本研究係以 Campbell 及 Shiller 於 1988 年提出之模型驗證是否得以股利殖利率預測股票報酬，在此之前，許多學者以不同資料驗證、強化該模型之有效性，然而並未達成共識，故本研究將以近 30 年資料重新檢視。為達強化模型預測之效，本研究將 17 項總體經濟宣告及執政黨影響納入該模型，該宣告係計算總體經濟因子之市場預期值及實際值差額，此係反映新聞宣告時點之差異及投資人對新聞之反應行為；此外，由於投資人之政黨傾向會影響其投資偏好，故將執政黨影響納入考量。實證結果顯示，股利殖利率能有效預測股票報酬，民主黨與股利殖利率及大部分的總體經濟宣告皆呈現負相關，同時考量執政黨效果及部分經濟宣告時，能有效提高該模型之預測能力；其中個人消費支出、個人收入、工業生產、失業率及零售額在任何模型中都表現極佳的預測能力，而僅有零售額具有顯著的政黨交互關係。故本研究新增總體經濟宣告及執政黨影響後所建之預測模型對股票報酬具有較佳的預測能力，且執政黨效果比任一總體經濟宣告更能提升模型預測能力。

This paper reexamines the stock returns predictability of data from 1980 to 2013 by using the dividend yield model developed by Campbell and Shiller (1988). There have been inconsistent empirical findings in the past studies on this topic. Thus, besides dividend yield, both 17 macroeconomic announcements and the effect of ruling parties are introduced to the prediction model in order to increase the predictability. The macroeconomic announcement is defined by the difference between the expected and real value of the macroeconomic indicator in order to include the timing and sign effect. Furthermore, the effect of ruling parties represents investors’ political preferences, so it provides a sign effect. According to the empirical results, dividend yield is a significant predictor. The effect of the Democratic Party has a negative relation with dividend yield and most macroeconomic announcements, and its effect is more significant when introducing the effect of ruling parties along with some macroeconomic announcements. Personal consumption expenditures, personal income, unemployment rate, and retail sales are the most effective predictors among those under consideration. Only retail sales has a significant interaction with the ruling parties. Furthermore, the effect of ruling parties has a greater influence on the predictability of stock returns than any other macroeconomics announcement.

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