臺灣博碩士論文加值系統

驗證貨幣政策對預測股票報酬之風險因子是否有所影響

This study examined whether changes in the discount rate would affect the cross-sectional relationship between stock returns and financial variables, such as beta, size, BM and EP in the Taiwan emerging stock market. Without considering the impact of changes in the monetary policy development, we found that stock returns were significantly related to only EP and Epdum, among five factors over the full sample period. However, when taking the monetary policy changes into consideration, we detected that the relationship between EP and stock returns was significantly only under the expansive monetary policy environment. This finding suggests that we should take the monetary environment into consideration when examining the relationship between stock returns and risk variables.

Essay I
Abstract………………………………………………………………………………..3
1. Introduction………………………………………………………………………....4
2. Data and monetary policy……………………………………………………………..7
2.1. Estimation of pre-ranking and post-ranking beta……………………………8
2.2. Measures of monetary policy……………………………………………….9
3. Methodology and empirical results………...……………………………………..…11
3.1. Cross-sectional regression tests………………………………………………11
3.2. Pooled cross-sectional, time-series regressions among
risk variables…………………………………………………………………13
4. Discussions…………...……………………………………………………………...14
5. Conclusion…………………………………………………………………………15
References………………………………………………………………………..…….17

Essay II
Abstract………………………………………………………………………………24
1. Introduction………………………………………………………………………..25
2. Data and monetary policy……………………………………………………………29
2.1. Estimation of pre-ranking and post-ranking beta………………………..…31
2.2. Measures of monetary policy………………………………………………32
3. Methodology and empirical results……...………………………………………..…33
3.1. Cross-sectional regression tests over the full sample period…………………33
3.2. Cross-sectional regression tests over the sub-sample periods………………..35
4. Discussions …………………..……………………………………………………36
5. Conclusion…………………………………………………………………………39
References………………………………………………………………………..…..40

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