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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁(Yu-Ren Tzeng) | |
| dc.contributor.author | Kai-Ting Feng | en |
| dc.contributor.author | 馮凱婷 | zh_TW |
| dc.date.accessioned | 2021-06-08T01:38:28Z | - |
| dc.date.copyright | 2017-09-13 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-09-06 | |
| dc.identifier.citation | [1] Al-Khazali, O. M., Koumanakos, E. P., & Pyun, C. S. (2008). Calendar anomaly in the Greek stock market: Stochastic dominance analysis. International Review of Financial Analysis, 17(3), 461-474.
[2] Ariel, R. A. (1987). A monthly effect in stock returns. Journal of Financial Economics, 18(1), 161-174. [3] Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. [4] Huang, R. J., Huang, Y., & Tzeng, L. Y. (2014). Experimental estimation of the preference parameters in almost stochastic dominance. Working Paper [5] Ke, M. C., Chou, J. H., Hsieh, C. S., Chi, T. L., Chen, C. T., & Liang Liao, T. (2014). Testing the monthly anomaly with stochastic dominance. Managerial Finance, 40(2), 137-156. [6] Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12(1), 13-32. [7] Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1(4), 403-425. [8] Lean, H. H., Smyth, R., & Wong, W. K. (2007). Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach. Journal of Multinational Financial Management, 17(2), 125-141. [9] Leshno, M., & Levy, H. (2002). Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. Management Science, 48(8), 1074-1085. [10] Levy, H., Leshno, M., & Leibovitch, B. (2010). Economically relevant preferences for all observed epsilon. Annals of Operations Research, 176(1), 153-178. [11] Rozeff, M. S., & Kinney, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of financial economics, 3(4), 379-402. [12] Seyhun, H. N. (1993). Can omitted risk factors explain the January effect? A stochastic dominance approach. Journal of Financial and Quantitative Analysis, 28(02), 195-212. [13] Tsetlin, I., Winkler, R. L., Huang, R. J., & Tzeng, L. Y. (2015). Generalized almost stochastic dominance. Operations Research, 63(2), 363-377. [14] Tzeng, L. Y., Huang, R. J., & Shih, P. T. (2013). Revisiting almost second-degree stochastic dominance. Management Science, 59(5), 1250-1254. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/18885 | - |
| dc.description.abstract | 本論文旨在使用幾乎隨機優越與廣義幾乎隨機優越這兩種新方法，檢視一月效應的存在。1927至2014年美國NYSE、AMEX與NASDAQ公司的月報酬資料顯示最小規模等分(最高淨值市價比等分)至少幾乎二階隨機優越及廣義二階幾乎隨機優越於較大規模等分(較小淨值市價比等分)。也可看到所有公司規模等分的一月報酬皆至少二階幾乎隨機優越及廣義二階幾乎隨機優越於其他月份(除了最大規模等分的十一月、第六至十規模等分的十二月)。證據顯示一月效應確實存在。 | zh_TW |
| dc.description.abstract | This paper aims to examine the existence of January effect by using almost stochastic dominance and generalized almost stochastic dominance. Monthly return data of NYSE, AMEX, and NASDAQ firms from 1927 to 2014 show January returns in the smallest size decile (highest book-to-market decile) dominate larger (smaller) deciles by at least almost second-degree stochastic dominance and generalized second-degree stochastic dominance. Similarly, January returns in all size deciles dominate other months (except for November in the largest size decile and December in sixth to tenth size decile) by at least almost second-degree stochastic dominance and generalized second-degree stochastic dominance. The evidence show that January effect does exist. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T01:38:28Z (GMT). No. of bitstreams: 1 ntu-105-R03723062-1.pdf: 1402915 bytes, checksum: 65c3d2b19209bfc021238d662fa955fb (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 中文摘要 i
ABSTRACT ii CONTENTS iii LIST OF FIGURES v LIST OF TABLES vi 1. Introduction 1 2. Methodology 3 2.1. Almost Stochastic Dominance 3 2.2. Generalized Almost Stochastic Dominance 4 3. Data 6 4. Empirical Finding on Stochastic Dominance 10 4.1. Returns over Months 10 4.2. January Returns for Different Size Deciles 12 4.3. January versus Non-January Returns for Different Size Deciles 14 4.4. Returns in the Smallest Size Decile for Different Months 16 4.5. January Returns for Different Book-to-Market Deciles 18 4.6. January versus Non-January Returns for Different Book-to-Market Deciles 20 4.7. Returns in the Largest Book-to-Market Decile for Different Months 21 5. Conclusions 24 REFERENCE 25 APPENDIX 27 | |
| dc.language.iso | en | |
| dc.title | 以隨機優越法評估美國股票市場元月效應之實證研究 | zh_TW |
| dc.title | January Effect in American Stock Market Using Almost and Generalized Stochastic Dominance | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 105-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 黃瑞卿(Jui-Ching Huang),王仁宏(Jen-Hung Wang) | |
| dc.subject.keyword | 一月效應,隨機優越,幾乎隨機優越,廣義幾乎隨機優越,規模效應,淨值市價比效應, | zh_TW |
| dc.subject.keyword | January Effect,Stochastic Dominance,Almost Stochastic Dominance,Generalized Almost Stochastic Dominance,Size Effect,Book-to-Market Effect, | en |
| dc.relation.page | 32 | |
| dc.identifier.doi | 10.6342/NTU201603578 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2016-09-06 | |
| 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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