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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 許耀文 | |
| dc.contributor.author | Yu-Li Wang | en |
| dc.contributor.author | 汪育立 | zh_TW |
| dc.date.accessioned | 2021-06-13T15:48:47Z | - |
| dc.date.available | 2008-07-03 | |
| dc.date.copyright | 2008-07-03 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-06-27 | |
| dc.identifier.citation | 參考文獻
Abel, A.B. 1999. 'Risk Premia and Term Premia in General Equilibrium' Journal of Monetary Economics, 43:3-33. Bansal, Ravi and Amir Yaron. 2004. 'Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles.' Journal of Finance, 59:1481-1509. Bansal, Ravi, Dana Kiku, and Amir Yaron. 2006. 'Risks for the Long Run: Estimation and Inference.' Working paper. Bansal, Ravi. 2007. 'Long-Run Risks and Financial Markets.' NBER working paper 13196. Campbell, J.Y. Forthcoming 2003. “Consumption Based Asset Pricing.” In Handbook of the Economics of Finance. Edited by G.M. Constantinides, M. Harris, and R. Stulz. Amsterdam, Netherlands: North-Holland. Campbell, John Y. 1999. 'Asset prices, consumption, and the business cycle' in: J. Taylor and M. Woodford, eds., Handbook of Macroeconomics, Vol. 1, Chapter 19, pp. 1231-1303. Campbell, John Y. 2007. 'Estimating the Equity Premium.' NBER working paper 13423. Campbell, John Y. and T. Vuolteenaho. 2003. 'Bad Beta, Good Beta.' NBER working paper 9509. Chien, Chih-Chung, Yao-Wen Hsu, and S. Ping Ho 2008. 'Do Housing Prices Predict Stock Returns? ' Academia Economic Paper, 36（1）:89-139 Cocco, J.F. 2005. 'Portfolio Choice in the Presence of Housing' Review of Financial Studies, 18:535-567. Cochrane, J.H. 2001, Asset Pricing, Princeton University Press, Princeton, New Jersey. Colacito, Riccardo and Mariano M. Croce. 2006. 'Risks for the Long Run and the Real Exchange Rate.' Working paper. Croce, Mariano M., Martin Lettau, and Sydney C. Ludvigson. 2006. 'Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows.' Working paper. Donaldson, John and Rajnish Mehra. 2007. 'Risk Based Explanations of the Equity Premium.' NBER working paper 13220. Epstein, L. and S. Zin 1989. 'Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical framework' Econometrica, 57:937-968. Epstein, L. and S. Zin 1991. 'Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Investigation' Journal of Political Economy, 99:263-286. Grossman, S.J. and R.J. Shiller 1981. 'The Determinants of the Variability of Stock Market Prices' American Economic Review, 71:222-227. Hamilton, J.D. 1994, Time series Analysis, Princeton University Press, Princeton, New Jersey. Hansen, L.P. and K.J. Singleton 1983 'Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns' Journal of Political Economy, 91:249-268. Lettau, Martin and Jessica Wachter. 2005. 'Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.' NBER working paper 11144. Lochstoer, Lars and Georg Kaltenbrunner. 2006. 'Long-Run Risk through Consumption Smoothing.' Working paper. Lucas Jr, R.E. 1978. 'Asset prices in an exchange economy' Econometrica, 46:1429-1446. Malloy, Christopher J., Tobias J. Moskowitz, and Annette Vissing-Jorgensen. 2006. 'Long-Run Stockholder Consumption Risk and Asset Returns.' Working paper. Mehra, R. and E. Prescott 1985. 'The Equity Premium Puzzle' Journal of Monetary Economics, 15:145-161. Mehra, Rajnish 2003. 'The Equity Premium: Why Is It a Puzzle?' Financial Analysts Journal, 59（1）:54-69. Piazzesi, M., M. Schneider and S. Tuzel 2007. 'Housing, Consumption, and Asset Pricing' Journal of Financial Economics, 83（3）:531-569. Rubinstein, M. 1976. 'The Valuation of Uncertain Income Streams and The Pricing of Options' Bell Journal of Economics, 7:407-425. Santos, T. and P. Veronesi 2006. 'Labor Income and Predictable Stock Returns' Review of Financial Studies,19:1-44. Weil, P. 1989. 'The Equity Premium Puzzle and the Risk-free Rate Puzzle' Journal of Monetary Economics 24:401-421. Yogo, Motohiro 2006. 'A Consumption-Bsed Explanation of Expected Stock Returns' Journal of Finance, 61:539-580. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37878 | - |
| dc.description.abstract | 本文回顧了以往財務經濟學家所探討之消費基礎資產定價理論在不同的效用函數與假設下，其對資產風險溢酬的解釋為何。接著，本文從消費基礎資產定價理論最初始的兩期模型出發，並且假設效用函數為遞增函數，其邊際效用為遞減，效用函數為二階可微分，藉此本文將效用函數作二階泰勒展開，來操作模型，我們發現當理性投資人的可支配所得有一個正衝擊時，投資人會同時將增加的資金用於當期消費與購買資產。本文以此論述綜合Campbell（2003）所提出之觀點，當期消費成長率的正衝擊會使得當期的股票風險溢酬增加，因此，本文認為前一期國民可支配所得季增率對於當期股票市場的大盤風險溢酬有正向的影響，而我們在台灣的樣本資料上，對於上述之論點獲得了顯著的實證結果支持，另外，在日本樣本資料方面，也能在10%的信心水準下獲得實證上的支持。 | zh_TW |
| dc.description.abstract | We rewrite the utility function as the second-order Taylor’s series under the basic assumptions of Consumption-based CAPM. We then show the growth rate of disposable income can affect the growth rate of consumption. Campbell (2003) argues that the growth rate of consumption have influence on the excess return of assets. Based on this point and our finding, we show that one of the risks of the market portfolio can arise from the growth rate of disposable income. A regression of the risk premium of market portfolio on lagged value of the growth rate of disposable income produces statistically significant coefficients using the empirical data of Taiwan and Japan. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T15:48:47Z (GMT). No. of bitstreams: 1 ntu-97-R95724070-1.pdf: 420832 bytes, checksum: 64e0fb7c2f012c14b391489340982527 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | 目錄
口試委員會審定書..........................................i 摘要.................................................... ii Abstract ...............................................iii 一、緒論................................................. 1 二、文獻回顧............................................. 5 三、研究方法............................................. 9 3.1 Consumption-Based Asset Pricing ................. 9 3.2 二階近似法...................................... 14 3.3 實證方法.........................................18 3.3.1 模型變數定義.............................. 19 3.3.2 迴歸模型.................................. 19 四、實證結果............................................ 21 4.1 資料來源.........................................21 4.2 樣本資料敘述統計................................ 22 4.2 樣本資料單根檢定................................ 23 4.3 實證結果分析.................................... 25 五、結論與建議.......................................... 35 參考文獻................................................ 37 表一.....................................................23 表二.....................................................24 表三.....................................................26 表四.....................................................27 表五.....................................................32 圖一.....................................................29 圖二.....................................................29 圖三.....................................................31 圖四.....................................................31 | |
| dc.language.iso | zh-TW | |
| dc.subject | 可支配所得 | zh_TW |
| dc.subject | 資產定價 | zh_TW |
| dc.subject | 消費 | zh_TW |
| dc.subject | 風險溢酬 | zh_TW |
| dc.subject | 股票報酬 | zh_TW |
| dc.subject | consumption | en |
| dc.subject | predictable | en |
| dc.subject | stock return | en |
| dc.subject | disposable income | en |
| dc.subject | CCAPM | en |
| dc.title | 可支配所得能否預測消費與股票報酬? | zh_TW |
| dc.title | Does Disposable Income Predict Consumption and Stock
Returns? | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 96-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 荷世平,吳學良 | |
| dc.subject.keyword | 資產定價,消費,風險溢酬,股票報酬,可支配所得, | zh_TW |
| dc.subject.keyword | CCAPM,consumption,disposable income,stock return,predictable, | en |
| dc.relation.page | 39 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2008-06-27 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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