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    Title: 臺灣人口死亡率對股票超額報酬的影響
    Other Titles: Mortality rate and stock market excess returns in Taiwan
    台灣人口死亡率對股票超額報酬的影響
    Authors: 康鐔;Tan, Kang
    Contributors: 淡江大學保險學系保險經營碩士班
    繆震宇;Maio, Chen-yu
    Keywords: 死亡率;超額報酬;人口結構;mortality;Excess returns;demographic structure
    Date: 2008
    Issue Date: 2010-01-11 02:00:23 (UTC+8)
    Abstract: 本文利用台灣的死亡率資料的和其他的經濟變數,研究台灣人口死亡率的變動對超額報酬產生的影響,倘若死亡率對超額報酬的確存在影響,則除了能夠用以推測經濟環境未來可能的走向之外,亦可提供投資人做為採行長期投資決策時的參考,例如對保險公司來說,除了在規劃其負債面,亦即保險費收入與責任準備金的提存時,須考慮死亡率變動所造成的影響,其資產面將亦受到死亡率影響,因此希望本文的研究結果,能提供進一步的資訊,使保險公司在衡量其投資收益和所面對的投資風險時,可以同時考量死亡率的變動以訂定投資決策,使其的資產管理更能符合其需要。
    本研究建立了三個假說,假說一認為25歲以上人口死亡率下降,將使超額報酬上升;假說二認為25歲至64歲人口死亡率下降,將使超額報酬上升;假說三認為65歲以上人口死亡率下降,將亦使超額報酬上升。而本文的研究結果支持假說一與假說二,但並不支持假說三,25歲以上人口與25歲至64歲人口之死亡率下降確使超額報酬上升,但65歲以上人口死亡率下降,將使超額報酬下降。
    In this article, we examine the relationship between mortality rate and stock market excess returns in Taiwan. This research establish 3 hypothesis. The first hypothesis states that mortality of persons above 25 has negative effect on excess returns. The second hypothesis states that mortality of persons between 25 and 64 has negative effect on excess returns. The third hypothesis states that mortality of persons above 65 has negative effect on excess returns. The result support hypothesis 1 and hypothesis 2, but ,however , not hypothesis 3. The increase in the mortality of persons above 65 significantly increases excess returns.
    Appears in Collections:[保險學系暨研究所] 學位論文

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