臺灣博碩士論文加值系統

本研究應用Campbell（1991）所提出的股票報酬變異數分解模型，將台灣股市的股票報酬變異數分解成未來股利成長及未來報酬的預期修正，另一方面，將超額報酬變異數分解成未來股利成長、實質利率及超額報酬的預期修正。由於這些預期修正項無法直接觀察到，因此，本研究利用VAR模式來估計這些預期修正項與計算未預期股票報酬與股票超額報酬的變異數分解。
我們發現，股利的預期修正可以解釋大部分未預期股票報酬與股票超額報酬的變異數。因為國內股市有一項特性，即上市公司每年所發放的股利以股票股利為主，此與國外以現金股利為主的型態不同。在這樣的情況下，國內管理者往往採取維持現金股利與股票股利之總和穩定的政策，而現金股利的多寡則視該年是否有過剩性資金而定。因此，國內現金股利的波動較國外大。因為這樣，股利的預期修正在未預期股票報酬與股票超額報酬變異數中所佔的比例比國外的實證結果來得大。
另一方面，實質利率的預期修正對超額報酬的變異數幾乎沒有解釋能力，這符合Campbell（1991）、Campbell and Ammer（1993）及Malliaropulos（1998）的實證結果。
最後，我們也發現，預期報酬的增加（減少）會對股價產生反向的影響，這所代表的涵義便是折現率效果的存在

In this paper, we decompose the forecast error variance of stock returns in Taiwan stock market into the variance of changes in long-horizon expectations（’news’） of future dividends and returns. We also decompose the forecast error variance of excess stock returns into the variance of changes in long-horizon expectations of future dividends , real interest rates and excess returns.
A VAR model is employed to estimate the news terms and to calculate the variance decomposition of unexpected stock returns excess returns.
We find that revisions in expectations of dividends explain most of the variance of stock returns and excess stock returns.
Finally, we also find evidence of a negative correlation between shocks to expected returns and current stock prices, indicating the presence of a ‘discount rate effect’.

第壹章 緒論…………………………………………………………………1
第一節 研究動機與目的……………………………………………………1
第二節 研究範圍與對象……………………………………………………4
第三節 研究方法……………………………………………………………5
第四節 研究限制……………………………………………………………5
第五節 全文架構……………………………………………………………6
第貳章 文獻探討……………………………………………………………7
第參章 研究方法……………………………………………………………17
第一節 靜態戈登模式………………………………………………………17
第二節 股利收益率模型……………………………………………………20
第三節 未預期股票報酬和股票超額報酬之變異數分解模型……………25
第肆章 實證結果分析………………………………………………………35
第一節 資料來源說明及變數定義…………………………………………35
第二節 單根檢定……………………………………………………………40
第三節 實質股票報酬之VAR迴歸結果………………………………………44
第四節 實質股票報酬之變異數分解………………………………………46
第五節 股票超額報酬之VAR迴歸結果………………………………………48
第六節 股票超額報酬之變異數分解………………………………………50
第伍章 結論與建議…………………………………………………………53
第一節 結論…………………………………………………………………53
第二節 建議…………………………………………………………………55
參考文獻………………………………………………………………………56
附錄一…………………………………………………………………………59

一、中文部分
連惠萍，股票報酬率之預測誤變異數分解，淡江大學金融研究所，民國八十五年。
陳隆麒，現代財務管理-理論與應用，華泰書局，民國八十二年一月修訂版。
黃大薇，台灣股票報酬率之實證研究-理性預期理論之應用，清華大學經濟研究所，民國八十二年。
合作金庫調查研究室，台灣金融發展歷程，民國83年12月。
二、 英文部分
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