本文根據Merton (1 973） 跨期資本資產定價模型(Intertemporal Capitial Asset Pricing Model, ICAPM）加以計量方法與實際資料 探討台灣股票市場預期報酬與風險的跨期關係，並試圖解釋為何實 證文獻對於是否存在高風險高預期報酬的跨期關係眾說紛揉。在 Merton ICAPM 理論模型及其所對應的蝶件期望值架構下，風險 撞避係數應為正﹔ 我們將檢驗ICA PM 在台灣股票市場的適用性。 我們先使用動態條件相關模型（ Dynamic Conditional Correlation Models） 估計動態條件共變異數作為解釋變數， 再由各成份股預期 報酬作為被解變數以追蹤資料分量迴歸（ Panel Q u antile Regression) 得出相對風險堪避係數估計值。實證結果顯示，在預期報酬傑件期 望值及中位數上， 風險趨避係數皆顯著為正。我們也另外使用兩種 在帳件期望值的架構下並考盧序列相關及橫斷面相依特性的計量 模型， 所估計出的風險趨避係數也皆顯著為正。強韌性檢驗（robustness checks）顯示本文的估計結果並不會因解釋變數不同、風險替 代變數相異及使用計量方法不一而有太大的差異。

This paper explores intertemporal relationship between risk and expected returns in the Taiwan stock market in the context of the Intertemporal Capital Asset Pricing Model. rst estimate the time-varying conditional covariances by dynamic conditional correlations models, and then treat the estimates as explanatory variables in a second-stage panel quantile regression to explore the shape of the conditional distribution of excess returns. A signiι icant positive intertemporal relation between risk and return is identified at the conditional mean and median of the expected return distribution. This positive risk-return relation coincides with the result implied by interactiveeffects panel data models and into the conditional expectation framework of the ICAPM allowing for cross-sectional dependence. Robustness checks indicate that our empirical results are robust to the choice of proxies of risk, explanatory variabl， and econometric methodologies.