台湾股市资产定价的基本与时尚之探讨.pdf

2005 7 Journal of Risk Management Vol.7 No.2 July 2005 pp. 111-134 * Examining fundamentals and fads in the Taiwan stock market ** Ming-Hsiang Chen () Abstract Based on the Lucas (1978) asset pricing model, Dumas and Sengupta (1994) argued that the excess volatility in asset prices in the US stock market, which cannot be justified by dividends, could be attributed to fads that are momentarily active in the entire market. In this study, we exploit two versions of the Lucas (1978) model using solutions suggested by Dumas and Sengupta (1994) and Burnside (1998) to examine whether market fundamentals or fads were responsible for high returns in the Taiwan stock market. Empirical results from both models indicate that the volatile dividend movements fail to rationalize the historical stock returns. Moreover, the excess volatility in stock prices cannot be justified by fads, either. Keywords: Fundamentals; Fads; asset pricing; Taiwan stock market Lucas (1978)Dumas and Sengupta (1994) Dumas and Sengupta (1994) Dumas and Sengupta (1994) Burnside (1998) Lucas * This paper is the revised version of the project of the National Science Council (NSC) of Taiwan (NSC 92-2416-H-194-023-). Financial support provided by the NSC of Taiwan is gratefully acknowledged. I wish to thank two anonymous referees and participants at the 2004 Southwestern Finance Association