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  • 學位論文

價值溢酬是否解釋股票報酬:全球實證

Does Value Spread Predict Stock Returns? International Evidence

指導教授 : 柯冠成

摘要


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。

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.

參考文獻


5. References
Barberis, N., A. Shleifer and J. Wurgler, 2005. Comovement. Journal of Financial Economics, 75, 283-317.
Bekaert, G., J. Hodrick and X. Zhang, 2009. International stock reutrn comovements. Journal of Finance, 64, 2591-2626.
Campbell, J.Y., Vuolteenaho, T., 2004. Bad beta, good beta. American Economic Review, 94, 1249-1275.
Cohen, R., C. Polk and T. Vuolteenaho, 2003. The vaule spread. Journal of Finance, 58, 609-641.

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