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題名 | 跨期性資本資產訂價--臺灣股市實證分析=Intertemporal CAPM--Empirical Evidence on Taiwan Data |
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作者 | 楊麗玲; 陳文進; 郭保蘭; Yang, Li-ling; Chen, Wen-chin; Kuo, Pao-lan; |
期刊 | 中華技術學院學報 |
出版日期 | 20050600 |
卷期 | 32 民94.06 |
頁次 | 頁45-63 |
分類號 | 563.53 |
語文 | chi |
關鍵詞 | 跨期性資本資產訂價模型; 互動關係; 向量自我迴歸; Intertemporal CAPM; Dynamic relationships; Vector autoregressive; VAR; |
中文摘要 | Sharpe (1964)提出了CAPM的風險--績效衡量方法,確立了資產報酬與風險的基本關係,在這模型下之資本資產定價為靜態模式,屬橫斷面分析,本研究擬採縱斷面分析探討跨期性之資本資產定價。研究方法乃是參照Fountas, Lally and Wu (1999)之做法,將變數間之前期不均衡項(period disequilibrium term)引入向量自我迴歸模型(Vector Autoregressive Model,簡稱VAR)探討攸關股價報酬之經濟變數互動情形及可預測股價報酬之指標。本文採用的變數為實質股價指數報酬率(real market return rate)、實質電子類股指數報酬率(real portfolio return rate)、實質短期信用利差(流動性貼水real term premium)、實質股利率(real dividend yield)以及包含通貨膨脹訊息之郵匯局一個月期定存利率(此處視為無風險報酬率,no risk return),資料期間為1994年11月至2002年12月的月資料。本研究利用跨期性CAPM模型,實證獲得結果為:臺灣股票市場--市場報酬率的變動,受到電子股價指數報酬率和股利率兩因素的影響,投資人可以利用此兩因素的歷史資料來增加對市場報酬率的預測。 |
英文摘要 | Nobel laureate William Sharpe (1964) gives the method of risk-adjusted performance measures of CAPM model, which identifies the basic relationship of assets return and risk. In his research, Sharpe, from the horizontal analysis, measures the reward to (total) volatility trade-off over a sample period. In this article, we adopted the multifactor model of security returns (called the intertemporal CAMP) to analyze the volatility of market returns in Taiwan Stock Market (TSM). Following the methods of Fountas, Lally and Wu (1999), we introduce the period disequilibrium term amongst variables into Vector Autoregressive model (VAR) to study the co-relationship amongst economic variables related to stock returns and the benchmark of the predicable stock returns. The variables include real market index return rate, real electronic portfolio return rate, real short-term premium, real dividend yield and one-month interest rate of P.O. time deposit, which is deemed as no risk return and implies the inflation message. The period of monthly data collected is from November 1994 to December 2002. The empirical results suggest that volatility of the market returns of TSM is influenced by the two factors of real electronic portfolio return rate and real dividend yield. Investors are able to enhance their forecasts on market return ratio by utilizing the historical data of these two factors. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。