台灣股票市場權益風險溢酬之分析

The analysis of equity risk premium with the consideration of prospect theory: A case of Taiwan stock market

本文探討台灣股市的權益風險溢酬，使用理性消費模型與考量展望理論的跨期消費模型，以1976－2016年的資料估算風險溢酬，並與歷史風險溢酬做比較。本文實證發現，在全樣本期間、1976－1995與1996－2016的子樣本期間，台灣股票市場的風險溢酬歷史平均值分別為13.8800％、20.7272％與7.3589％，理性消費模型估算的風險溢酬則分別為0.2792％、0.5474％和0.2331％，理性模型高估無風險利率並低估股票期望報酬率。加入展望理論的模型有助於解釋風險溢酬，且能同時解釋低無風險利率和高風險溢酬的現象：當相對風險趨避係數為0.1971時，無風險利率估算值將等於歷史平均值2.9897％，在此風險趨避係數值之下，對應不同的價值函數相對比重，可以找到合理的損失趨避係數數值，使得股票期望報酬率與風險溢酬的估算值也等於歷史平均值。

The aim of this paper is to analyze the equity premium in Taiwan stock market. The consumption-based model with and without the consideration of prospect theory is utilized to estimate the equity premium. The estimated premia are then compared with the historical values. The empirical results reveal that in Taiwan stock market, the historical average values of equity premia are 13.8800%, 20.7272% and 7.3589% during the 1976-2016, 1976-1995 and 1996-2016 sample period, respectively. The corresponding premia estimated by the rational consumption-based model are 0.2792%, 0.5474% and 0.2331%. The rational model overestimates the riskfree rate and underestimates the expected return of stocks which results in a serious underestimation of equity premium. With the consideration of prospect theory, the augmented model generates higher estimated equity premium and can simultaneously explain the phenomena of historical low riskfree rate and high equity premium. It is found that as the coefficient of relative risk aversion is 0.1971, the estimated riskfree rate would be equal to the historical average riskfree rate 2.9897%. Given this coefficient value and corresponding to various relative weights of value function, we can find reasonable values of the coefficient of loss aver sion such that the estimated stock return and risk premium equal their historical average values.