臺灣博碩士論文加值系統

本研究利用 Hsu and Huang(2008)提出之技術預期與橫斷面股票報酬來探討台灣股票市場。在跨期經濟決策模型中，任何影響消費變動之總體因素皆可以在定價核心中做為系統性風險並且解釋股票報酬，本文利用台灣投資者之技術預期變動影響消費以及投資波動來做為系統性技術風險解釋股票報酬。研究方法使用台灣專利權波動構造技術因子來追蹤未來技術預期，實證結果顯示在流動性限制下，技術因子能夠解釋台灣消費、投資波動，以及幫助解釋橫斷面股票報酬波動，並且發現技術預期可以解釋價值型以及低研究發展投資型組合報酬表現。

In this paper, we discuss the cross-section stock return in Taiwan stock market based on Hsu and Huang(2008). In an intertemporal economy, all economic variables
related to optimal consumption may act as systematic risk factors in the pricing kernel and affect expected asset returns. We use the changes in technology prospects affect
consumption, investment opportunities, and lead to systematic technology risk to explain the excess return in Taiwan stock market. We construct a technology factor that tracks the changes in technology prospects based on Taiwan patent data. The empirical results show that technology factor explains the growth of consumption and investment with liquidity constraint, and contributes to the cross-sectional variation of stock returns in the asset pricing model. Moreover, it is found to explain a part of the
underperformance of value stocks and the excess return of lower R&D portfolio.

摘要.................................................................................................................i
Abstract...........................................................................................................ii
誌謝...............................................................................................................iii
目錄...............................................................................................................iv
圖目錄...........................................................................................................vi
表目錄..........................................................................................................vii
第一章 緒論.................................................................................................1
第一節 研究背景與動機.....................................................................1
第二節 研究方法….............................................................................3
第三節 研究架構.................................................................................3
第二章 文獻回顧.........................................................................................5
　　第一節 單因子與多因子資產定價模型.............................................5
　　第二節 跨期定價模型.......................................................................10
　　第三節 生產面變數資產價...............................................................11
第三章 研究設計.......................................................................................13
第一節 理論模型...............................................................................13
第二節 因子模型實證分析...............................................................15
第三節 實證假設與實證方法...........................................................17
第四節 一般動差估計法...................................................................18
第四章 變數建構與資料處理...................................................................21
第一節 變數衡量...............................................................................21
第二節 選樣標準、研究期間及資料來源.......................................24
第三節 敘述統計分析與相關性.......................................................26
第五章 實證結果與討論...........................................................................27
第一節 技術因子與投資及消費之相關性.......................................27
第二節 技術因子是否可以幫助資產定價.............................................28
第三節 技術風險敏感度分析..............................................................30
第四節 Robust Test............................................................................32
第六章 結論與研究限制...........................................................................34
第一節 結論.......................................................................................34
第二節 研究限制與建議...................................................................35
附錄...............................................................................................................36
附錄A 資料使用.......................................................................................36
附錄B 數學附錄.......................................................................................37
參考文獻.......................................................................................................40

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