人口對長期股票報酬影響之再探討

A further Research on Demographic and Long-Run Stock Market Returns

楊凱傑(Kai-chieh Yang)

指導教授 ： 繆震宇

淡江大學/商管學院/保險學系保險經營碩士班/碩士(2018年)

https://doi.org/10.6846/TKU.2018.00468

摘要

近年來因醫療技術進步與生活型態的轉變已使得生育率與死亡率下降不斷，而高齡化社會已成為全球已開發國家中面臨已久且亦須深化改革的議題。而在近期研究也顯現人口統計變數將會對資本市場報酬產生影響，以此作為前提下，由個人理財至壽險公司在面臨長壽風險可能帶來的損失做投資決策時，可再加入人口統計變數與股票溢酬影響此項因素，即透過自然避險的方式調整來管理資本市場的不確定性，勢必可擬定一套健全的避險策略。
本研究結果發現，在以G7及台灣的資料分析時，股利殖利率皆對股票報酬有顯著正向影響，僅義大利與德國較無影響，而所採用的四項不同之人口變數對多數樣本國家的長期股票報酬出現了顯著影響，並也因人口變數當中以不同的年齡層作為比例而對報酬的影響不盡相同。研究發現，當資本市場報酬率受死人口趨勢影響時，則愈能透過資本市場來管理長壽風險。

關鍵字

人口 ； 資本市場 ； 死亡率風險

並列摘要

In recent years, due to the change of medical technology and life style, the fertility and mortality rate has been declining, and the aging society has become a long-standing issue in the developed countries and needs to be further reformed. And in the recent studies also show that demographic variables will have an impact on the capital market returns. With the presuppositions, from personal finance to life insurance companies in the face of the risk of longevity risks, both of them make investment decisions, could take into account the factor of demographic variables effect on stock premium, That is, regulating the uncertainty of capital market returns through natural risk-aversion is bound be a sound hedging strategy.
The results of this study show that dividend yields have a significant positive effect on stock returns in G7 and Taiwan, only Italy and Germany are unaffected. Moreover, the four different demographic variables have a significant effect on long-term equity returns in most sample countries, and also by using different age groups as a proportion of the population variable, the impact on the returns are different. The research found that when the rate of return on the capital market was effected from the demographic trends, longevity risks were also managed through the capital markets.

並列關鍵字

Demographic ； Stock returns ； Longevity risks

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