台灣股票市場超額報酬之預測

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姓名

覃志揚(Chih-yang Chin) 查詢紙本館藏

畢業系所

產業經濟研究所

論文名稱

台灣股票市場超額報酬之預測
(Forecast for Taiwan Stock Market Excess Returns)

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摘要(中)

本研究利用樣本期間1995年至2008年台灣股票市場上市公司資料，探討如何利用風險來解釋與預測超額報酬，透過在模型中加入獨特性變異數做為影響投資機會變數之變異數的代理變數，來修正單獨利用股票市場變異數衡量風險時所高估的部分，同時亦比較不同計算方式之獨特性變異數對預測結果的影響。
研究結果顯示，僅考慮股票市場變異數時，不能預測台股超額報酬，若加入獨特性變異數後，則兩者能共同預測台股超額報酬。不同計算方式之獨特性變異數於樣本內預測時都表現良好，樣本外預測時，保留越長的樣本外期間，方能凸顯加權平均獨特性變異數優於平均獨特性變異數。

摘要(英)

In this paper, we use the idiosyncratic variance and stock market variance jointly forecast Taiwan stock market excess returns. We construct value-weighted and equal-weighted average idiosyncratic variance, and then compare their impact on the results.
Our empirical results show that the idiosyncratic variance and stock market variance can jointly forecast Taiwan stock market excess returns, but stock market variance alone does not. The performances from different ways to calculate the idiosyncratic variance are the same in the in-sample forecasts. However, if the out-of-sample periods to be retained are longer , value-weighted average idiosyncratic variance will be better than equal-weighted idiosyncratic variance in the out-of-sample forecasts.

關鍵字(中)

★ 超額報酬
★ 獨特性變異數

關鍵字(英)

★ excess returns
★ idiosyncratic variance

論文目次

中文摘要 i
英文摘要 ii
目錄 iii
圖目錄 iv
表目錄 iv
1緒論 1
1.1 研究背景 1
1.1.1 證券市場之意義與功能 1
1.1.2 股票市場之超額報酬現象 2
1.2 研究動機與目的 4
1.3 研究架構 6
2文獻探討 8
3研究方法與樣本設計 13
3.1資料來源與處理 13
3.2變數說明與計算 13
3.2.1股票市場變異數(MV) 13
3.2.2獨特性變異數(IV) 14
3.3模型設計與統計方法 18
3.3.1單根檢定(Unit root test) 18
3.3.2殘差診斷性檢定(Diagnostic Test on Residual) 20
3.3.3模型設計 22
4實證結果之探討 23
4.1敘述統計結果與分析 23
4.2單根檢定 29
4.3樣本內預測 31
4.4樣本外預測 36
4.5本節小結： 38
5結論 40
5.1結論 40
5.2研究限制與建議 41
參考文獻 42
國內文獻 42
國外文獻 42

參考文獻

國內文獻
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[2] 黃啟哲，「獨特性風險的估計：以台灣上市股票為例」，國立高雄第一科技大學，碩士論文，2003。
國外文獻
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指導教授

陳禮潭、陳忠榮
(Lii-tarn Chen、Jong-rong Chen)

審核日期

2009-7-20

推文