臺灣博碩士論文加值系統

This paper tested the mean reversion behavior of stock prices of tourism and several industry sectors towards their fundamental values, namely earnings per share (EPS) and dividend per share (DPS), over the period from August 1995 to February 2004. Empirical results based on cointegration tests generally showed that DPS is not a good proxy of fundamental values of stock prices in all sectors, while EPS can serve as a good proxy of fundamental values of stock prices only in the tourism and construction sectors. It is further found that although tourism stock prices have diverged away from their fundamental values from time to time, there exists an error correction mechanism in the market, which can adjust tourism stock prices to mean revert towards their fundamental values. This finding suggests that stock investors could pay more attention to the underlying performance of tourism stocks in terms of their earnings per share.

1. Introduction 1
2. Methodology 4
2.1. The fundamental model 4
2.2. Mean reversion hypothesis 6
3. Data and unit root tests 7
4. Mean reversion of tourism stock prices 10
4.1. Cointegration analyses 10
4.2. Specification of structural model for forecast of tourism stock returns13
5. Discussions 15
6. Conclusion 17
References 20

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