| Summary: | 碩士 === 國立臺灣大學 === 土木工程學研究所 === 99 === Subprime Mortgage Crisis due to the housing market bubble which lead to economic recession and the stock market crash, causing the severity of impact. Therefore, this study is to analyze in the disasters, the relationship between the housing market, economy, and the stock market. To understand the changes in stock market assets, whether will be affected by the housing market and economic disaster information. Second, consider the disasters information to the asset pricing model to test the disaster events in real estate market, to explain how much of the stock investor behavior, and compare information with economic disaster. The study use a more objective numerical methods (Bry-Boschan methods and Helbling and Terrones methods) to identify twenty developed countries which the top 1/4 ranking of the contractions are disasters.
The study results show that in the hosuing market disaster or economic disaster environment, the stock have negative returns over 90%, and the shock market have the chances of disaster are about 50%, the average decrease of -20%, which appears the disaster situation is clearly reflected in the stock returns in the disaster environment. On the other hand, between the housing market and economic disaster are influenced by the fluctuation of each other. When one disaster, the other nearly half of the probability of a disaster, shows that the two may be accompanied with a disaster occur.
Test the model under consideration of disaster information, whether the CCAPM can explain “Equity Premium Puzzle” proposed model to estimate the value of less than 6.18% equity risk premium value. Empirical results in the consideration of disaster information model compares to the traditional model of Lucas can further explain this premium issue. Information in the application of economic disasters explain 6.83% of the risk premium value, and consider the housing market disasters information is able to explain the 3.39% risk premium value. This shows that, after consideration of disaster information to make the model better describes the phenomenon of risk return, and economic disaster information can explain why most stock investors require higher risk premiums, and the housing market disaster information can supplement the missing part of the economic side of the disaster information. Two kinds of disaster at the same time considerations, the reasonable value of the equity risk premium of 7.5% can be considered for stock investors more information about the disaster effects, proposed a reasonable risk premium.
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