房市災難、經濟災難與股票溢酬之謎

Housing Disasters, Economic Disasters, and Equity Premium Puzzle

周熙恩(Hsi-En Chou)

指導教授 ： 荷世平

國立臺灣大學/工學院/土木工程學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.03116

摘要

次貸風暴時因房市泡沫化而延伸至經濟與股票市場的崩跌，造成了嚴重性的影響，故本研究想分析災難下房市經濟與股市間的相互關係，理解股市資產的波動是否會受到房市災難與經濟災難資訊影響。其次藉由考量災難資訊的定價模型，實證房地產市場崩跌事件能夠解釋股票行為多少程度，並與經濟災難資訊做比較。本研究應用較為客觀的數值方法(Bry-Boschan方法與Helbling and Terrones方法)，來認定二十個已開發國家中的收縮期前1/4為災難。
災難分析結果呈現在含有房市災難或經濟災難的環境下，股票同期為負報酬的機率高達九成以上，且股票市場同時發生災難的機率也有五成左右，平均跌幅在-20%左右，顯示在災難環境中股票報酬是有明顯反應災難的情形。而房市與經濟災難間其波動對彼此皆有影響，當一方發生災難時，另一方發生災難的機率接近一半，顯示兩種災難可能伴隨一同發生。
其次檢驗考量災難資訊下的模型是否能解釋CCAPM中「股票溢酬之謎(Equity Premium Puzzle)」所提出模型解釋力不足6.18%股票風險溢酬值的部分。實證結果在考量了災難資訊下的模型相較於Lucas發展的傳統模型能更進一步解釋此溢酬問題，應用經濟災難資訊中解釋了6.83%的風險溢酬值，而考量了房市災難資訊下則能解釋3.39%風險溢酬值。這顯示了考量災難資訊後能夠使模型的解釋能力更好，且經濟災難資訊可以解釋大部分為何投資人們要求較高的風險報酬，房市上的災難考量則可補充經濟面所遺漏的部分災難資訊。兩種災難同時考量下，其合理的股票風險溢酬值為7.5%，可做為投資人在多考量經濟與房市災難影響下，所提出合理的風險報酬。

關鍵字

災難 ； 房價 ； 股票溢酬 ； 資產定價

並列摘要

Subprime Mortgage Crisis due to the housing market bubble which lead to economic recession and the stock market crash, causing the severity of impact. Therefore, this study is to analyze in the disasters, the relationship between the housing market, economy, and the stock market. To understand the changes in stock market assets, whether will be affected by the housing market and economic disaster information. Second, consider the disasters information to the asset pricing model to test the disaster events in real estate market, to explain how much of the stock investor behavior, and compare information with economic disaster. The study use a more objective numerical methods (Bry-Boschan methods and Helbling and Terrones methods) to identify twenty developed countries which the top 1/4 ranking of the contractions are disasters.
The study results show that in the hosuing market disaster or economic disaster environment, the stock have negative returns over 90%, and the shock market have the chances of disaster are about 50%, the average decrease of -20%, which appears the disaster situation is clearly reflected in the stock returns in the disaster environment. On the other hand, between the housing market and economic disaster are influenced by the fluctuation of each other. When one disaster, the other nearly half of the probability of a disaster, shows that the two may be accompanied with a disaster occur.
Test the model under consideration of disaster information, whether the CCAPM can explain “Equity Premium Puzzle” proposed model to estimate the value of less than 6.18% equity risk premium value. Empirical results in the consideration of disaster information model compares to the traditional model of Lucas can further explain this premium issue. Information in the application of economic disasters explain 6.83% of the risk premium value, and consider the housing market disasters information is able to explain the 3.39% risk premium value. This shows that, after consideration of disaster information to make the model better describes the phenomenon of risk return, and economic disaster information can explain why most stock investors require higher risk premiums, and the housing market disaster information can supplement the missing part of the economic side of the disaster information. Two kinds of disaster at the same time considerations, the reasonable value of the equity risk premium of 7.5% can be considered for stock investors more information about the disaster effects, proposed a reasonable risk premium.

並列關鍵字

Disaster ； Housing Price ； Equity Premium ； Asset Pricing

參考文獻

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