週期性本益比編制之研究─以台灣為例

Study of Cyclical Adjusted Price to Earnings Ratio - Taiwan

黎孟帆(Meng-Fan Li)

指導教授 ： 李賢源

國立臺灣大學/管理學院/財務金融學研究所/碩士(2020年)

https://doi.org/10.6342/NTU202001285

摘要

本研究以美國股市為例，探討週期性本益比(Cyclical Adjusted Price to Earnings Ratio, CAPE)之編製方式，並比較其與傳統本益比衡量股市之解釋能力。研究結果發現，CAPE對股市報酬率的解釋能力優於傳統本益比，且對長期報酬率解釋能力高於短期報酬率。本文亦編制台灣CAPE，得到相同的結論。

關鍵字

週期性本益比 ； 傳統本益比 ； 股市 ； 報酬率

並列摘要

This study takes the US stock market as an example to explore the compilation method of Cyclical Adjusted Price to Earnings ratio (CAPE), and compares it with the traditional Price to Earnings ratio to measure the explanatory power of the stock market. The results of the study found that CAPE's ability to explain stock market returns is better than traditional PE ratios, and its ability to explain long-term returns is higher than short-term returns. This article also compiles Taiwan CAPE, and the same conclusion is reached.

並列關鍵字

CAPE ； PE ； stock market ； returns

參考文獻

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Campbell, J. Y., Shiller, R. J. (1988b). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. The Review of Financial Studies, 1(3), 195–228.