| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 93 === This paper investigates the relationship between equity duration and the return of stock portfolio. The stocks listing on the Taiwan Sock Exchange (TSE) in the period between 1992~2003 are chosen for our study. At first, we adopt the B/M (book value to market value), MV/NTA (market value to net tangible assets), and P/E (price to earning per share) to determine the high、middle and low growth stock portfolio. After calculating the portfolio return and including nominal interest rate, real interest rate, inflation rate, the weighted stock market index, and the orthogonalized index, an multiple regression model is used to estimated the regression coefficient, a proxy for portfolio equity duration. And we further examine whether there is significant difference in equity duration from the two portfolios.
The empirical evidences support two conclusions. First, we find that the high, middle, and low growth stock portfolio (B/M,MV/NTA)are all positive correlative sensitivity to the interest rate fluctuation, no matter in the full period(1992~2003 years) or the long-time interest stability period(1992~1999 years). Besides, the sensitivity of correlation is presented in an order of their size. That is that the high growth stock portfolio is more significant sensitive to interest changes at 5% significant level and the equity duration is larger; while the low growth stock portfolio is not sensitive to the change of interest rates. However, the stock portfolio of P/E doesn’t have this characteristics. On the other hand, the interest rate sensitivities to the return of the high and low growth stock portfolio(B/M,MV/NTA) have significant difference; but isn’t different between the P/E stock portfolios.
Secondly, except the collinearity of the weighted stock market index and the interest rate, the return of the three growth stock portfolio (B/M、MV/NTA、P/E) all have negative correlative sensitivity to the interest rate fluctuation in the long-time interest rate drop period(2000~2003 years). Besides, the high growth stock portfolio has more significant sensitivity. However, there is no significant different between the equity durations of the high growth stock portfolio and the low growth stock portfolio.
|
|---|
