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題名:臺灣股票型基金報酬率與通貨膨脹率關係之探討
書刊名:臺灣銀行季刊
作者:曾昭玲 引用關係張蘋婷
出版日期:2004
卷期:55:3
頁次:頁326-341
主題關鍵詞:股票型基金通貨膨脹率風險溢酬假說
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:3
  • 點閱點閱:2
本研究旨在探討經專業經理人多角化投資,高度分散風險,故其風險多較股票為低之股票型基金,可否對抗通貨膨脹所導致之貨幣購買力損失。由於國內、外相關文獻大都止於探討股票報酬率與通貨膨脹率之關係,且實證結果多發現股票報酬率與通貨膨脹率間呈不顯著或顯著的負向關係,即股票似無法完全有效對抗通貨膨脹之購買力損失,遂使本文欲更進一步剖析股票型基金是否較具滿對抗通貨膨脹率的能力,以供一般投資人參考。據此,本文援引Cornell (1983) 及 Najand (1991) 發展之「風險溢酬假說」(Risk Premium Hypothesis),實證檢定股票型基金報酬率與通貨膨脹率之關係。 實證結果發現。股票型基金之實質風險溢酬與未預期通貨膨脹率變異程度間存有不顯著的正向關係,即基金實質報酬率與通貨膨脹率間存有不顯著之負自關係,易言之,臺灣股票型基金報酬率無法完全有效對抗通貨膨脹率。然股票型基金預期實質風險溢酬與當期(前期)基金報酬率變異程度之間存有顯著的正向(負向)關係,此顯示當期(前期)股票型基金之風險揚升將使其價格下挫(揚升),且股票型基金報酬率之波動性或風險程度較通貨膨脹率變異程度更對其風險溢酬具顯著解釋力,故市場參與者除具預期心理,更對金融資產之報酬率波動程度具高度敏感性,此或肇因於我國之通貨膨脹率實具穩定性,然股市反具顯著波動性所致。
期刊論文
1.Fama, Eugene F.(1975)。Short Term Interest Rates as Predictors of Inflation。American Economic Review,65(3),269-282。  new window
2.Fama, E. F.、Schwert, G. W.(1977)。Asset returns and inflation。Journal of Financial Economics,5(2),115-146。  new window
3.Lintner, John(1975)。Inflation and security returns。Journal of Finance,30(2),259-280。  new window
4.Najand, M.(1991)。A Test of the Risk Premium Hypothesis。Journal of Financial Research,14(3),207-216。  new window
5.Gultekin, N. B.(1983)。Stock Market Returns and Inflation Forecasts。Journal of Finance,38(3),663-673。  new window
6.French, Kenneth R.、Ruback, Richard S.、Schwart, G. William(1983)。Effects of Nominal Contracting on Stock Returns。Journal of Political Economity,91(1),70-96。  new window
7.Yaansah, R. A.、Peasnell, K. V.(1994)。Expectations, Security Yields, and Inflation: Ex-Ante Risk Premia on UK Shares, Corporate Bonds and Gilts, 1969-1987。Journal of Business, Finance, and Accounting,21,155-174。  new window
8.Nelson, Charles R.(1976)。Inflation and Rates of Return on Common Stock。Journal of Finance,31,471-483。  new window
9.Feinberg, Phyllis(2001)。Enhanced Indexing Gaining Favor Worldwide as Funds Search for High Information Ratio。Pensions and Investment,29,3-6。  new window
10.Gale, William A.(1981)。Temporal Variability of United States Consumer Price Index。Journal of Money, Credit, and Banking,13,273-297。  new window
11.Jaffe, Jeffrey F.、Mandelker, Gershon(1976)。The Fisher Effect for Risky Asset: An Empirical Investigation。Journal of Finance,31,447-458。  new window
12.Quittner, Jeremy(1997)。Trust Conversions Fuel a Surge in Bond Funds。American Banker,162,13。  new window
13.Kaul, Gautam、Seyhun, H. Nejat(1990)。Relative Price Variability, Real Shocks, and the Stock Market。Journal of Finance,45,479-496。  new window
14.Fama, Eugene F.、Schwert, G. William(1982)。Inflation, Real Returns and Capital Investment。Journal of Monetary Economics,9,297-323。  new window
15.Adrangi, Bahrain、Chatrath, Arjun、Raffiee, Kambiz(1999)。Inflation, Output, and Stock Prices: Evidence from Two Major Emerging Markets。Journal of Economics and Finance,23,266-278。  new window
16.Bodie, Zvi(1976)。Common Stock as a Hedge Against Inflation。Journal of Finance,31,459-470。  new window
17.Butler, Phil(1993)。Pooled Pension Funds。Pensions Management,23-27。  new window
18.Cornell, Bradford(1983)。The Money Supply Announcement Puzzle: Review and Interpretation。American Economic Review,73,644-657。  new window
19.Altfest, Lewis J.(2000)。Don' t Let Inflation Deflate Your Portfolio。Medical Economics,77,37-40。  new window
20.Tobin, James(1958)。Liquidity Preference as Behavior Toward Risk。Review of Economic Studies,25(2),65-86。  new window
學位論文
1.蕭瑞華(1993)。非預期通膨對股票實質報酬率之影響--產業別之差異分析(碩士論文)。輔仁大學。  延伸查詢new window
2.劉明富(1991)。臺灣股票報酬率與通貨膨脹率關係--風險溢酬假說之檢定(碩士論文)。臺灣大學。  延伸查詢new window
3.傅桂欽(1988)。預期物價上漲與股票報酬(碩士論文)。國立臺灣大學。  延伸查詢new window
4.陳正宗(1992)。住宅價格與通貨膨脹關係之研究--以大台北地區住宅市場為例(碩士論文)。國立交通大學。  延伸查詢new window
5.林建成(1991)。風險、通貨膨脹與股票市場--我國股票市場之實證研究(碩士論文)。東吳大學碩。  延伸查詢new window
6.吳德明(1997)。台灣實質股票報酬率與通貨膨脹率之研究(碩士論文)。淡江大學。  延伸查詢new window
7.徐培(1994)。臺灣股票報酬率與通貨膨脹率的關係:代理效果假說與名目契約假說之檢定(碩士論文)。國立中正大學。  延伸查詢new window
8.洪杉源(1996)。股票報酬率與通貨膨脹率之關係:「風險溢價」假說之再檢定(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Fisher, I.(1930)。The Theory of Interest。New York, NY:Macmillan。  new window
2.邱顯比(1999)。基金理財的六堂課。天下遠見出版股份有限公司。new window  延伸查詢new window
其他
1.Damato, Karen(19990620)。Discovering Inflation--Indexed Bond Funds,Wall Street Journal。  new window
 
 
 
 
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