(18.204.227.34) 您好!臺灣時間:2021/05/19 08:40
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

: 
twitterline
研究生:簡瑞璞
研究生(外文):Chien, Dennis Jui-Pu
論文名稱:台灣股票市場的長期超額報酬與股票風險溢酬值
論文名稱(外文):The Equity Excess Return and Risk Premium of Taiwan Stock Market
指導教授:陳松男陳松男引用關係
指導教授(外文):Chen, Son-Nan
學位類別:碩士
校院名稱:國立政治大學
系所名稱:經營管理碩士學程
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2004
畢業學年度:89
語文別:中文
論文頁數:44
中文關鍵詞:股票風險溢酬超額報酬無風險利率已實現或歷史股市報酬率算術平均幾何平均理論超額報酬股利成長模式盈餘成長模式股票風險溢酬的迷思資本資產定價模型回歸與偏離平均
外文關鍵詞:Equity Risk PremiumExcess ReturnRisk-free interest rateRealized or HistoricalStock Market ReturnArithmetic MeanGeometric MeanTheoretical Equity Excess ReturnDividend Yield ModelEarnings Yield ModelEquity Premium PuzzleCapital Asset Pricing ModelCAPMMean Reversion & Aversion
相關次數:
  • 被引用被引用:14
  • 點閱點閱:2452
  • 評分評分:
  • 下載下載:235
  • 收藏至我的研究室書目清單書目收藏:7
已實現投資報酬率與無風險利率之差、被稱為超額報酬,而股票的預期報酬率超過無風險利率的部份則為股票風險溢酬,是許多資產評價模型的重要依據,例如資本資產定價模型。有不同的理論架構解釋說明風險溢酬值,例如;股票風險溢酬的迷思、短期損失的憎惡、生還存留因素和回歸與偏離平均值等等。
研究台灣股市的超額報酬與股票風險溢酬,有助投資大眾和企業理性面對股市的預期報酬和風險,對台股才有合理的期望報酬值。分析1967年迄2003年的台灣金融市場,計算過去37年長期的幾何平均年報酬率,以臺灣證券交易所發行量加權股價指數為台股市場報酬率,已實現台股實質年報酬率為6.71%。無風險報酬率使用第一銀行的一年期定期存款利率,實質台幣存款年利率為3.07%,消費者物價指數年增率則為4.80%。以年資料計算的台股實質超額報酬,算術和幾何值分別為12.48%和3.63%(年),計算月資料算術平均和幾何平均值分別為0.77%和0.25%(月)。過去37年長期的台股超額報酬現象未較歐美市場的情況更加明顯,也比一般市場的預期報酬率低。
因資料取得的限制、台股的理論超額報酬方面,1991年迄2003年的近十三年來,經固定股利成長模式和盈餘成長模式的兩種計算方式,台股的實質超額報酬分別為 0.6%和-4.3%,此時期台股的投資報酬率比起台幣存款並不突出、且是低超額報酬。同期的已實現的實質超額報酬值;算術平均1.69%和幾何平均-3.35%。評估目前台股風險溢酬,將十分接近過去37年長期歷史資料得到的超額報酬數值,算術年均值為12.48%(年)和0.77%(月),幾何平均分別為3.63%(年)和0.25%(月),低風險溢酬是當前台灣股票市場的一般現象。
The difference between the observed historical investment return and the risk-free interest rate is the excess return. The equity risk premium, ERP is the expected rate of return on the aggregate stock market in excess of the rate of risk-free security. ERP is one of important factor of many asset-pricing models, including Capital Asset Pricing Model, CAPM. There were many theories and factors to explain the equity risk premium; equity premium puzzle, myopic loss aversion, survivorship bias, mean reversion & aversion and etc.
Studying the value of Taiwan equity excess return and risk premium is fundamental for investors and institutions evaluating the expected market investment return and risk. Analyzing the data from year 1967 to 2003 for thirty-seven years long holding period, Taiwan Stock Exchange Capitalization Weighted Stock Index as Taiwan stock market return, the realized real return was 6.71%. One-year bank time deposit rate as NT dollars risk-free asset rate and real interest rate was 3.07% and consumer price index, CPI annual growth rate was 4.80%. The historical real yearly excess return was 12.45% for arithmetic mean and 3.63% geometric mean; the historical real monthly excess return was 0.77% for arithmetic mean and 0.25% geometric mean. Taiwan realized equity excess returns were not higher than the returns in the developed countries and were also lower than the market''s expectation.
Due to the limits of available data, the theoretical equity excess returns that were calculated on two theoretical models; Constant Growth Dividend Discount Model (dividend yield model) and earnings yield model were 0.6% and -4.3% from year 1991 to year 2003. Comparing the same period of historical realized excess returns of 1.69% for arithmetic mean and -3.35% geometric mean, Taiwan stock market returns were not spectacular. The current equity risk premium of Taiwan stock market is low and should be near the level of the long historical realized equity excess return.
中文摘要
英文摘要
前言 7
第一章 緒論 8
1.1、研究背景 8
1.2、研究動機和目的 8
1.3、論文架構、流程 9
第二章 相關理論與文獻探討 10
2.1、股票超額報酬和風險溢酬的定義和重要性 10
2.2、已實現股市報酬率和股票超額報酬 13
2.3、理論報酬率和股市超額報酬 17
2.4、概要探討各項解釋因素和理論架構 19
第三章 研究方法 23
3.1、已實現歷史數據和資料來源 23
3.2、已實現股票超額報溢酬 24
3.3、理論股票超額報酬模型 26
第四章 研究結果與分析 31
4.1、已實現的台股超額報酬值 31
4.2、台灣股市理論超額報酬值 33
4.3、長期和目前合理的風險溢酬值 34
第五章 建議與結論 35
5.1.、結論 35
5.2.、後續研究與建議 36
參考文獻: 37
1. 中文部分: 37
2. 英文部分: 37
附錄表 40
附錄、表一. 1967年迄2003年台灣股市月實質超額報酬率 40
附錄、表二. 1967年迄2003年台灣股市年實質超額報酬率 41
附錄、表三.1967年迄2003年台灣股市、存款和通膨年成長率 42
附錄、表四.1991年迄2003年台灣股市理論超額報酬率 43
附錄、表五. ADF單根檢定結果AUGMENTED DICKEY-FULLER TEST 44
圖二-1、台灣1967-2003年,總名目投資報酬指數………… 16
圖四-1、台股實質超額報酬、1967年迄2003年之月資料……31
圖四-2、台灣1967-2003年總實質投資報酬指數…………… 32
中文部分:
1.王品文 (1999)「The Equity Premium Puzzle及加入貨幣的資產訂價模型」,私立輔仁大學經濟學研究所,碩士論文,頁3-8。
2.何文榮譯,譯自Bodie, Zvi.; Kane, Alex.; Marcus, Alan J.,(1998) 「投資學」“Essentials of Investments, 3E,”,麥格羅.希爾。
3.林炯垚,(1998)「財務管理,理論與實際」,新陸書局。
4.侯德潛,徐千婷,(2002)「我國通貨膨預測模型之建立」中央銀行季刊,第24卷,第三期,頁9-39。
5.姜堯民譯,譯自Brigham, Eugene F. and Houston, Joel F.,(1999)「現代財務管理」“Fundamentals of Financial Management, 8E”,華泰文化。
6.陳巧芳,(2002)「台灣股票市場『超額報酬迷思』課題之研究 - 從借貸限制與資訊不對稱的觀點」,國立交通大學管理科學研究所,碩士論文。
7.陳松男,(1997),「現代投資學」,新陸書局。
8.陳松男,(1998),「國際金融市場泛論與分析」,新陸書局。
9.楊美齡譯,譯自Malkiel, Burton G.,(1996)「漫步華爾街;股市的終生理財之道」“A Random Walk Down Wall Street - Including a Life-Cycle Guide to Personal Investing”,天下文化。
10.薛迺安譯,譯自席格爾、傑諾米(Siegel, Jeremy J.),(1999)「散戶投資正典」”Stocks for the Long Run: The Definitive Guide to Financial Market Returns and Long-Term Investment Strategies”,麥格羅.希爾。
11.謝劍平,(2000)「現代投資學 分析與管理」,智勝文化
英文部分:
1.Arnott, Robert D. and Bernstein, Peter L. (2002), “What Risk Premium Is Normal?” The Financial Analysts Journal.
2.Benartzi, Shlomo. and Thaler, Richard H., (1995) “Myopic Loss Aversion and the Equity Premium Puzzle,” The Quarterly Journal of Economics, Vol. 110, issue 1, pages 73-92
3.Bodie, Zvi.; Kane, Alex.; Marcus, Alan J., (1989) “Investment”, Irwin.
4.Brown, Stephen J. and Kritzman, Mark P., (1990) “Quantitative Methods for Financial Analysis 2E,” Dow Jones-Irwin.
5.Campbell, John Y. and Schiller, Robert J., (1998) “Valuation Ratios and the Long-Run Stock Market Outlook: Ratios are Extraordinary Bearish,” The Journal of Portfolio Management, Winter, pp.11-24.
6.Claus, James and Thomas, Jacob (1999), “The equity risk premium is much lower than you think it is: Empirical estimates from a new approach,” Columbia Business School Working Paper, New York.
7.Cohen, Ruben D., (2000) “The Long-run Behavior of the S&P Composite Price Index and its Risk Premium,” SSC Citi Asset Management Group Research Paper, UK.
8.Cohen, Ruben D., (2002) “The Relationship between the Equity Risk Premium, Duration and Dividend Yield,” Wilmott Magazine, pp. 84-97.
9.Constantinides, George M.; Donaldson, John. B.; Mehra, Rajnish., (1999) “Junior Can’t Borrow: A New Perspective on the Equity Premium Puzzle,” The Center for Research in Security Prices, Working Paper No. 457.
10.Cornell, Bradford (1999), “The Equity Risk Premium: The Long—Run Future of The Stock Market, John Wiley & Sons Inc., USA.
11.Davidson, Ian and Okunev, John., (2002) “Modeling the Equity Risk Premium in the Long Term,” University of Warwick Working Paper.
12.Dimson, Elroy.; Marsh, Paul.; Staunton Mike. (2002) “Long-Run Global Capital Market Returns and Risk Premia,” Triumph of the Optimists: 101Years of Global Investment Returns, Princeton University Press.
13.Fama, Eugene F. and French, Kenneth R., (2001) “The Equity Premium” The Center for Research in Security Prices Working Paper, No. 552.
14.Fielding, David. and Stracca, Livio., (2003) “Myopic Loss Aversion, Disappointment Aversion, and The Equity Premium,” European Central Bank Working Paper #204.
15.Francis, Jack Clark, (1986) “Investments: Analysis and Management,” McGraw Hill.
16.Goetzmann, William N.; Ukhov, Andrey; Zhu, Ning. (2001), “China and the World Financial Markets 1870-1930: Modern Lessons from Historical Globalization,” Yale ICF Working Paper No.00-62.
17.Goyal, Amit. and Welch, Ivo., (2002) “ Predicting the Equity Premium with Dividend Ratios,” Yale/SOM and NBER Working Paper.
18.Greenspan, Alan. (1999), “ Measuring Financial Risk in the Twenty-First Century,” The Office of the Comptroller of the Currency, Washington, D.C.
19.Ibbotson, Roger G. and Chen, Peng, (2002) “Stock Market Returns in the Long Run: Participating in the Real Economy,” Financial Analyst Journal.
20.Jagannathan, Ravi.; McGrattan, Ellen R.; Scherbina, Anna. (2000), “The Declining U.S. Equity Premium,” Federal Reserve Bank of Minneapolis, Vol. 24, No.4, Fall, pp3-19.
21.Jorion, Philippe and Goetzmann, William N., (2001) “ Global Stock Markets in the Twentieth Century,” University of California at Irvine Working Paper.
22.Kandel, Shmuel and Stambaugh, Robert F., (1991) “Asset Returns and Intertemporal Preferences,” Journal of Monetary Economics, Vol. 27 No. 1, pp. 39.
23.Lamdin, Douglas J., (2002) “New Estimates of the Equity Risk Premium and Why Business Economists Need Them,” University of Maryland Working Paper.
24.MaCurdy, Thomas E. and Shoven, John B. (1992) “Stocks, Bonds and Pension Wealth,” In David A. Wise, ed., Topics in the Economics of Aging. University of Chicago Press, pp. 61.
25.Mehra, Rajnish and Prescott, Edward C. (1985), “The Equity Premium: A Puzzle,” Journal of Monetary Economics, (15), pp.145-161.
26.Mehra, Rajnish and Prescott, Edward C. (2003) “ The Equity Premium in Retrospect,” NBER Working Paper #9525.
27.Mehra, Rajnish, (2002) “ The Equity Premium Puzzle,” Mastering Investments, Prentice Hall.
28.Pastor, Lubos. And Stambaugh, Robert F., (2000) “The Equity Premium and Structural Breaks,” NBER Working Paper, No. 7778.
29.Pindyck, Robert S. and Rubinfeld, Daniel L., (1997) “Econometric Models and Economic Forecasts 4E,” McGraw Hill.
30.Polk, Christopher.; Thompson, Samuel.; Vuolteenaho, Tuomo., (2004) “ New Forecasts of the Equity Premium,” NBER Working Paper, No.10406.
31.Poterba, James M. and Summers, Lawrence H., (1987) “ Mean Reversion in Stock Prices: Evidence and Implications,” NBER Working Paper, No.2343.
32.Pritchett, Lant., (1997), “Divergence, Big Time,” Journal of Economic Perspectives 11, pp.3-17.
33.Ritter, Jay R. (2002), “The Biggest Mistakes We Teach,” The Journal of Financial Research, Vol. XXV, No.2, pp. 159-168.
34.Siegel, Jeremy J. and Thaler, Richard H., (1997) “Anomalies: The Equity Premium Puzzle,” Journal of Economic Perspectives, Volume 11, Winter.
35.Siegel, Jeremy J., (1992) “ The Equity Premium: Stock and Bond Returns Since 1802,” Financial Analysts Journal, January/February.
36.Tversky, Amos. and Kahneman, Daniel., (1992) “Advances in prospect theory: Cumulative representation of uncertainty,” Journal of Risk and Uncertainty, 5, pp. 297-323.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top