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題名：剩餘所得模型應用於台灣股市的實證研究
作者：郭貞吟 引用關係
作者(外文)：Chen-Yin Kuo
校院名稱：國立中正大學
系所名稱：企業管理所
指導教授：崔可欣
劉亞秋
學位類別：博士
出版日期：2009
主題關鍵詞：關鍵字：剩餘所得模型；VAR跨方程式限制式檢定；股價變動；股價行為；結構性向量自我迴歸模型；結構性訊息；過度反應；反應不足；衝擊反應分析；VAR-based Cross-Equation Restriction Tests；Stock Price Movement；Residual Income Model；Stock Price Behavior；Structure VAR；Impulse Response Analysis；Overreaction；Forecast Error Variance Decomposition；Under-reaction；Structure Information Shocks
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由於傳統股利折現模型 (Dividend Discount Model－DDM)解釋股價能力受到許多質疑，因此，有些學者提出另一個評價模型－剩餘所得模型(Residual Income Model－RIM)來解釋，主張股價是以淨值與預期未來剩餘所得的現值衡量，並獲得 RIM的解釋股價能力比DDM佳的證據，引發本文以RIM研究的動機。因此，本文選取台股的大盤與五個產業(機電、金融、塑化、電子、水泥窯)進行實證，以兩篇論文探討RIM應用於台灣股市的議題－(1)剩餘所得模型在台灣股市適用性之檢定。(2)台股股價對結構性訊息反應之研究。
第一篇論文有別於過去文獻多以迴歸模型研究變數對股價的解釋力，應用Campbell and Shiller(1987)提出的「以VAR為基礎跨方程式限制式檢定」方法，由於限制式是在RIM理論模型的基礎推導出來，可避免迴歸模型常遇到無理論支持、變數關係易認定錯誤的問題。同時，以Sim(1980)的向量自我迴歸模型(VAR)為檢定的計量模型，可避免虛假迴歸的問題，並呈現變數在多期的互動關係，基於上述優點，本文擬應用此法，檢定RIM在台灣股市的適用性，欲了解RIM是否適用於台股評價?
結果發現，使用二元變數VAR為計量模型時，RIM可解釋台股的大盤與五個產業的股價變動，適用於台股評價。使用三元變數VAR為計量模型時，RIM則不適用於台股評價。
第二篇論文以RIM模型連結兩個變數－剩餘所得和股價偏移，經由辨識模型的衝擊及設定限制式的程序，建構包含結構性訊息的時間序列模型，應用衝擊反應函數，分析台股股價行為是否支持過度自信假說? 另，應用預測誤差變異數分解，分析台股股價變異來自於何種訊息衝擊? 此外，由於股價對訊息反應、股價的效率性可能因產業而有差異，因此，最後再比較五個產業的實證結果。
結果發現，使用產業資料、三元變數VAR模型時，股價對有形訊息衝擊呈反應不足、無形訊息衝擊呈過度反應，支持Daniel et al.(1998)的過度自信假說，同時也改善二元變數VAR模型不支持該假說的結果；再者，經由股價的預測誤差變異數分解後發現，台股股價變動主要來自於有形訊息衝擊，如:剩餘所得衝擊、盈餘衝擊、權益資金成本衝擊等，皆出自於RIM的變數，此結果表示RIM適用於台股評價；另，經比較產業的實證結果後發現，五個產業的股價對訊息反應型態並無顯著差異；而且，五個產業的股價走勢雖會暫時地偏離基本面，但長期會反轉回到穩定均衡的狀態，此時股價反應了全部訊息，達到市場效率性；而五個產業中，金融股與塑化股的回復期間最短，股價效率性最高，水泥股的回復均衡期間最長，股價效率性最低；因此，投資人可據此評估，所投資的股票價格多久將回復長期均衡，以選擇目前及未來的交易策略。
Because the ability of the conventional Dividend Discount Model(DDM) in explaining stock price movement is criticized, some researchers proposed an alternative model－the Residual Income Model(RIM).They mostly found the RIM to perform better than the DDM. Therefore, this dissertation contains two essays on the empirical application of the RIM in Taiwan stock market. The purpose of the first essay is to examine the validity of the RIM in Taiwan. The purpose of the second essay is to analyze the response of stock price to structure information shocks based on the RIM. The dataset chosen by two essays contains all listing companies and five listing industries: electronic, finance, plastic＆chemical, electric machinery, and cement.
Unlike past studies applying the regression model, the first essay employs VAR-based cross equation restriction tests proposed by Campbell and Shiller(1987). Because the tests based on RIM and VAR model proposed by Sim(1980) can avoid the problems from the regression model, and can examine the interaction of variables in multiple periods, this essay applies the tests to examine the validity of the RIM in Taiwan.
The empirical findings show that for Taiwan stock valuation, when the first essay uses the Bivariate model, the RIM is valid. However, when using the Trivariate model, the RIM is not valid.
The second essay links two variables of the RIM－residual income and stock price spread, and constructs the time series models, containing tangible and intangible information shocks. The purpose of this essay is to analyze whether Taiwan stock price behavior supports the overconfidence hypothesis proposed by Daniel et al.(1998). Does stock price variance result from tangible(fundamental) shocks or intangible (non-fundamental) shocks? Among the five industries, is there any difference in stock price behavior and stock price efficiency?
The empirical findings are as follows. When using the Trivariate model and the dataset from the five industries, stock price under-reacts to tangible shocks and overreacts to intangible shocks. This finding supports the overconfidence hypothesis and improves the result of the Bivariate model. In addition, by forecast error variance decomposition, the result shows that stock price variance mainly results from tangible(fundamental) shocks, including residual income shock, earnings shock, and cost of equity capital shock from the RIM. The finding means that the RIM is valid for Taiwan stock valuation. Also, after comparing the five industries, the result shows that there is no significant difference in stock price behavior. As for stock price efficiency, finance and plastic＆chemical industries are the highest, and cement industry is the lowest. This finding can also help investors to choose their stock transactions strategies.
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英文部份
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