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。 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.
