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題 名 | 人力所得、條件資本資產評價模式、及橫斷面股票報酬=Labor Income, Conditional CAPM, and the Cross Section of Stock Returns in Taiwan |
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作 者 | 黃一祥; | 書刊名 | 財務金融學刊 |
卷 期 | 17:1 2009.03[民98.03] |
頁 次 | 頁41-74 |
分類號 | 563.54 |
關鍵詞 | 資本資產訂價模式; 人力所得風險; 系統性風險; 條件變數; 定價誤差; CAPM; Labor income risk; Systematic risk; Conditioning variable; Pricing error; |
語 文 | 中文(Chinese) |
英文摘要 | Using Taiwanese stock data, this paper shows that the explanatory power of static CAPM for cross-sectional stock portfolio return is enhanced when return on human capital is considered in measuring aggregate wealth. Unlike the evidence from the U.S. market that the performance of conditional CAPM is considerably better than static CAPM, the evidence from Taiwan stock market indicates that the conditional CAPM performs slightly better than the statistic CAPM and the static CAPM with the consideration of labor income risk. The result can be explained by the fact that the small-growth firms and the big-value firms have significantly positive pricing errors and negative pricing errors respectively. The result does not change substantially after taking various important factor sensitivities and portfolio characteristics into account. |
本系統中英文摘要資訊取自各篇刊載內容。