人口扶養比對股票風險溢酬的影響–以OECD G7為例

Abstract

本論文以OECD G7國家為研究對象，主要探討人口扶養比對短年期及累積長年期之股票報酬的預測關係，並加以考慮此預測關係是否因各國家之社會福利不同而有顯著改變。根據假設，當勞動人口需扶養更多受扶養人口時，其經濟壓力上升並在未來預期會有更多支出產生，此經濟壓力促使其傾向追求長期而言擁有更高收益率的資產，例如股票，而後當人們投資越多的股票時，墊高股票基期價格，進而使股票風險溢酬下降。所以本論文推論當扶養比上升時，股票風險溢酬下降。 實證結果發現，人口扶養比與累積長年期股票報酬為顯著負相關，符合本論文假設，並且於較低社會福利國家中，此負向關係更為顯著。本論文推論是由於低福利國家的勞動人口對於未來預期支出更為憂心，因此傾向持有更多高收益率資產所致。

In this thesis, we examine the relationship between the age dependency ratios and the equity risk premiums by evaluating the international data across the G7 countries at short-term and long-term horizons. Based on our assumption, because the rise of the dependency population contributes to more anxiety about the future consumption of the working age population, they tend to pursue more risky assets with higher average returns, like stocks. This tendency further reduces equity risk premiums. The empirical result shows that, on average, an increase in the age dependency ratios significantly decreases the long-term equity risk premiums. Moreover, the predictability of demographic variables is stronger in the countries with lower benefit expenditure. Briefly, we find that the age dependency ratios are significant predictors of the equity risk premiums.