在本研究中，我們研究了1976年至2003年臺灣的超額報酬和消費行為。台灣是高度成長的經濟體，在這高度成長的經濟體中，投資者所面臨的風險要比其他已開發國家而言來的大，故需要有額外的報酬來彌補他們所成當的風險。而從實證結果也得知，台灣確實存在著比其他國家還要高的超額報酬，但這樣高的超額報酬卻比理論模型所得到的超額報酬高出許多，不符合模型所預估。因此，我們發現台灣存在著超額報酬迷思的現象。

　　接著，我們根據 Mckenzie (2001) 對台灣消費所作的調查，他發現台灣快速成長消費的原因，主要是由於預防性儲蓄和習慣構成這兩因素所導致，而台灣人所面臨所得不確定的風險相較於其他已開發國家來得高，是造成預防性儲蓄的主要原因。因此，根據他的觀點，我們探討台灣超額報酬的迷思是否能被不完全消費保險模型和習慣構成模型所解釋。於是我們採用Brav, Constantinides and Geczy (2002) 的理論模型，以個別家戶邊際替代率的加權平均作為我們的隨機折現因子(stochastic discount factor)，發現其可以解釋台灣的超額報酬現象，而所得到的風險規避係數在一個合理的範圍內，而這樣的結果也證實了台灣市場是屬於不完全的消費保險市場。此外，我們依據 Constantinides and Duffic (1996) 的理論模型來探討台灣超額報酬的現象，其結果更加確定台灣不完全的消費保險市場。

　　另外，我們還探討在完全消費保險的假設下，股票市場是否有參與限制(limited participation)的現象，結果發現台灣的股票市場市上不存在這現象，而這也意味著在台灣不論那個所得階層的家庭，都有大部分的比率參與股市，因此能解釋台灣超額報酬的現象。另一方面，我們也試著利用習慣構成(habit formation)的模型來解釋台灣的超額報酬，發現該模型並不能解釋台灣的超額報酬迷思。

　　In this paper, we investigated the equity premium and consumption behavior of Taiwanese from January 1976 through December 2003. As well known, Taiwan is a booming economy and the investors who invest in Taiwan are compensated for bearing the risks in terms of higher average returns. The empirical results showed the equity premium was higher than any other developed countries and was inconsistent with the predictions of the model. Therefore, we found that Taiwan had the equity premium puzzles.

　　Then according to Mckenzie (2001) viewpoint about Taiwanese consumption behavior, he showed that the rapidly consumption growth in Taiwan is due to both the precautionary savings and the habit formation. Uncertainty about future income is a more important determinant of precautionary saving in Taiwan than in the developed nation. Therefore, we investigated that whether the equity premium puzzle could be explained by the model with incomplete insurance and the model with habit formation. We presented the evidence that the premium were explained with the stochastic discount factor (SDF) developed by Brav, Constantinides and Geczy (2002) and presented in terms of the weighted average of the individual households’ marginal rate of substitution with the reasonable values of relative risk aversion, which supported the hypothesis of incomplete consumption insurance. Moreover, we also tested for the model with heterogeneous consumers developed by Constantinides and Duffic (1996) and found that the result was also robustness for the incomplete consumption insurance.

　　Moreover, we investigated the limited participation of households in the capital market under complete consumption insurance model. Our results implied that each income group had larger percentage of Taiwanese household owns common stocks so that they could explain the equity premium puzzles. On the other hand, when we estimated the model of habit formation, we found that the model with habit formation alone could not explain the equity premium puzzles in Taiwan.

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