| 摘要: | 本研究探討包含人力資本報酬之資本定價模型於台灣市場之適用性。採用Campbell(1993,1996)在代表性投資人於預算限制下求Epstein and Zin(1989,1991)與Weil(1989)型態效用函數極大化導出包含人力資本報酬之一般化資產定價模型,再根據VAR方法得出可供實證估計與假設檢定之多因子模式,所考慮之因素包括股票指數報酬率、有助於預測未來股票報酬率之變數、有助於預測未來勞動所得成長率之變數。然後利用GMM方法進行估計與假設檢定。利用此估計結果可分析台灣市場風險與報酬之橫斷面關係,各因子之貢獻與重要性,風險趨避係數與證券溢價之關係,平均數復歸現象存在與否,及平均數復歸和人力資本之關係,還有消費之干擾效果。
The project applied the asset pricing model that allows for human capital as a component of wealth to Taiwan market. The model is based on Campbell (1993, 1996), a log-linear approximation to the budget constraint is used to get a closed-form solution for the consumption of a representative investor facing conditionally lognormal and homoskedastic asset returns, and maximization the utility function proposed by Epstein and Zin (1989, 1991) and Weil (1989). This 11 derived an asset pricing formula that makes no reference to consumption, instead relating assets' returns to their covariances with the market return and news about future market returns. The return on human capital was imputed from data on aggregate labor income and asset returns. The vector autoregressive approach was adapted to derive testable implications of the asset pricing formula, and generalized method of moments (GMM) was used to estimate and test asset pricing models. From the model estimated, the cross-sectional relationship between risk and return in Taiwan market, the equity premium and the coefficient of relative risk aversion, and consumption innovation was analyzed. |
