摘要
股價現值模型之基本概念是由未來各期股利折現到現在的總合, 決定現在股票的價格, 而股利的決定由公司的股利政策決定, 股利的來源則是公司盈餘中產生。就常理來說, 每股盈餘(EPS) 與股價有一定程度的關聯性。在台灣的股票市場中, 公司沒有每季定期發股利的習慣, 因此在資料上往往是殘缺不全, 本文試著使用每股盈餘替代股利, 且將上市公司每股盈餘按市值加權的方式合併出相對大盤指數的每股盈餘, 觀察台灣股票市場的整體性。採用Kapetanios et al. (2006) 提出非線性共整合檢定, 利用指數平滑的方式,建立非線性誤差修正模型, 本文將利用非線性誤差修正模型與線性誤差修正模型比較, 檢驗台灣的資料是否適合使用指數平滑轉換誤差修正模型模型來描述兩者間的關係。經檢驗以後, 發現非線性模型比線性更貼切描述。

Abstract
Divident discount model found further expected dividend discounting to some fix period. The dividends are determined from the the core of company and relates retain earning. In Taiwan stock market, divedneds are not paid per season. So, I adept earning per share to proxy variable and employ market value weight to conduct dividends for Taiwan stock idnex. The next step,
investgate the relationship between price index and diviednds using the econometric model was created by Kapetanios et al. (2006). Consequencely, the relationship are fitted discribtion by ESTR cointegration rather than linear cointegration.

目錄
1 緒論 7
1.1 研究動機與目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.2 研究架構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2 財務理論與文獻回顧10
2.1 股票評價方式. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.2 文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3 研究方法15
3.1 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
3.1.1 KPSS 檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
3.1.2 DF-GLS 檢定與ERS Point-Optimal 檢定. . . . . . . . . . . . . . 16
3.1.3 Ng-Perron Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.2 線性共整合檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3.2.1 Johansen 最大概式估計法. . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.3 弱外生檢定Weak Exogenous Test . . . . . . . . . . . . . . . . . . . . . . . . . . 22
3.4 非線性模型介紹. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
3.4.1 模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
3.4.2 模型檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
3.5 診斷性分析. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.5.1 Ramsey RESET Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.5.2 ARCH LM Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
3.5.3 模型預測誤差. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
4 實證結果分析31
4.1 資料選擇, 說明與處理. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
4.2 實證步驟與結果分析. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
4.2.1 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
4.2.2 共整合. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
4.3 線性模型診斷. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
4.3.1 Ramsey RESET Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
4.3.2 ARCH LM Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
4.3.3 線性模型預測誤差. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
4.4 非線性模型估計與檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
4.5 非線性模型診斷. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
4.5.1 Ramsey RESET Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
4.5.2 ARCH LM Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
4.6 預測誤差比較. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
5 結論與建議41
5.1 結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
5.2 建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
附錄A 43
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