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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21524完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
| dc.contributor.author | Yi-Ming Chen | en |
| dc.contributor.author | 陳翌珉 | zh_TW |
| dc.date.accessioned | 2021-06-08T03:36:45Z | - |
| dc.date.copyright | 2019-07-29 | |
| dc.date.issued | 2019 | |
| dc.date.submitted | 2019-07-24 | |
| dc.identifier.citation | Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2005). The cross-section of volatility and expected returns. Journal of Finance, 61(1), 259–299.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economics, 91(1), 1–23. Auer, B. R., & Schuhmacher, F. (2015). Liquid betting against beta in Dow Jones Industrial Average stocks. Financial Analysts Journal, 71(6), 30–43. Baker, M., Bradley, B., & Taliaferro, R. (2014). The low-risk anomaly: A decomposition into micro and macro effects, Financial Analysts Journal, 70(2), 43–58. Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203–219. Fama, E. F. & French, K. R. (1992), The cross-section of expected stock returns, Journal of Finance, 47(2), 427–465. 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. Frazzini, A., & Pedersen, L. H. (2014). Betting against Beta. Journal of Financial Economics, 111(1), 1–25. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21524 | - |
| dc.description.abstract | 低風險異常現象 (low risk anomaly) 是指低風險資產卻有高報酬，但是該現象違反傳統財務理論。Frazzini 與Pedersen (2014) 提出betting against beta (BAB) 因子，由選取資產中的 beta 依遞增次序排序，藉由買入低風險的投資組合，賣出高風險的投資組合，形成BAB投資組合。本文欲探討臺灣證劵交易所上市股票是否具有低風險異常現象及BAB投資組合是否能夠獲取超額報酬。
文中結果顯示所選取台灣證劵交易所上市股票資料分組排序後具有低風險異常現象，BAB投資組合能獲得超額報酬。 | zh_TW |
| dc.description.abstract | That low risk asset will earn high return, contrary to the traditional financial theory, is called low risk anomaly. Frazzini and Pedersen (2014) proposed a betting against beta (BAB) factor. To construct a BAB portfolio, all securities in an asset class are first ranked in ascending order on the basis of their estimated beta followed by buying a low beta portfolio and selling a high beta portfolio with a zero portfolio beta. This thesis explores whether the stocks listed on the Taiwan Stock Exchange have low risk anomaly and whether the BAB portfolio can generate excess returns.
The empirical results in the thesis show that low risk anomaly exists for the stocks listed on the Taiwan Stock Exchange (TSE) and that the BAB portfolio generates excess returns. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T03:36:45Z (GMT). No. of bitstreams: 1 ntu-108-R05723032-1.pdf: 607801 bytes, checksum: fa433c4b37490d64876ff6f4505313ea (MD5) Previous issue date: 2019 | en |
| dc.description.tableofcontents | 口試委員審定書 i
摘要 ii Abstract iii 目錄 iv 表目錄 v 第一章 緒論 1 1.1 研究動機 1 第二章 文獻探討 2 2.1 CAPM理論探討 2 2.2 風險異常現象 (low risk anomaly) 3 2.3 多因子資產模型 5 2.4 Fama-MacBeth Regression 6 第三章 研究方法 8 3.1 研究假說 8 3.2 實證資料來源與選取 8 3.3 相關變數及指標衡量方法 9 3.4 BAB因子建構 11 第四章 實證結果及分析 12 4.1 研究樣本之敘述統計量 12 4.2 BETA 投資組合之因子模型檢定 12 第五章 結論與建議 15 5.1 研究結論 15 5.2 研究建議 15 參考文獻 17 | |
| dc.language.iso | zh-TW | |
| dc.title | Beta投資組合於台灣證劵交易所上市股票研究 | zh_TW |
| dc.title | A Study of Beta Portfolio of Stocks Listed on the Taiwan Stock Exchange | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 107-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陸裕豪(U-Hou Lok),金國興(Gow-Hsing King),張經略(Ching-Lueh Chang) | |
| dc.subject.keyword | 低風險異常現象,beta投資組合, | zh_TW |
| dc.subject.keyword | low risk anomaly,beta portfolio, | en |
| dc.relation.page | 20 | |
| dc.identifier.doi | 10.6342/NTU201901858 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2019-07-24 | |
| 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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