許耀文臺灣大學:國際企業學研究所汪育立Wang, Yu-LiYu-LiWang2010-05-112018-06-292010-05-112018-06-292008U0001-2706200813205800http://ntur.lib.ntu.edu.tw//handle/246246/182663本文回顧了以往財務經濟學家所探討之消費基礎資產定價理論在不同的效用函數與假設下，其對資產風險溢酬的解釋為何。接著，本文從消費基礎資產定價理論最初始的兩期模型出發，並且假設效用函數為遞增函數，其邊際效用為遞減，效用函數為二階可微分，藉此本文將效用函數作二階泰勒展開，來操作模型，我們發現當理性投資人的可支配所得有一個正衝擊時，投資人會同時將增加的資金用於當期消費與購買資產。本文以此論述綜合Campbell（2003）所提出之觀點，當期消費成長率的正衝擊會使得當期的股票風險溢酬增加，因此，本文認為前一期國民可支配所得季增率對於當期股票市場的大盤風險溢酬有正向的影響，而我們在台灣的樣本資料上，對於上述之論點獲得了顯著的實證結果支持，另外，在日本樣本資料方面，也能在10%的信心水準下獲得實證上的支持。We rewrite the utility function as the second-order Taylor’s series under the basic assumptions of Consumption-based CAPM. We then show the growth rate of disposable income can affect the growth rate of consumption. Campbell (2003) argues that the growth rate of consumption have influence on the excess return of assets. Based on this point and our finding, we show that one of the risks of the market portfolio can arise from the growth rate of disposable income. A regression of the risk premium of market portfolio on lagged value of the growth rate of disposable income produces statistically significant coefficients using the empirical data of Taiwan and Japan.目錄試委員會審定書..........................................i要.................................................... iibstract ...............................................iii、緒論................................................. 1、文獻回顧............................................. 5、研究方法............................................. 9 3.1 Consumption-Based Asset Pricing ................. 9 3.2 二階近似法...................................... 14 3.3 實證方法.........................................18 3.3.1 模型變數定義.............................. 19 3.3.2 迴歸模型.................................. 19、實證結果............................................ 21 4.1 資料來源.........................................21 4.2 樣本資料敘述統計................................ 22 4.2 樣本資料單根檢定................................ 23 4.3 實證結果分析.................................... 25、結論與建議.......................................... 35考文獻................................................ 37一.....................................................23二.....................................................24三.....................................................26四.....................................................27五.....................................................32一.....................................................29二.....................................................29三.....................................................31四.....................................................31application/pdf420832 bytesapplication/pdfen-US資產定價消費風險溢酬股票報酬可支配所得CCAPMconsumptiondisposable incomestock returnpredictablethesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182663/1/ntu-97-R95724070-1.pdf