摘要 本文在 Longstaff and Wang(2008)之基礎上，加入隨股利變動的意見分歧（Divergence of opinion ）函數，建構了連結股票市場和債券市場的資產定價模型。該模型中，以投資人的跨市場交易形成了不同市場的聯繫機制。本研究發現：高意見分歧下，股票價格僅反映了風險偏好者的預期和判斷，繼而使市場的折現因子（Discount factor）下降，股價盈餘比（P/E ratio）上升。由於意見分歧的均值回歸（Mean reverting）特性，此時預期報酬率會較低。這一結論並不支持視意見分歧為風險的論斷，卻印證了 Miller(1977)之邏輯。同時，風險厭惡者轉向債券市場，增加了需求，推高債券價格，利率下降。本文之實證檢定以 2003.5.2-2013.4.8 的台灣加權指數為樣本，進行時間序列（Time series）回歸。在檢定中，發現市場分歧和股價盈餘比顯著正相關，與一年期預期報酬率負相關。這和模型預測基本一致。;Abstract Based on Longstaff and Wang(2008), We set a divergence-of-opinion function varies with stock dividend, and construct an asset pricing model incorporating the stock market and credit market. In our model, investors trades both stock and bond,thus forming the connecting mechanism across two markets. Our study suggests that when divergence-of-opinion is high, the stock price reflects only optimistic view,resulting in a decrease in discount factor and thus an increase in Price/Earnings ratio.For the Mean-reverting character of divergence-of-opinion between investors, expected return would be lower at this moment. Our conclusion provides evidence for Miller(1977), yet is inconsistent with a view that divergence-of-opinion in the market proxies for risk. Meanwhile, the pessimistic investors would turn to the credit market,which spurs the bond demand and price, brings down the interest rate. Using TAIEX index from 2003.5.2 to 2013.4.8 as our selected sample, we conduct time series regression. This empirical test shows that divergence-of-opinion in the market is positively related with Price/Earnings ratio significantly, and negatively related with one-year-period expected return, which is consistent with our theoretical prediction.
