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研究生:顧嘉茵
研究生(外文):Chin-Yin Ku
論文名稱:台灣股票市場風險溢酬之分析
論文名稱(外文):The Analysis of Equity Risk Premium in Taiwan Stock Market
指導教授:廖源星廖源星引用關係李篤華李篤華引用關係
指導教授(外文):Y. Chris LiaoDuu-Hwa Lee
學位類別:碩士
校院名稱:真理大學
系所名稱:財經研究所
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:45
中文關鍵詞:股票風險溢酬異常盈餘法股票盈餘預測
外文關鍵詞:Equity risk premiumAbnormal earnings modelStocks’forecast earnings
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  • 被引用被引用:2
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股票風險溢酬是財務學的重要數字,它決定資產配置與資本預算等重要財務決策,然而,在過去文獻中,股票風險溢酬大部分都使用事後的(ex post)報酬率加以估算,對於事前的(ex ante)股票風險溢酬之預估則甚少著墨。本研究之目的在於採用事前的觀點、根據盈餘預測,進而採用異常盈餘分析法以估算台灣股票風險溢酬,本文研究結果發現2000年至2005年樣本中之台灣股票預期報酬率平均值為17.41%,股票風險溢酬平均值則為14.54%。
Equity risk premium is an important financial number based on which essential financial decisions, such as asset allocation and capital budgeting, are made. Prior literature analyzes historical returns to estimate stocks’risk premium. In contrast, this research employs an ex-ante approach to estimate equity risk premium. First, this thesis converts discounted cash-dividend models into a stock evaluation model in which earnings per share instead of cash dividends are used to calculate stocks’expected returns. Second, this research uses the abnormal earnings model to estimate equity risk premium. We find that equity risk premium in Taiwan is approximately 14.54% over the period from 2000 to 2005.
目 錄
第1章 緒論........................................................................................................................................1
1.1 研究背景與動機…………………………………………………………………………………1
1.2 研究目的........................................................................................................................................3
1.3 研究架構........................................................................................................................................3
第2章 文獻探討…………………………………………………………………………………... 4
第3章 研究方法與資料來源…………………………………………………………….………..11
3.1 理論模型 .................................................................................................................................... .11
3.1.1 股利折現模型…………………………………...……………………………………………11
3.1.2 剩餘盈餘模式……………………………………………...…………………………………14
3.2 風險溢酬之估算..........................................................................................................................17
3.2.1 現金股利模式………………………………………………………………………………...17
3.2.2 異常盈餘模型………………………...………………………………………………………18
3.3 研究目的之詳述假說…………………………………………………………………………..22
3.4 樣本與資料來源………………………………………………………………………………..23
第4章 實證結果與分析…………………………...……………………...……………………….25
4.1 股票風險溢酬實證結果………………………………………………………………………..25
4.2 市價淨值比與本益比分析……………………………………………………………………..30
4.3 每股盈餘成長率之敏感度分析..................................................................................................35
第5章 結論與建議……………………………………………….………………………………..37
5.1 結論……………………………………………………………………………...…………37
5.2 研究限制………………………………………..………………………………………………38
5.3 研究建議…………………………….………………………………………………………….38
附錄…………………………………………………………………………………………………39
參考文獻……………………………………………………………………………………………42
一、中文文獻

1. 高誌謙,(2001),台灣新上市公司承銷價格與公司價值之研究—Ohlson 模式之應用,中原大學會計學系碩士學位論文。
2. 黃隆建,(2005),「股票溢酬迷思之文獻回顧與展望」,吳鳳學報,第十三期,頁 111-119。
3. 陳信憲、林惠美、王郁芳,(2005),「分析師盈餘預測與股價關聯性之探討—台灣股市之實證」,台灣銀行季刊第五十六卷第一期。
4. 曹壽民、金成隆、藍心梅、陳俊雄,(2001),「會計基礎評價模式在台灣股市適用性之研究」,會計理論與實務研討會論文集。
5. 簡瑞璞,(2004),台灣股票市場的長期超額報酬與股票風險溢酬值,政治大學商學院經營管理碩士學程金融組碩士論文。
6. 謝宗祐,(2003),「股價波動性之影響因素」,風險管理學報,頁167-193。
7. 蘇皓毅,(2003),台灣長期股票市埸風險溢酬之實證研究,政治大學企業管理系碩士論文。

二、英文文獻

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