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    题名: 短期利率、股票風險貼水與市場擇時績效---台灣股市之探討
    其它题名: Short-Term Rates, Equity Risk Premium and Market Timing---The Case of Taiwan
    作者: 徐燕山
    贡献者: 財務管理學系
    关键词: 風險貼水;市場擇時;股票市場;短期利率;市場績效;台灣
    Risk premium;Market timing;Stock market;Short-term rate;Market performance;Taiwan
    日期: 1999
    上传时间: 2014-09-10 17:47:49 (UTC+8)
    摘要: 本文分別探討短期利率與預期權益證卷溢酬在市場擇時上的績效。研究結果顯示,短期利率或預期權益證卷溢酬均具有相當的市場變動預測能力,短期利率在短期投資期間(三個月、六個月或九個月)的預測表現較佳,而預期權益證卷溢酬則在一年投資期間的預測上表現較佳;然而,整合這兩種預測工具卻無法提高市場預測能力。
    This paper examines the market timing abilities in terms of short-term interest rate and expected equity risk premium. The empirical results show that both the short-term rate and expected equity risk premium possess forecasting abilities. The expected equity risk premium has better forecasting abilities for one-year investment horizon, while the short-term rate has better performance in the short-term investment horizons. The combining index through integrating the short-term rate and expected equity risk premium does not outperform either the short-term rate or the expected equity risk premium in market forecasting.
    關聯: 行政院國家科學委員會
    計畫編號NSC88-2416-H004-002
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

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