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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
dc.contributor.author | Meng-Fan Li | en |
dc.contributor.author | 黎孟帆 | zh_TW |
dc.date.accessioned | 2021-06-07T17:32:57Z | - |
dc.date.copyright | 2020-07-20 | |
dc.date.issued | 2020 | |
dc.date.submitted | 2020-07-03 | |
dc.identifier.citation | Alfred Cowles 3rd and Associates. (1938). Common Stock Indexes 1871-1938.
Bunn, O. D., Shiller, R. J. (2014). Changing Times, Changing Values: A Historical Analysis of Sectors Within the US Stock Market. In National Bureau of Economic Research (Vol. 53, Issue 9). Campbell, J. Y., Lo, A. W., MacKinlay, A. C. (2012). The Econometrics of Financial Markets. In The Econometrics of Financial Markets. Campbell, J. Y., Shiller, R. J. (1988a). Stock Prices, Earnings, and Expected Dividends. The Journal of Finance, 43(3), 661. Campbell, J. Y., Shiller, R. J. (1988b). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. The Review of Financial Studies, 1(3), 195–228. Campbell, J. Y., Shiller, R. J. (1988c). The Dividend Ratio Model and Small Sample Bias. A Monte Carlo Study. In Economics Letters (Vol. 29, Issue 4). Campbell, J. Y., Shiller, R. J. (1998). Valuation Ratios and the Long-Run Stock Market Outlook. Journal of Portfolio Management, 24(2), 11–26. Campbell, J. Y., Shiller, R. J. (2001). Valuation Ratios and the Long-Run Stock Market Outlook: An Update. Graham, B., Dodd, D. L. (1934). Graham and Dodd’s security analysis. Jivraj, F., Shiller, R. J. (2017). The Many Colours of CAPE. In Barclays. Joachim Klement (2020). 7 Mistakes Every Investor makes (And How to Avoid Them). Harriman House Publishing Joachim Klement. (2020). 7 Mistakes Every Investor makes (And How to Avoid Them) Klement, J. (2012). Does the Shiller-PE Work in Emerging Markets? In Wellershoff Partners Ltd. Shen, P. (2000). The P/E Ratio and Stock Market Performance. In Federal Reserve Bank of Kansas City (Vol. 85, Issue 4). Shiller, R. J. (2000). Irrational Exuberance. In Princeton University Press (Vol. 53, Issue 9). Siegel, J. J. (2016). The Shiller CAPE Ratio: A New Look. Financial Analysts Journal, 72(3), 41–50. StarCapital. (2016). Predicting Stock Market Returns Using the Shiller CAPE. In StarCapital (Issue January). Wilson, J. W., Jones, C. P. (2002). An Analysis of the S P 500 Index and Cowles’s Extensions: Price Indexes and Stock Returns, 1870-1999. Journal of Business, 75(3), 505–533. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15329 | - |
dc.description.abstract | 本研究以美國股市為例,探討週期性本益比(Cyclical Adjusted Price to Earnings Ratio, CAPE)之編製方式,並比較其與傳統本益比衡量股市之解釋能力。研究結果發現,CAPE對股市報酬率的解釋能力優於傳統本益比,且對長期報酬率解釋能力高於短期報酬率。本文亦編制台灣CAPE,得到相同的結論。 | zh_TW |
dc.description.abstract | This study takes the US stock market as an example to explore the compilation method of Cyclical Adjusted Price to Earnings ratio (CAPE), and compares it with the traditional Price to Earnings ratio to measure the explanatory power of the stock market. The results of the study found that CAPE's ability to explain stock market returns is better than traditional PE ratios, and its ability to explain long-term returns is higher than short-term returns. This article also compiles Taiwan CAPE, and the same conclusion is reached. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T17:32:57Z (GMT). No. of bitstreams: 1 U0001-0307202009200700.pdf: 2428868 bytes, checksum: e044648a65ddb71a45c751d2adfc3004 (MD5) Previous issue date: 2020 | en |
dc.description.tableofcontents | 目錄 中文摘要 II ABSTRACT III 第一章 緒論 1 第一節 研究動機 1 第二節 傳統本益比與週期性本益比簡介 1 第三節 論文架構 4 第二章 文獻探討 5 第一節 CAPE問世 5 第二節 回顧CAPE歷史數據 6 第三節 CAPE的缺點與修正 8 第三章 研究方法 10 第一節 CAPE計算方式 10 第二節 資料來源-美國 11 第三節 資料來源-台灣 12 第四章 實證結果 14 第一節 CAPE、PE解釋能力比較 14 第二節 CAPE對報酬率之解釋能力 15 第三節 台灣CAPE實證分析 19 第五章 結論 23 參考文獻 24 | |
dc.language.iso | zh-TW | |
dc.title | 週期性本益比編制之研究─以台灣為例 | zh_TW |
dc.title | Study of Cyclical Adjusted Price to Earnings Ratio - Taiwan | en |
dc.type | Thesis | |
dc.date.schoolyear | 108-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 何耕宇(Keng-Yu ho),蔡偉澎(Wei-Peng Tsai) | |
dc.subject.keyword | 週期性本益比,傳統本益比,股市,報酬率, | zh_TW |
dc.subject.keyword | CAPE,PE,stock market,returns, | en |
dc.relation.page | 25 | |
dc.identifier.doi | 10.6342/NTU202001285 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2020-07-03 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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