题名

人力所得、條件資本資產評價模式、及橫斷面股票報酬

并列篇名

Labor Income, Conditional CAPM, and the Cross Section of Stock Returns in Taiwan

DOI

10.6545/JFS.2009.17(1).2

作者

黃一祥(I-Hsiang Huang)

关键词

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

期刊名称

財務金融學刊

卷期/出版年月

17卷1期（2009 / 03 / 31）

页次

41 - 74

内容语文

繁體中文
中文摘要

本文旨於以台灣上市價公司為研究對象，實證考量人力所得報酬以改善市場投資組合之衡量問題，和允許市場風險溢酬隨時間變動的條件CAPM，相較於靜態CAPM，是否能提高對橫斷面股票投資組合報酬的解釋能力。實證結果顯示，相較於靜態CAPM，考量人力所得的靜態CAPM有明顯降低定價誤差及提高對報酬的解釋能力，但條件CAPM對報酬變異的解釋績效僅稍微優於靜態CAPM和考量人力所得的靜態CAPM。本文進一步發現小市值－成長投資組合和大市值－價值投資組合分別存在顯著異常的正定價誤差和負定價誤差。
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
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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被引用次数
  1. Yang, Wan-Ru,Huang, I-Hsiang,Huang, Hsu-Huei,Chang, Chih-Hsiang(2013).Testing the cost of capital effects of Taiwan's first stock market liberalization.財務金融學刊,21(3),63-96.
  2. 黃旭輝、黃一祥、張志向、呂耿光(2010)。公司特有風險與橫斷面股票預期報酬—台灣股市之實證。經濟論文，38(3)，503-542。
  3. (2009)。系統性風險之估計及對橫斷面股票報酬之解釋能力—投資組合重構頻率之影響。證券市場發展季刊，21(3)，107-142。
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