股票報酬離散性對經濟週期預測和預期報酬因子的影響 —中國大陸和台灣市場的比較

Abstract

本研究探討股票市場報酬離散性對於景氣指數和傳統報酬因數間的關係。樣本為2000.6至2015.6的中國大陸股票市場與臺灣市場上的所有上市公司。本研究股票報酬離散性的計算考慮平均加權與市值加權兩種加權法。本研究首先加入短期利率等控制變數，發現股票報酬離散性對於臺灣景氣指數有正向的預測效果，而對大陸市場則無。其次，在對於傳統定價因數的研究中發現：股票市場報酬對於市值因子具有很好的正向預測能力。而對於淨值市價比中：平均加權的股票市場離散性因數有較強的預測能力；而市值加權的股票市場報酬離散性因數則僅對於臺灣市場有較好表現。在個股動能中：平均加權的股票市場報酬離散性因數對於大陸市場的預測效果優於臺灣市場；同時以市值加權的股票市場報酬離散因數中，僅對於上海市場有良好的預測能力，其他市場則無。最後，本研究也對其結果做進一步的穩定性檢定，確保結果的有效性。

This study explores the effect of stock return dispersion on prosperity index and market return factors. The sample consists of all listed companies in Chinese stock markets and Taiwan stock markets from June 2000 to June 2015. This study first examines the forecast ability of stock return dispersion on prosperity index, and finds that the dispersion has a positive effect on prosperity index in Taiwan markets but no effect in Chinese markets. Cross-section regressions of market return factors on stock return dispersion find that stock return dispersion has a strong positive ability to forecast the future market value factor (SMB). For the book-market ratio（HML）, this study finds the equal-weighted stock return dispersion has the same results as SMB factor, but when we use the value-weighted stock return dispersion, only the Taiwan market shows significant results. In the momentum factor analysis, this study finds that the equal-weighted return dispersion has a stronger positive effect in Chinese markets than Taiwan markets, but the value-weighted return dispersion factor only performs well in the Shanghai stock exchange. Finally, this study uses our model to test across different periods to ensure the robustness to our results.