994-002).		zh_TW