台灣半導體產業及傳統產業之股票報酬與未預期通貨膨脹

A Study on Stock Returns and Unexpected Inflation of the Semiconductor Industry and Traditional Industry in Taiwan

本研究主要探討影響台灣半導體產業與傳統產業投資組合報酬率之因素，透過CAPM模型及Fama and French的三因子模型，並加入通貨膨脹每月未預期變化，組成四因子模型來分析，將投資組合以通貨膨脹風險因子大小進行分組，檢驗未預期通貨膨脹對於台灣半導體產業與傳統產業之投資組合報酬率是否有顯著影響，以及有無超額報酬。
實證結果發現，傳統產業類股不論是在分三組或是分五組的通貨膨脹β投資組合之下，任一投資組合在CAPM模型與四因子模型中均未具有超額報酬，且未發現通貨膨脹每月未預期變化會影響通貨膨脹投資組合報酬率，顯示出傳統產業類股的股價較為穩定，並且較不易受到未預期通貨膨脹的影響。而半導體類股在通貨膨脹風險因子較高的投資組合中，會出現超額報酬，且通貨膨脹每月未預期變化會影響通貨膨脹投資組合報酬率，其超額報酬隨著投資組合中的通貨膨脹風險因子越高，其超額報酬呈現上升的趨勢。而在通貨膨脹每月未預期變化方面，同樣隨著投資組合中的通貨膨脹風險因子越高，其通貨膨脹每月未預期變化的影響越高，說明投資人想獲得越高的投資組合報酬率，亦須承擔更高的風險。

This study mainly discussed factors affecting the stock returns of Taiwan’s semiconductor industry and traditional industry portfolios. Based on the capital asset pricing model (CAPM), as well as the Fama and French three-factor model, monthly unexpected inflation was added in this study to form a four-factor model for analysis. This study divided the portfolio into groups according to the level of inflation risk to test whether the unexpected inflation has a significant impact on the return rate of Taiwan’s semiconductor industry and traditional industry portfolios, and the existence of an excess return.
The empirical results indicate that for stocks of the traditional industry, under either the condition of three or five groups of inflation-βportfolios, no portfolio had excess returns in the CAPM and the four-factor model. In addition, monthly unexpected inflation did not show its influence on the stock returns of the inflation portfolio. This means that for stocks of the traditional industry, the stock price is more stable and less susceptible to unexpected inflation. However, for stocks of the semiconductor industry, there were excess returns in portfolios with higher inflation risk, and monthly unexpected inflation also affected the stock returns of the inflation portfolio. The higher the inflation risk in the portfolio was, the greater the excess return was. This means that investors must take higher risks if they want to achieve higher stock returns in their portfolios.