本文主要研究台股加權指數(TAIEX) 分別對長期與短期的可預測性。探討股利收益 率與短期利率是否對超額報酬、股息增長與利率有預測能力。我們感興趣的目標為台 灣經濟新報(TEJ) 中的台灣加權指數, 研究時間為民國76 年1 月至民國102 年 1 月, 共313 個月。利用預測迴歸與Andrew 和Geert (2007) 所提出的預測方法, 針對所選擇的研究變數進行資料蒐集, 蒐集之對象包含每月台股加權指數之收盤價和股 利率的月資料。研究結果顯示, 股利收益率和短期利率只有在短期對超額報酬作預測有 預測性。 In this thesis, mainly researched data is the Taiwan capitalization weighted index (TAIEX), the purpose of the study is to examine the predictive power of the dividend yields and short rate for forecasting excess return, cash flows, and interest rates over long period and short period. We use the monthly data of TAIEX in the Taiwan Economic Journal (TEJ) and refer to Andrew and Geert ( 2007) that proposed prediction method. The data analysis in this thesis is collected from January, 1987 to January, 2013, total of 313 months. To collect data for the selected variables is the closing price of the monthly TAIEX and the monthly dividend. The empirical results shows that, dividend yields predict excess returns only at short horizon together with the short rate and do not have long-horizon predictive power. At short horizon, the short rate predicts returns with strongly negative relationship.
