Examining Fundamentals and Fads in the Taiwan Stock Market

台灣股市資產定價的基本與時尚之探討

10.30003/JRM.200507.0001

陳明祥(Ming-Hsiang Chen)

基本 ； 時尚 ； 資產定價 ； 台灣股市 ； Fundamentals ； Fads ； asset pricing ； Taiwan stock market

風險管理學報

7卷2期（2005 / 07 / 01）

111 - 134

英文

根據Lucas（1978）模式，Dumas and Sengupta（1994）利用美國類股資料以推得資產價格與資產股利間的一線性關係，並藉此來審視資本定價的基本與時尚。Dumas and Sengupta（1994）辯論美國股市股價無法被股利解釋的超額變動可歸因於在股市暫時流行的時尚。本文運用Dumas and Sengupta（1994）與Burnside（1998）兩種不同版本的Lucas模型解法來檢視是否基本與時尚能解釋台灣股市的高額報酬。實證結果發現，基本，也就是利用模型所推得股價與股利間的關係，並無法解釋股市的歷史報酬。另外，本文也發現時尚似乎也不存在於台灣股市。

Based on the Lucas (1978) asset pricing model, Dumas and Sengupta (1994) argued that the excess volatility in asset prices in the US stock market, which cannot be justified by dividends, could be attributed to fads that are momentarily active in the entire market. In this study, we exploit two versions of the Lucas (1978) model using solutions suggested by Dumas and Sengupta (1994) and Burnside (1998) to examine whether market fundamentals or fads were responsible for high returns in the Taiwan stock market. Empirical results from both models indicate that the volatile dividend movements fail to rationalize the historical stock returns. Moreover, the excess volatility in stock prices cannot be justified by fads, either.

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