Taiwan Stock Valuation With Time-Varying Discount Factor

• Main Authors: Tsao, Chia-Ming, 曹家銘
• Other Authors: Chou, Yeu-tien
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/08621887934773251536

碩士 === 國立交通大學 === 經營管理研究所 === 100 === In contrast with the model of Chow [2], which implied that the logarithm stock price is a linear function of expected log dividends and the expected rate of growth of dividends under the assumption of the adaptive expectation, we have attempted to provide a general approach to estimation of models with stock price in this paper. This research includes four models designed to investigate how dividends, growth rate of dividends, nominal risk-free rates and risk premiums affect individual stock prices by using the different kinds of data for stocks. Following the theoretical framework of Chow [2], our researches use the individual stock of the stock market index as well as the individual stock of the eight major sectors as data in four models. The preliminary findings are: (1) Only the individual stock of TWSE Taiwan Dividends+ Index, Cement &; Ceramics, Foods, Electric &; Machinery, Construction and Finance sectors are consistent with the assumption of adaptive expectation. (2) The data which are not fit the adaptive expectations may suggest that the investors of these data do not take the historical information into consideration. (3) Furthermore, we discover that the coefficients α for Etdt are practically zero in the data, which are consistent with the adaptive expectations. Similar to the results of Chow [29], which used the Hang Seng Index, the empirical phenomena suggest that the overall pessimistic view of investors in these data. (4) For individual stock of the eight major sectors, merely the individual stock of the Electric &; Machinery and Construction are consistent with the adaptive expectation hypothesis and can be explained by the expected level of log dividends. (5) We further discover that the unrestricted β coefficients are similar in the Cement &; Ceramics, Foods, and Electric &; Machinery sectors in model 1. This result indicates that behaviors in these sectors are identical. (6) According to the statistical test, we have strong evidence that the expected nominal free-risk rates and expected risk premiums have significant effect to contribute the current pricing. Besides, we find statistical evidence supporting the general model of stock price formation.