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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 廖咸興 | |
| dc.contributor.author | "Meng-Jung, Liao" | en |
| dc.contributor.author | 廖孟容 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:14:39Z | - |
| dc.date.copyright | 2006-07-14 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-06-28 | |
| dc.identifier.citation | Fama, Eugene F.,1996, Multifactor portfolio efficiency and multifactor asset pricing, Journal of financial and Quantitative Analysis 31, 441-465
Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465 Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the return on stocks and bonds, Journal of Financial Economics 33, 3-56. Fama, Eugene F., and Kenneth R. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155 Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84 Fama, Eugene F., and Kenneth R. French, 1998, Value versus growth: the international evidence, Journal of Finance 53, 1975-1999 Fama, Eugene and James D. MacBeth, 1973, Risk, return, and equilibrium: empirical test, Journal of Political Economy 81, 607-636. Liao and Chen, 2005, A solvency based milti-period corporate short-term credit risk model, Working Paper. Maria Vassalou and Yuhang Xing, 2004, Default risk in equity returns, Journal of Finance 59, 831-867 Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41,867-887. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24040 | - |
| dc.description.abstract | 本研究探討支付不能風險和股票報酬率間之關係。我們發現支付不能風險狀態變數可以解釋Fama-French三因子所不能解釋的報酬率部分，也發現支付不能風險狀態變數如同Fama-French三因子一樣被定價。上述結果顯示，資產定價模型中似應包含一個市場支付不能風險之狀態變數。 | zh_TW |
| dc.description.abstract | We investigate the relationship between solvency risk and the equity returns. We find that solvency state variable can explain the residual returns which can not be explained by Fama-French’s three factors. We also find that solvency state variable is priced as well as the Fama-French’s three factors. It indicates that a market-wide solvency state variable might need to be added to asset pricing model. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:14:39Z (GMT). No. of bitstreams: 1 ntu-95-R93723050-1.pdf: 254173 bytes, checksum: 456522a0ef9d63dc7ace8b029fde3163 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | INDEX
口試委員審定書…………………………………………………............i ACKNOWLEGEMENT…………………………………………………ii 摘要……………………………………………………………………. iii ABSTRACT…………………………………………………………… .iv I. INTRODUCTION……………………………………………………..1 II. MEASURING SOLVENCY RISK………………………...................4 III. THE DATA AND SUMMARY STATISTICS……………………….7 IV. METHODOLOFY AND EMPIRICAL ANALYSIS………………..16 IV.1 METHODOLOGY………………………………………………16 1. Construct the market solvency state variable……………………………….16 2. Examine whether the solvency risk could explain the residual return which can not be explained by Fama-French three factors……………………….. 19 3. Test whether the solvency risk is a systematic risk factor…………………..20 IV.2 EMPIRICAL ANALYSIS……………………………………….22 1. The market solvency state variable constructed in the study……………….22 2. Empirical results of examining whether the solvency risk could explain the residual return……………………………………………………………….23 3. Empirical results with market solvency (MS) state variable as a systematic risk factor…………………………………………………………………... 25 V. CONCLUSION………………………………………………………27 REFERENCE…………………………………………………………...28 | |
| dc.language.iso | en | |
| dc.subject | 支付不能風險 | zh_TW |
| dc.subject | 股票報酬率 | zh_TW |
| dc.subject | 信用風險 | zh_TW |
| dc.subject | 流動性 | zh_TW |
| dc.subject | Solvency risk | en |
| dc.subject | Credit risk | en |
| dc.subject | Liquidity | en |
| dc.subject | Equity returns | en |
| dc.title | 支付不能風險對於股票報酬率之影響 | zh_TW |
| dc.title | Solvency Risk in Equity Returns | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳聖賢,林修薇,沈中華 | |
| dc.subject.keyword | 股票報酬率,支付不能風險,流動性,信用風險, | zh_TW |
| dc.subject.keyword | Equity returns,Solvency risk,Liquidity,Credit risk, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2006-06-29 | |
| 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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