 |
|
|
|
以作者查詢圖書館館藏 、以作者查詢臺灣博碩士 、以作者查詢全國書目 、勘誤回報 、線上人數：45 、訪客IP：3.145.15.205
姓名 李存晟(Cun-sheng Li) 查詢紙本館藏 畢業系所 經濟學系 論文名稱 技術展望與橫斷面股票報酬-台灣實證分析
(technology prospect and cross-section of stock return: A Case Study of Taiwan)相關論文 檔案 [Endnote RIS 格式]
[相關文章]
[文章引用]
[完整記錄]
[館藏目錄]
[檢視]
- 本電子論文使用權限為同意立即開放。
- 已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
- 請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。
摘要(中) 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。
摘要(英) 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.
關鍵字(中) ★ 流動性限制
★ 技術展望關鍵字(英) ★ technology prospect
★ liquidity constraint論文目次 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
參考文獻 1. 中文
[1]陳禮潭、胡勝正(1997)，「不完全借貸市場、短視行為與恆常所得假說-臺灣消費函數之實證研究」，中央研究院經濟研究所，經濟論文，第28卷第2期，頁127-148。
[2]方智強、姚明慶(1998)，「台灣上市公司淨值市價比現象」，管理學報第15 卷第2 期，pp367-391。
[3]闕河士、菅瑞昌與黃旭輝(2000)，「研究發展密集度與專利對股票績效影響－以台灣上市公式為例」，產業管理學報，第1卷，第2期，257-268。
[4]周賓凰、劉怡芬(2000)，「台灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？」，證券市場發展季刊，第12卷，第1期，1-32。
[5]洪榮華、雷雅淇(2002)，「公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究」，管理評論第21卷第3期，25-48。
[6]陳榮昌(2002) ，「台灣股票報酬之結構分析」，中山大學財務管理研究所碩士論文。
[7]劉正田(2003)，「企業研發投資與淨值市價比現象*R&D Investment and Book-to-Market Ratio Phenomenon(2003)」，產業管理學報，第5卷，第2期，261-285。
[8]趙志遠(2003)，「台灣股市之效率檢定及多因素模型之探討—長期追蹤資料之計量分析」，中央大學產業經濟研究所碩士論文。
[9]何世宗(2006)，「台灣股市之多空市場及資產定價因子之實證研究」，中央大學產業經濟研究所碩士論文。
[10]林昭芃(2007)，「股市之價值溢酬及多因子模型之探討-以台灣股票市場為例」，中央大學產業經濟研究所碩士論文。
[11]鄭怡潔(2007)，「創新發明與公司特性之研究—以台灣專利統計為例」，中央大學產業經濟研究所碩士論文。
2. 英文
[1]Alexopoulos, Michelle (2006) “Read all about it!! What happens following a technology shock?”working paper, University of Toronto.
[2]Apedjinou, Kodjo and Maria Vassalou (2004) “Corporate innovation, price momentum, and equityreturns,” working paper, Columbia University.
[3]Balvers, Ronald J. and Dayong Huang (2007a) “Productivity-based asset pricing: Theory and evidence,” Journal of Financial Economics, 86, 405-445.
[4]Belo, Frederico (2006) “A pure production-based asset pricing model,” working paper, University of Minnesota.
[5]Campbell, John Y. (1993) “Intertemporal asset pricing without consumption data,” American Economic Review, 83, 487-512.
[6]Carhart, Mark M. (1997) “On persistence in mutual fund performance,” Journal of Finance, 52, 57-82.
[7]Chen, Nai-Fu, Richard Roll, and Stephen A. Ross (1986) “Economic forces and the stock market,” Journal of Business, 59, 383-403.
[8]Cochrane, John H. (1991) “Production-based asset pricing and the link between stock returns and economic fluctuations,” Journal of Finance, 46, 209-237.
[9]Cochrane, John H. (1996) “A cross-sectional test of an investment-based asset pricing model,” Journal of Political Economy, 104, 572-620.
[10]Cochrane, John H. (2001) Asset Pricing, Princeton University Press.
[11]Daniel, Kent and Sheridan Titman (2006) “Market reactions to tangible and intangible information,” Journal of Finance 61, 1605-1643.
[12]Fama, Eugene and Kenneth French (1993) “Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics, 33, 3-56.
[13]Friedman, Milton (1957) A Theory of the Consumption Function, Princeton: Princeton University Press
[14]Griliches, Zvi (1990) “Patent statistics as economic indicators: A survey,” Journal of Economic Literature, 28, 1661-1707.
[15]Hall, Bronwyn, Adam Jaffe, and Manuel Trajtenberg (2001) “The NBER patent citation data file: Lessons, insights and methodological tools,” NBER Working Paper 8498.
[16]Hansen, Lars Peter and Kenneth J. Singleton (1983) “Stochastic consumption, risk aversion, and the temporal behavior of asset returns,” Journal of Political Economy, 91, 249-268.
[17]Hodrick, Robert and Edward C. Prescott (1997) “Postwar U.S. business cycles: An empirical investigation,” Journal of Money, Credit, and Banking, 29, 1-16.
[18]Hsu, Po-Hsuan (2009) “Technological Innovations and Aggregate Risk Premiums,” working paper, University of Connecticut.
[19]Joseph P. Kaboski and Robert M. Townsend (2007) “The Impacts of Credit on Village Economies,” Working Papers.
[20]Lamont, Owen (2001) “Economic tracking portfolios,” Journal of Econometrics, 105, 161-184.
[21]Lettau, Martin and Sydney Ludvigson (2001a) “Consumption, aggregate wealth and expected stock returns,” Journal of Finance, 51, 815-849.
[22]Lettau, Martin (2003) “Inspecting the mechanism: Closed-form solution for asset prices in real business cycle model,” Economic Journal, 113, 550-575.
[23]Li, D (2007) “Financial constraints, R&D investment, and stock returns,” Unpublished working paper. University of California San Diego.
[24]Lin, X (2007) “Endogenous technological progress and the cross section of stock returns,” Unpublished working paper. University of Minnesota.
[25]Merton, Robert C. (1973) “An intertemporal capital asset pricing model,” Econometrica, 41, 867-887.
[26]Newey, Whitney K. and Kenneth D. West (1987) “A simple, positive semi-positive, heteroskedasticity and autocorrelation consistent covariance matrix,” Econometrica, 55, 703-708.
[27]Solow, Robert M. (1957) “Technical change and the aggregate production function,” Review of Economics and Statistics, 39, 312-320.
[28]Vassalou, Maria (2003) “News related to future GDP growth as a risk factor in equity returns,” Journal of Financial Economics, 68, 47-73.
指導教授 王銘正、陳禮潭
(Ming-zheng Wang、Lii-tarn Chen)審核日期 2009-7-22 推文 plurk
funp
live
udn
HD
myshare
netvibes
friend
youpush
delicious
baidu
網路書籤 Google bookmarks
del.icio.us
hemidemi
facebook
twitter
google
reddit