中文摘要：

基于生产的资本资产定价模型（PCAPM）框架拓展了Belo和Yu（2013）关于公共投资与股权溢价的理论模型,在理论上同时考虑了公共投资对私人投资的挤出（挤入）效应,并证明了公共投资可以通过挤出（挤入）私人投资引起股权溢价的降低（增加）。而基于台湾的实证研究发现：公共投资与股权溢价的关系是时变的,＂十大建设＂前期（1951-1974）,公共投资带来股权溢价的增加,而在＂十大建设＂时期（1975-1990）和＂六年国建及后续投资＂时期（1991-2012）,公共投资对股权溢价的影响为负值,其背后的原因是公共投资在不同时期对私人投资的挤入效应和挤出效应影响不同。

英文摘要：

On the basis of the framework of the production capital asset pricing model （PCAPM）, this paper has developed the theoretical model of public investment and equity premium presented by Belo and Yu （2013）. It takes into consideration in theory the crowding-out （crowding-in） effects of public investment on private investment and proves that public investment can decrease （increase） the equity premium by crowding out （crowding in） private investments. While the empirical researches based on the data of Taiwan reveal that the relationship between public investment and equity premium is time-varying. During the period before the ＂Ten Major Construction Projects＂ （1951-1974）, public investment led to the increasing of equity premium, while during the period of the ＂Ten Major Construction Projects＂ （1975-1990） and the period of ＂Six years of National Constructions and the Follow-up Investment＂ （1991-2012）, public investment had a negative effect on the equity premiurn; the underlying cause is that the public investment in different periods has different crowding-in or crowding-out effects on the private investment.