臺灣博碩士論文加值系統

本研究主要檢定美國S&P100成份股公司之股價和股利是否存在穩定關係。其採用Panel FMOLS Model和Panel VECM Model以討論股價和股利之長期均衡及短期動態關係。首先，研究結果顯示樣本公司的股價和股利存在長期共整合關係。然而，研究結果並不支持股利折現模型，暨股價和股利並不存在一對一關係。再者，股價和股利間只存在單向之因果關係。短期內，當期資本收益受前兩期的股利變動和前一期的利息變動影響。股利的變動會影響股價，股價的變動無法解釋股利。

Employing Panel FMOLS Model and Panel VECM Model, this paper reexamines the long-run stable relations and the short-run dynamics between stock prices and dividends for firms in the S&P 100. First, the result indicates that there exist cointegrating relations between stock prices and dividends. However, the evidence does not support the one-for-one cointegrating equilibrium between them. Second, there is only one-way Granger-causality between the changes in stock prices and dividends. The current capital gains will be affected by the last two seasons of dividends and previous season of interest in the short run.

目錄 …………………………………………………………………… I
第壹章 緒論 ……………………………………………………………1
第一節 研究動機 …………………………………………………1
第二節 研究目的 …………………………………………………4
第三節 研究架構 …………………………………………………5
第貳章 文獻回顧 ………………………………………………… 6
第一節 股價與股利之關係 ……………………………………… 6
第二節 單根檢定與共整合檢定之發展 ……………………… 12
第參章 模型設定與研究方法 ………………………………………17
第一節 股利折現模型與變數定義 …………………………… 17
第二節 Panel單根檢定 …………………………………………20
第三節 Panel共整合檢定 ………………………………………25
第四節 Panel共整合估計 ………………………………………29
第五節 Panel VECM模型與Panel Granger cause檢定 …… 31
第六節 物價水準變動與股利結構性變動 …………………… 33
第肆章 實證結果 …………………………………………………… 35
第一節 資料來源 ……………………………………………… 35
第二節 Panel單根檢定 …………………………………………36
第三節 共整合檢定與共整合估計 …………………………… 39
第四節 Panel VECM模型與Panel Granger cause檢定……… 51
第伍章 結論與建議 ………………………………………………… 53
第一節 研究結論 ……………………………………………… 53
第二節 研究建議 ……………………………………………… 55
參考文獻 …………………………………………………………… 56

中文部份

李貞儀 (2005)，「遠期與即期匯率關係之探討—Panel共整合的應用」，碩士論文，國立中山大學經濟學研究所。
林千蕙 (2005)，「亞洲外匯市場效率性的再檢定」，碩士論文，逢甲大學財稅研究所。
林淑惠 (2003)，「台灣區域性失業率之磁滯效應—Panel單根檢定方法與應用」，碩士論文，逢甲大學經濟研究所。


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