粗出生率變動對股票風險溢酬的影響–以OECD G7為例

Abstract

本論文以OECD G7為研究對象，探討粗出生率對於短年期及累積長年期股票風險溢酬的預測能力，採用資料長度跨及1960年至2009年。本研究以粗出生率為人口變數，加入股利殖利率、流動性貼水、每人每年平均消費額變動率為經濟變數，建立迴歸模型I；於迴歸模型II中加入以美國為基底的國家虛擬變數。 實證結果發現，粗出生率與累積未來長年期股票風險溢酬為顯著負相關，尤其對於累積未來20年股票風險溢酬解釋能力最佳，迴歸模型配適度達到28.78%，之後配適度逐漸下降。再者，粗初生率變動對於累積未來30年股票風險溢酬影響最大，每千人中新生嬰兒人數增加1人，會使股票風險溢酬下降0.0447。 由此實證結果，我們推論以累積未來20年為分界點，在孩子20歲以前，隨著小孩成長過程中養育費用的負擔，會使父母親調整其投資組合，減少股票資產配置，因而導致資金從股票市場流出，進而使股票風險溢酬下降。

This paper focuses on the OECD G7 to examine whether the crude birth rate can predict the equity risk premium at short and long horizons. We use pooled data sets, and the periods cover from 1960 to 2009. We employ the crude birth rate as our demographic variable, and control the dividend yield, the term spread, the continuously compounded change in aggregate consumption as our financial variables to construct model I. In model II, we add the country dummies and use the U.S. as the base. We find the evidence that crude birth rates are significant and negatively correlated with equity risk premiums at long horizons in both models. At the 20-year horizon, the adjusted R square, 28.78%, is the highest and then begins to decline in model I. And the influence of crude birth rates on equity risk premiums is the strongest at the 30-year horizon with the coefficient of CBR (the crude birth rate) comes to -0.0447. From our empirical results, we infer that during the period that children from birth to 20 years of age, parents tend to reduce stock investments which causes outflows from the stock market and further decreases equity risk premiums.