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| Title: | 台灣股票市場的長期超額報酬與股票風險溢酬值
The Equity Excess Return and Risk Premium of Taiwan Stock Market |
| Authors: | 簡瑞璞
Chien, Dennis Jui-Pu |
| Contributors: | 陳松男
Chen, Son-Nan
簡瑞璞
Chien, Dennis Jui-Pu |
| Keywords: | 股票風險溢酬
超額報酬
無風險利率
已實現或歷史
股市報酬率
算術平均
幾何平均
理論超額報酬
股利成長模式
盈餘成長模式
股票風險溢酬的迷思
資本資產定價模型
回歸與偏離平均
Equity Risk Premium
Excess Return
Risk-free interest rate
Realized or Historical
Stock Market Return
Arithmetic Mean
Geometric Mean
Theoretical Equity Excess Return
Dividend Yield Model
Earnings Yield Model
Equity Premium Puzzle
Capital Asset Pricing Model, CAPM
Mean Reversion & Aversion |
| Date: | 2000 |
| Issue Date: | 2016-05-06 15:00:24 (UTC+8) |
| Abstract: | 已實現投資報酬率與無風險利率之差、被稱為超額報酬，而股票的預期報酬率超過無風險利率的部份則為股票風險溢酬，是許多資產評價模型的重要依據，例如資本資產定價模型。有不同的理論架構解釋說明風險溢酬值，例如；股票風險溢酬的迷思、短期損失的憎惡、生還存留因素和回歸與偏離平均值等等。
研究台灣股市的超額報酬與股票風險溢酬，有助投資大眾和企業理性面對股市的預期報酬和風險，對台股才有合理的期望報酬值。分析1967年迄2003年的台灣金融市場，計算過去37年長期的幾何平均年報酬率，以臺灣證券交易所發行量加權股價指數為台股市場報酬率，已實現台股實質年報酬率為6.71%。無風險報酬率使用第一銀行的一年期定期存款利率，實質台幣存款年利率為3.07%，消費者物價指數年增率則為4.80%。以年資料計算的台股實質超額報酬，算術和幾何值分別為12.48%和3.63%(年)，計算月資料算術平均和幾何平均值分別為0.77%和0.25%(月)。過去37年長期的台股超額報酬現象未較歐美市場的情況更加明顯，也比一般市場的預期報酬率低。
因資料取得的限制、台股的理論超額報酬方面，1991年迄2003年的近十三年來，經固定股利成長模式和盈餘成長模式的兩種計算方式，台股的實質超額報酬分別為 0.6%和-4.3%，此時期台股的投資報酬率比起台幣存款並不突出、且是低超額報酬。同期的已實現的實質超額報酬值；算術平均1.69%和幾何平均-3.35%。評估目前台股風險溢酬，將十分接近過去37年長期歷史資料得到的超額報酬數值，算術年均值為12.48%(年)和0.77%(月)，幾何平均分別為3.63%(年)和0.25%(月)，低風險溢酬是當前台灣股票市場的一般現象。
The difference between the observed historical investment return and the risk-free interest rate is the excess return. The equity risk premium, ERP is the expected rate of return on the aggregate stock market in excess of the rate of risk-free security. ERP is one of important factor of many asset-pricing models, including Capital Asset Pricing Model, CAPM. There were many theories and factors to explain the equity risk premium; equity premium puzzle, myopic loss aversion, survivorship bias, mean reversion & aversion and etc.
Studying the value of Taiwan equity excess return and risk premium is fundamental for investors and institutions evaluating the expected market investment return and risk. Analyzing the data from year 1967 to 2003 for thirty-seven years long holding period, Taiwan Stock Exchange Capitalization Weighted Stock Index as Taiwan stock market return, the realized real return was 6.71%. One-year bank time deposit rate as NT dollars risk-free asset rate and real interest rate was 3.07% and consumer price index, CPI annual growth rate was 4.80%. The historical real yearly excess return was 12.45% for arithmetic mean and 3.63% geometric mean; the historical real monthly excess return was 0.77% for arithmetic mean and 0.25% geometric mean. Taiwan realized equity excess returns were not higher than the returns in the developed countries and were also lower than the market`s expectation.
Due to the limits of available data, the theoretical equity excess returns that were calculated on two theoretical models; Constant Growth Dividend Discount Model (dividend yield model) and earnings yield model were 0.6% and -4.3% from year 1991 to year 2003. Comparing the same period of historical realized excess returns of 1.69% for arithmetic mean and -3.35% geometric mean, Taiwan stock market returns were not spectacular. The current equity risk premium of Taiwan stock market is low and should be near the level of the long historical realized equity excess return.
中文摘要
英文摘要
前言 7
第一章 緒論 8
1.1、研究背景 8
1.2、研究動機和目的 8
1.3、論文架構、流程 9
第二章 相關理論與文獻探討 10
2.1、股票超額報酬和風險溢酬的定義和重要性 10
2.2、已實現股市報酬率和股票超額報酬 13
2.3、理論報酬率和股市超額報酬 17
2.4、概要探討各項解釋因素和理論架構 19
第三章 研究方法 23
3.1、已實現歷史數據和資料來源 23
3.2、已實現股票超額報溢酬 24
3.3、理論股票超額報酬模型 26
第四章 研究結果與分析 31
4.1、已實現的台股超額報酬值 31
4.2、台灣股市理論超額報酬值 33
4.3、長期和目前合理的風險溢酬值 34
第五章 建議與結論 35
5.1.、結論 35
5.2.、後續研究與建議 36
參考文獻: 37
1. 中文部分: 37
2. 英文部分: 37
附錄表 40
附錄、表一. 1967年迄2003年台灣股市月實質超額報酬率 40
附錄、表二. 1967年迄2003年台灣股市年實質超額報酬率 41
附錄、表三.1967年迄2003年台灣股市、存款和通膨年成長率 42
附錄、表四.1991年迄2003年台灣股市理論超額報酬率 43
附錄、表五. ADF單根檢定結果AUGMENTED DICKEY-FULLER TEST 44
圖二-1、台灣1967-2003年，總名目投資報酬指數………… 16
圖四-1、台股實質超額報酬、1967年迄2003年之月資料……31
圖四-2、台灣1967-2003年總實質投資報酬指數…………… 32 |
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| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
89932040 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0089932040 |
| Data Type: | thesis |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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