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研究生:劉祝濤
研究生(外文):stephenlao
論文名稱:資產定價與意見分歧之關聯性
論文名稱(外文):ASSET PRICING AND THE DIVERGENCE OF OPINION
指導教授:黃泓人
指導教授(外文):Hongren Huang
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:中文
論文頁數:52
中文關鍵詞:意見分歧股票市場債券市場
外文關鍵詞:Divergence of opinionstock marketcredit market
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摘要
本文在 Longstaff and Wang(2008)之基礎上,加入隨股利變動的意見分歧(Divergence of opinion )函數,建構了連結股票市場和債券市場的資產定價模型。該模型中,以投資人的跨市場交易形成了不同市場的聯繫機制。本研究發現:高意見分歧下,股票價格僅反映了風險偏好者的預期和判斷,繼而使市場的折現因子(Discount factor)下降,股價盈餘比(P/E ratio)上升。由於意見分歧的均值回歸(Mean reverting)特性,此時預期報酬率會較低。這一結論並不支持視意見分歧為風險的論斷,卻印證了 Miller(1977)之邏輯。同時,風險厭惡者轉向債券市場,增加了需求,推高債券價格,利率下降。本文之實證檢定以 2003.5.2-2013.4.8 的台灣加權指數為樣本,進行時間序列(Time series)回歸。在檢定中,發現市場分歧和股價盈餘比顯著正相關,與一年期預期報酬率負相關。這和模型預測基本一致。
Abstract
Based on Longstaff and Wang(2008), We set a divergence-of-opinion function varies with stock dividend, and construct an asset pricing model incorporating the stock market and credit market. In our model, investors trades both stock and bond,thus forming the connecting mechanism across two markets. Our study suggests that when divergence-of-opinion is high, the stock price reflects only optimistic view,resulting in a decrease in discount factor and thus an increase in Price/Earnings ratio.For the Mean-reverting character of divergence-of-opinion between investors,
expected return would be lower at this moment. Our conclusion provides evidence for Miller(1977), yet is inconsistent with a view that divergence-of-opinion in the market proxies for risk. Meanwhile, the pessimistic investors would turn to the credit market,which spurs the bond demand and price, brings down the interest rate. Using TAIEX index from 2003.5.2 to 2013.4.8 as our selected sample, we conduct time series regression. This empirical test shows that divergence-of-opinion in the market is
positively related with Price/Earnings ratio significantly, and negatively related with one-year-period expected return, which is consistent with our theoretical prediction.
目錄
摘要......................................................Ⅰ
Abstract..................................................Ⅱ
誌謝......................................................Ⅲ
目錄......................................................Ⅳ
圖目錄....................................................Ⅴ
表目錄....................................................Ⅵ
第一章 緒論..........................................1
1-1 研究動機與目的...................................1
1-2 研究發現.........................................2
1-3 研究創新與貢獻...................................3
1-4 研究流程.........................................4
第二章 文獻回顧......................................6
2-1 意見分歧與資產定價...............................6
2-2 基於意見分歧的多資產定價模型.....................8
第三章 模型介紹.....................................10
3-1 模型設定........................................10
3-2 效用函數........................................11
3-3 消費............................................14
3-4 股價及股價盈餘比................................15
3-5 債券市場........................................20
第四章 實證檢定.....................................23
4-1 實證方法........................................23
4-2 檢定結果........................................26
第五章 結論.........................................28
參考文獻.................................................29
附錄.....................................................31

圖目錄
圖 1 2008.1-2014.5 S&;P500指數走勢圖和交易量.............35
圖 2 2008.1-2014.5美國1/30年期公債殖利率走勢.............35
圖 3 投資人的跨市場交易機制..............................36
圖 4 投資人的風險厭惡係數及意見分歧......................37
圖 5 在不同股利發放情形下,兩類投資人之消費..............38
圖 6 意見分歧與消費比例..................................39
圖 7 股票價格............................................40
圖 8 意見分歧與股價盈餘比................................41
圖 9 意見分歧與股票市場..................................41
圖 10 意見分歧和利率.....................................42
圖 11 意見分歧與債券餘額.................................43
圖 12 股價盈餘比和利率...................................44
圖 13 股價盈餘比與債券餘額...............................45
圖 14 2003.5.2-2013.4.8 台灣加權指數股價盈餘比..........46
圖 15 2003.5.2-2013.4.8台灣加權指數週轉率................46
圖 16 2003.5.2-2013.4.8台灣加權指數一年期預期回報率......47
圖 17 2003.5.2-2013.4.8台灣加權指數股息支付率............47

表目錄
表一 變數之簡要敘述......................................48
表二 2003.5.2-2013.4.8 時間序列之敘述統計量..............49
表三 2003.5.2-2007.9.28 時間序列變之敘述統計量...........49
表四 2007.10.1-201.4.8 時間序列之敘述統計量..............50
表五 時間序列Augmented Dickey-Fuller單位根檢定統計量.....50
表六 意見分歧對股價盈餘比之解釋力檢定....................51
表七 意見分歧對預期報酬率之解釋力檢定....................52


參考文獻
英文文獻

Chen C R, Lung P P, Wang F A. “Stock market mispricing: Money illusion or resale option?”,Journal of Financial and Quantitative Analysis, Vol.44(05), pp.1125-1147, 2009
Chen J, Hong H, Stein J C. “Breadth of ownership and stock returns”, Journal of financial Economics, Vol.66(2), pp.171-205,2002
De Bondt W F M, Thaler R H. “Do security analysts overreact?”, American Economic Review, Vol. 80(2), pp. 52-57, 1990
Diether K B, Malloy C J, Scherbina A. “Differences of opinion and the cross section of stock returns”, The Journal of Finance, Vol. 57(5), pp. 2113-2141, 2002.
Jegadeesh N, Titman S. “Returns to buying winners and selling losers: Implications for stock market efficiency”, The Journal of Finance, Vol.48(1), pp.65-91, 1993
Longstaff F A, Wang J. “Asset pricing and the credit market”, Available at SSRN 1129304, 2008.
Lee C, Swaminathan B. “Price momentum and trading volume”, The Journal of Finance, Vol.55(5), pp. 2017-2069, 2000.
Malkiel B G, Fama E F. “Efficient capital markets: A review of theory and empirical work”, The Journal of Finance, Vol.25(2), pp.383-417, 1970
Miller E M. “Risk, uncertainty, and divergence of opinion”, The Journal of Finance, Vol.32(4), pp.1151-1168, 1977
Park C. “Stock Return Predictability and the Dispersion in Earnings Forecasts”, The Journal of Business, Vol.78(6), pp.2351-2376, 2005
Shiller R J. “Do stock prices move too much to be justified by subsequent changes in dividends?”, The American Economic Review, Vol.71, pp.421-436, 1981
Scheinkman J A, Xiong W. “Overconfidence and speculative bubbles”, Journal of political Economy, Vol. 111(6), pp.1183-1220, 2003.
Varian, H.“Divergence of opinion in complete markets: a note”, Journal of Finance, Vol.40(1), pp.309-317, 1985
Wang J. “The term structure of interest rates in a pure exchange economy with heterogeneous investors”, Journal of Financial Economics, Vol. 41(1), pp.75-110, 1996
Yu J. “Disagreement and return predictability of stock portfolios”, Journal of Financial Economics, Vol.99(1), pp.162-183, 2011

中文文獻

王燕輝, 王凱濤. 「股市交易量與收益率的關聯分析」,系統工程 ,23(1),59-62頁,200

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