本文嘗試了解總體經濟變數與台灣股票市場報酬關係，利用Lettau and Ludvigson(2001)之模型重新估計台灣的消費/財富比率，該比率建立於總消費、總財富、勞動所得之間有一長期趨勢的共整合關係，接著再依此關係建立一誤差趨勢項－消費/財富比率－來預測股票報酬，不過由於消費/財富比率所需的總體經濟變數之一總財富，台灣目前無完整且相關的資料，因此總財富的時間序列資料採陳南光、王泓仁(2011)之方法由相關資料建構而成。本文之研究步驟分為以下兩階段，第一階段以動態最小平方法(dynamic least square, DLS)估計得消費/財富比率，其次再以該比率探討，其是否能在樣本內以及樣本外預測方法下，均能解釋股票報酬。
實證結果發現，在樣本內的估計，以一般化動差法(GMM)估計效果則較好，當期的誤差趨勢項對於股價報酬率的影響係數為顯著，而樣本外預測的結果，顯示誤差趨勢項在樣本外估計時對於股價報酬有較好的解釋能力。另外，長區間迴歸估計結果發現，隨著區間逐漸拉長，係數的值漸大，且顯著程度越來越明顯，以中長期的時間資料來看，股價報酬受到誤差趨勢項影響程度最為明顯地漸大。

This paper studies the role of fluctuation of the aggregate consumption-wealth ratio(cay) for predicting Taiwan stock return. The effect of cay on U.S. stock return has been recently confirmed by Lettau and Ludvigson (2001) with a two stage method. In the first step, estimate the ratio used a dynamic least square(DLS) technique. Second, to investigate the performance of cay, they use in-sample and out-of-sample test.
In this paper, we follow the method which Lettau and Ludvigson(2001) use to examine the predictability of cay. Using quarterly market data from 1998 to 2010, we find cay is strong predictors of excess return in out-of sample test. We also find that this ratio is a better forecaster of future returns at intermediate horizons compared to short time.

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 2
第二章 文獻回顧 3
第一節 股價與總合需求之關聯 3
第二節 以總和需求面變數預測股價報酬 5
第三章 理論模型與實證方法 8
第一節 理論模型consumption-wealth ratio 8
第二節 實證方法 11
一、第一階段 11
二、第二階段 11
第三節 樣本外預測 14
第四節 長區間迴歸檢視 16
第五節 單根檢定 17
一、ADF檢定 17
第六節 共整合檢定 19
第四章 實證結果 21
第一節 資料建置與統計量匯整 21
1. 非耐久性消費財 21
2. 持有資產 22
3. 所得 22
4. 股價報酬 23
第二節 單根檢定結果 25
第三節 共整合檢定結果 26
第四節 實證結果 27
一、 cay之估計結果 27
二、樣本內預測結果 28
三、樣本外預測結果 30
四、長區間迴歸結果 31
第五章 結論與建議 32
參考文獻 33
附錄 36
A、非耐久財性消費財佔總消費比例 36
B、非耐久消費財與總消費成長率比較 36
C、耐久消費財與總消費成長率比較 37
D、股票財富與總消費年增率比較圖 37
E、房屋財富與總消費年增率比較圖 38

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