台灣股票市場『超額報酬迷思』課題之研究-從借貸限制與資訊不對稱觀點

Abstract

股票市場中存在一些異常現象，如日曆效應、類股效應、超額報酬等，其中超額報酬現象一直是證券市場領域中重要的研究課題。我們知道股票市場的報酬率始終較債券市場的報酬率高出許多，而至目前為止，文獻中關於股票市場超額報酬現象之研究都是從資本資產定價模型的觀點出發，也就是從市場風險的角度對該現象進行解釋，結果顯示市場風險的確是可以解釋股票市場高報酬現象的主要因素，但近來一些學者發現股票市場超額報酬的程度已超越市場風險可以解釋的範圍，顯示除了風險因素外，尚存在其他可能導致股票市場存在超額報酬現象的因素，此概念為股票市場超額報酬現象之研究開啟了新的研究方向，使我們得以由新的觀點重新檢視對股票市場超額報酬課題之研究。 本論文主要在探討台灣市場是否存在因個人在薪資、教育程度、年齡等變項上之差異導致個人在投資報酬方面有所差異之情形，整體研究目的在於探討自變數（薪資、教育程度、年齡等）與因變數（股票市場發行量加權股價指數）間的關係為何，進一步研究借貸限制、資訊不對稱、資本市場的參與限制等觀點是否可以合理解釋股票市場超額報酬現象。研究結果顯示，台灣市場中因個人薪資、教育程度、年齡之差異的確會形成股票市場報酬的差異，亦即由借貸限制、資訊不對稱與資本市場的參與限制等觀點可以對台灣股票市場超額報酬迷思之課題提出合理的解釋。

There are some anomalies in the stock market, such as the calendar effect、sector effect and excess return etc. Among these anomalies, excess return is always the important subject in the field of equity market. As we all learn that the equity return on equities remains higher than that on bonds. But so far, the historical research on the equity premium is based on the vision of CAPM, and tries to explain the anomalies through the aspect of the high risk existing in the equity market. The result reveals that risk is the main factor to successfully explain the excess return in stock market. Recently, some researchers find that the high degree of equity premium in stock market has been beyond the explanatory ability of the risk and the fact is that except the systematic risk, there must exist some other factors that could also make a good explanation of the equity premium. And this concept induces a new direction and lets us resurvey the topic of equity premium from a new vision. The purpose of this thesis is to study the equity premium puzzle in Taiwan Stock Market. Historically returns from the equity market remain higher than those from the bond market, even after considering the risk factor. In this research the relationship between the independent variables（wage、education、age）and the dependent variable（equity index return in Taiwan stock market）are explored. We propose an explanation for the equity premium puzzle through the aspects of the borrowing constraints、information asymmetry and the limited participation in the capital market. The conclusion supports our hypothesis.