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| Title: | 人口結構變化對股票市場報酬影響
The impact of demographic changes to stock market returns |
| Authors: | 張丁互
Chang, Din Hu |
| Contributors: | 周冠男
Robin K. Chou
張丁互
Chang, Din Hu |
| Keywords: | 人口結構
生命週期假說
股票報酬
demographic change
life-cycle hypothesis
equity return |
| Date: | 2015 |
| Issue Date: | 2016-03-01 10:27:17 (UTC+8) |
| Abstract: | This study examine the reactions in different portfolios under demographic changes for a deeper scope of the equity market. By six features: 1) beta 2) volatility 3) non-systematic risk 4) size 5) B/M 6) D/P, we distribute stocks into high or low level groups and test the reactions in each of these 12 portfolio. Empirical results in this study do suggest an increasing required risk premium for a growing population in retired-age (65+) group and a decreasing required risk premium for a growing population in middle-aged (44-64) group. Both effects in middle- and retired-age groups are stronger in a long time-horizon. Changes in demographic structure significantly add explanatory power to equity premium regressions involving Fama-French three factors. Moreover, we found retired-age population significantly demand more premium for high volatility stocks, growth stocks and large-cap stocks. However, there is no preference for any types of stock in middle-age population. |
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| Description: | 碩士
國立政治大學
財務管理研究所
102357032 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0102357032 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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