本研究針對台灣股票市場自民國51年2月9日至民國91年12月31日，對股票報酬率與風險溢酬進行實證研究，並且依據Fama與French的方法論，依照台灣發行量加權股價指數(TAIEX)的標準進行資料採樣，以平均股票報酬模式(average stock return model)、股利成長模式(dividend growth model)與盈餘成長模式(earning growth model)來進行估計，研究結果發現台灣股票市場的風險溢酬相較於以美國為主的已開發市場，呈現較高水準的風險溢酬與高度的變異性，此外，在經由變異數調整後，依據基本分析方法(股利成長模式與盈餘成長模式)所衡量的風險溢酬較具一致性，並且股利成長模式為較優秀的風險溢酬估計式，其原因包括其在各個投資期間有較低的標準差，以及在數值上呈現了一致性。
另外，在實質股利成長率與盈餘成長率的預估上，無論是一年期或二年期的預測力都相當低。股利股價比(Dt/Pt)與盈餘股價比(Yt/Pt)在近年呈現下滑的趨勢，根據價值分析理論，暗示未來股票報酬率有可能降低，然而，依據淨值市值比(BE/ME) 效應，則出現與前述推論不一致的結果。
不過，三種模式的風險溢酬皆高於平均收益報酬率A(Yt/Bt-1)，顯示投資報酬率低於資金成本，違反投資淨現值大於零的原則，因此依賴基本分析對台灣這類新興市場進行分析可能存在適用上的問題。為加強對台灣股票市場的解釋，本研究另加入其它觀點與行為財務學角度的解釋，來說明台灣股票市場高風險溢酬與高變異的特性。 / Abstract
This thesis is an empirical analysis of the risk premium of Taiwan’s equity market. The sample period covers 1962/2/9 - 2002/12/31. My methodology is based on the average stock return model, dividend growth model, and earning growth model suggested by Fama and French (2002). In contrast to the United States, which is a developed market, my empirical results indicate that Taiwan’s equity market is characterized by high risk premium and high volatility. In addition, fundamental analyses (dividend growth model and earning growth model) yield similar results. But the dividend growth model has the best forecasting ability of the three models because of its high consistency and low variability.
The real dividend growth rate and the real earning growth rate have low predictability of one- and two-year growth rates in the future. The Dt/Pt and Yt/Pt ratio decrease in recent years, implying that future equity premium will decrease. However, the BE/ME ratio does not behave similarly.
Surprisingly, the equity premium of all three models is grater than the average real income return on book equity. The expected stock return exceeding the expected income return on book equity implies that typical corporate investments have negative net present value. Thus, applying fundamental analysis to an emerging market such as Taiwan may not be suitable. I try to provide sensible explanations for my findings on the Taiwan’s equity market by referencing viewpoints expressed in the behavioral finance literature and other literatures.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0090355001 |
| Creators | 蘇皓毅, Su Haw Yih |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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