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    題名: 聯邦模型在亞太市場之實證研究
    The Empirical Study on the Fed Model in Main Asia-Pacific Markets
    作者: 張碧娟
    Chang, Bi-Juan
    貢獻者: 郭維裕
    Kuo, Wei-Yu
    張碧娟
    Chang, Bi-Juan
    關鍵詞: 聯邦模型
    本益比
    十年期政府公債報酬
    反序累積平方和
    結構變異
    Fed model
    PE ratio
    10-year government bond yield
    reversed ordered cumsum squared (ROC)
    structural change
    日期: 2005
    上傳時間: 2009-09-18 14:11:00 (UTC+8)
    摘要: 聯邦模型（Fed Model）為一簡單股市報酬估計模型，認為股市之報酬率與政府十年期公債殖利率相近。本研究以此模型對亞太地區十個市場進行探討，並以反序累積平方和（Reversed Ordered Cusum squared，ROC）的方式偵測市場之結構變異，以做出更精確的預測與分析。所研究的市場包括澳洲、紐西蘭、日本、台灣、南韓、新加坡、香港、泰國、馬來西亞、以及菲律賓。我們得到的結論認為聯邦模型在澳洲、紐西蘭、日本、南韓、新加坡、及菲律賓的確有其效果存在，且在考量可能產生結構變異的時間點後，可使預測準確度提高。因此，我們可採用聯邦模型，做為資產在股市與債市間配置之參考工具。
    The Fed Model indicates that the stock market returns are very close to the long-term government bond yields. This article examines the Fed model in 10 main Asia-Pacific markets- Australia, New Zealand, Japan, Taiwan, Korea, Singapore, Hong Kong, Thailand, Malaysia, and Philippine. The Reversed Ordered Cusum squared (ROC) test is used to detect the structural changes, and improve the out-of-sample forecasting results. We conclude that the Fed Model has some prediction power in these 10 markets, and can be considered as a useful dynamic asset allocation tool.
    參考文獻: 1. Asness, C., 2003, “Fight the Fed Model: The relationship between future returns and stock and bond market yields”, Journal of Portfolio Management, 30, 11-24.
    2. Baryshevsky, D., 2003a, “Playing on profits cycle?” Finance, Economics Working Paper Archive at WUSTL.
    3. Baryshevsky, D., 2003b, “What is hidden in the Fed`s model? The second approximation”, Finance, Economics Working Paper Archive at WUSTL.
    4. Baryshevsky, D., 2004, “Pay Attention to Valuation”, Working Paper, http://safehaven.com/showarticle.cfm?id=1408&pv=1.
    5. Berge, K. and Ziemba WT., 2003, “The Predictive Ability Of The Bond Stock Earnings Yield Differential”, Manuscript, University of British Columbia.
    6. Durre A., Giot P., 2004, “Endorse or fight the Fed model? An international analysis of earnings, stock prices and bond yields”, Working Paper, http://www.core.ucl.ac.be/econometrics/Giot/Papers/fedmodel16.pdf.
    7. Faugère, C and Van Erlach, J., “A General Theory of Stock Market Valuation and Return”, Finance Economics Working Paper Archive at WUSTL.
    8. Giot, P. and Petitjean, M., 2004a, “Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Modelling: An International Comparison”, Working Paper, http://www.solvay.edu/EN/Research/documents/GIOT_PETITJEAN.pdf.
    9. Giot, P. and Petitjean, M., 2004b, “Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio”, Working Paper, http://www.crest.fr/seminaires/lfa/BEYR5.pdf.
    10. Koivu, M., Pennanen, T. and Ziemba, WT., 2005, “Cointegration Analysis of the Fed Model”, Preprint submitted to Elsevier Science.
    11. Malkiel, BG, 2004, “Models of Stock Market Predictability”, Journal of Financial Research, 27, 449-459.
    12. Pesaran, HM. and Timmermann, A., 2002, “Market Timing and Return Prediction Under Model Instability”, Journal of Empirical Finance, 9, 495-510.
    13. Salomons, R., 2004, “A tactical implication of predictability: fighting the FED model”, University of Groningen, Research Institute SOM Research Report.
    14. Weigand, RA. and Irons, RR., 2004 “The Market P/E Ratio: Stock Returns, Earnings, and Mean Reversion”, Working Paper.
    15. “Outstanding Issues in Finance: A Critical View of the Field”, http://www.albany.edu/~faugere/Outstanding%20Issues%20in%20Finance.htm. Cited 26 May 2005.
    16. “Is the so-called Fed model on stocks broken? ”, CNN money, 13 February 2003, http://money.cnn.com/2003/02/13/markets/fedmodel/, Cited 26 May 2005.
    17. “The Fed Model: Fix It Before You Use It”, The Wall Street Journal, 1 May 2005, http://online.wsj.com/article/SB111491292409921442-search.html?KEYWORDS=%22fed+model%22&COLLECTION=wsjie/archive.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351024
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093351024
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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