價值溢酬是否解釋股票報酬：全球實證

本研究主要探討四十五個MSCI代表性國家的價值溢酬之預測能力。我們延續Liu 和Zhang (2007) 之研究方法，並獲得一致的結論。價值溢酬結合了帳面市值比溢酬及市值帳面比溢酬之兩者週期性，故價值溢酬不具有規律的週期變動，因此在國際股票市場中價值溢酬不為一有效預測因子。本文進一步檢驗以上結論是否仍支持地區性及全球產業之架構。最後，我們發現市值帳面比溢酬之預測能力顯著優於帳面市值比溢酬。

關鍵字

Fama及 French ；價值溢酬；資產定價；景氣循環

並列摘要

The paper explores the predictive ability of the value spread based on a sample of 45 MSCI countries. We follow the methodology proposed by Liu and Zhang (2007) and support their evidence that the value spread is largely acyclic and is not a useful predictor of aggregate stock returns in international stock markets. The two components of the value spread, book-to-market spread and market-to-book spread, predict stock returns but with opposite signs. The results are robust for both developed and emerging countries. We further examine whether our evidence sustains in industrial-wide and regional-wide frameworks. Our overall evidence indicates that the predictive ability of the market-to-book spread is more robust than that of the book-to-market spread.