本研究檢驗 18 項市場財務指標與總體經濟指標在預測臺灣股票市場風險溢酬的表現。在樣本內預測中，僅有 4 項指標與市場風險溢酬的相關性符合理論預期，樣本外預測表現上，有 12 (11) 項指標在以 5 (10) 年為初始期間作為估計時顯著優於市場風險溢酬的歷史平均數。消費者物價指數年增率 (CPI) 是唯一在樣本內與樣本外預測的擁有良好表現的指標，以 CPI 作為市場投資組合的擇時工具，累積報酬率與夏普比率均優於長期持有臺灣加權指數。但是在 2009 作為投資組合初始投資期間下，無法提升長期持有策略的報酬率與夏普比率，可能源自於中央銀行近年採取通膨目標化的立場，使市場更加朝向效率市場運作。

The paper compares the performance of 18 market financial and macroeconomic indicators in predicting the equity premium of the Taiwan Stock Exchange Capitalization Weighted Stock Index. In-sample (IS) tests reveal that only four indicators have the correct predictive signs in line with economic theories. Using 5 (10)-year initial periods, 12 (11) indicators beat the rolling average of the equity premium in out-of-sample(OOS) tests. The annual inflation rate in Taiwan is the only indicator that performs well in both IS and OOS tests. Market timing strategies based on the annual inflation rate outperform the passive buy-and-hold strategy in backtests. However, their performance has weakened significantly since 2009, in line with improved market efficiency and the Taiwan Central Bank’s policy stance on inflation targeting.

Abdullah, Dewan A., and Steven C. Hayworth, 1993, Macroeconometrics of Stock Price Fluctuations, Quarterly Journal of Business and Economics 32, 50–67.

Baker, Malcolm, and Jeffrey Wurgler, 2000, The Equity Share in New Issues and Aggregate Stock Returns, The Journal of Finance 55, 2219–2257.

Campbell, John Y., and Robert J. Shiller, 1988, Stock Prices, Earnings, and Expected Dividends, The Journal of Finance 43, 661–676.

Campbell, John Y., and Samuel B. Thompson, 2008, Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?, The Review of Financial Studies 12, 1509–1531.

Campbell, John Y., and Samuel Brodsky Thompson, 2005, Does stock market volatility forecast returns?, Working Paper.

Campbell, John Y., and Tuomo Vuolteenaho, 2004, Inflation Illusion and Stock Prices, The American Economic Review 94, 19–23.

Cochrane, John H., 2008, The Dog That Did Not Bark: A Defense of Return Predictability, The Review of Financial Studies 21, 1533–1575.

Diebold, Francis, and Roberto Mariano, 1995, Comparing Predictive Accuracy, Journal of Business & Economic Statistics 13, 253–263.

Fama, Eugene F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance 25, 383–471.

Fama, Eugene F., and Kenneth R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23–49.

Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.

Fama, Eugene F., and G.William Schwert, 1977, Asset returns and inflation, Journal of Financial Economics 5, 115–146.

Fisher, Irving, 1930, The Theory of Interest, as determined by Impatience to Spend Income and Opportunity to Invest it (Macmillan, New York).

Gordon, M. J., 1959, Dividends, Earnings, and Stock Prices, The Review of Economics and Statistics 41, 99–105.

Goyal, Amit, lvo Welch, and Athanasse Zafirov, forthcoming, A comprehensive 2022 look at the empirical performance of equity premium prediction, Review of Financial Studies.

Guo, Hui, 2003, Does stock market volatility forecast returns?, Federal Reserve Bank of St. Louis Economic SYNOPSES.

Guo, Hui, 2004, Does stock market volatility forecast returns: The international evidence, Federal Reserve Bank of St. Louis Working Paper.

Inoue, Assushi, and Lutz Kilian, 2005, In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?, Econometric Reviews 23, 371–402.

Kothari, S. P., and Jay Shanken, 1997, Book-to-market, dividend yield, and expected market returns: A time-series analysis, Journal of Financial Economics 44, 169–203.

Kydland, Finn E., and Edward C. Prescott, 1977, Rules Rather than Discretion: The Inconsistency of Optimal Plans, The Journal of Political Economy 85, 473–492.

Maio, Paulo F., 2014, Don’t Fight the Fed!, Review of Finance 18, 623–679.

McCracken, Michael W., 2007, Asymptotics for out of sample test of Granger Causality, Journal of Econometrics 140, 719–752.

Modigliani, Franco, and Richard A. Cohn, 1979, Inflation, Rational Valuation and the Market, Financial Analysts Journal 35, 22–44.

Pontiff, Jeffrey, and Lawrence Schall, 1998, Book-to-market ratios as predictors of market returns, Journal of Financial Economics 49, 141–163.

Spiess, D. Katherine, and John Affleck-Graves, 1995, Underperformance in long run stock returns following seasoned equity offerings, Journal of Financial Economics 38, 243–267.

Taylor, John. B, 2012, Monetary Policy Rules Work and Discretion Doesn’t: A Tale of Two Eras, Journal of Money, Credit and Banking 44, 1017–1032.

Welch, Ivo, and Amit Goyal, 2008, A Comprehensive Look at The Empirical Performance of Equity Premium Prediction, The Review of Financial Studies 21, 1455–1508.

Wong, Hock Tsen, 2017, Real exchange rate returns and real stock price returns, International Review of Economics & Finance 49, 340–352.

王志中, 1999, 以總體經濟指標預測臺灣股票報酬, 未出版碩士論文, 國立臺灣科技大學管理研究所企業管理學程, 臺灣台北, 1–78.