臺灣博碩士論文加值系統

本文首先針對股利波動較穩定的公共事業產業(Utilities)，及股利波動較劇烈的半導體產業(Semiconductors)兩產業討論股利比率模型(Dividend Ratio Model)是否會有不同的解釋能力，其次，討論VAR模型是否比傳統迴歸模型的是否更具有檢定力。本研究利用Campbell and Shiller(1988)所提出的股利比率模型，以探討實際市場上股票市場是否具有效率性。本研究發現無論股利波動程度的平緩與劇烈，股利比率模型皆無法成立，甚至公共事業產業雖比半導體市場有更穩定的配息政策，但拒絕的更劇烈。又利用VAR模型檢定的確比傳統迴歸模型更具有檢定力，這與Campbell and Shiller(1988)具相同結果。

In this paper, we will discuss the dividend price ratio in the various dividend volatility. We build the dividend ratio model (Campbell and Shiller, 1988) to analyze two empirical evidences, utility industry (little dividend change) and semiconductors industry(large dividend change), to compare with the simple regression model, and find the following result. First, no matter what the dividend changes, the dividend ratio model would be rejected, and would be rejected more strongly in utility industry than semiconductors industry. Further, dividend ratio model can more strongly rejected the null hypothesis than the simple regression model, so that it is more powerful for testing market efficiency.

第一章 緒論 1
第一節 研究動機與目的 1
第二節 論文架構 3
第二章 文獻探討與回顧 4
第一節 基本的現值模型 4
第二節 現值模型的檢定---變異數邊界檢定(variance bound test) 5
第三節 Gorden的靜態模型 6
第四節 股價與股利關係相關文獻 7
第三章 模型設定與實證方法 11
第一節 Campbell and Shiller模型 11
第二節 VAR模型設定 13
第三節 VAR模型檢定方法 15
第四節 模型估計與檢定過程 20
第四章 實證結果 22
第一節 資料選取與變數資料轉換 22
第二節 單根檢定與最適落後期數之實證結果 25
第三節 模型一之實證結果 29
第四節 模型二之實證結果 32
第五節 模型三之實證結果 35
第六節 與傳統迴歸模型的檢定力比較與實證結果 40
第五章 結論與建議 45
附錄一 46
參考文獻 49

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