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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 洪茂蔚 | zh_TW |
dc.contributor.advisor | Mao-Wei Hung | en |
dc.contributor.author | 葉家譽 | zh_TW |
dc.contributor.author | Andy Jia-Yuh Yeh | en |
dc.date.accessioned | 2023-07-19T16:48:49Z | - |
dc.date.available | 2023-11-09 | - |
dc.date.copyright | 2023-07-19 | - |
dc.date.issued | 2023 | - |
dc.date.submitted | 2023-05-26 | - |
dc.identifier.citation | Avramov, D. and Chordia, T. (2006). Asset pricing models and financial market anomalies. Review of Financial Studies 19(3): 1001-1040.
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87843 | - |
dc.description.abstract | 我們運用新型遞歸多變量濾波〔recursive multivariate filter〕,順利萃取好動態條件基本面解釋成因的風險溢酬〔dynamic conditional factor premiums〕,實證計量解析顯示此項新型計量模型成功解釋許多資產訂價領域的異常現象〔size, value, momentum, asset growth, and operating profitability〕。同時,自我向量迴歸解析實證確認總經衝擊與動態條件溢酬兩者的雙向因果連動關係〔mutual causation in vector autoregressions〕,我們將其雙向因果連動關係,確立成為基本面解釋成因選擇的科學理據條件,由於動態條件溢酬顯著反映總經衝擊風險,此雙向因果連動關係自然展現投資人的基本面總經預期資產報酬,這項經濟見解可以幫助有效區分衡量金融領域當中的理性預期均衡訂價模型與行為財務失衡訂價模型。 | zh_TW |
dc.description.abstract | We extract dynamic conditional factor premiums from the Fama-French factor model and find that most anomalies disappear after one accounts for time variation in these premiums. Vector autoregression evidence shows that mutual causation between dynamic conditional alphas and macroeconomic surprises serves as a core qualifying condition for fundamental factor selection. This economic insight is an incremental step toward drawing a distinction between rational risk and behavioral mispricing models. To the extent that dynamic conditional alphas can reveal the marginal investor’s fundamental news and expectations about the cross-section of average asset returns, our economic insight helps enrich macroeconomic asset return prediction. | en |
dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2023-07-19T16:48:49Z No. of bitstreams: 0 | en |
dc.description.provenance | Made available in DSpace on 2023-07-19T16:48:49Z (GMT). No. of bitstreams: 0 | en |
dc.description.tableofcontents | 1. Introduction 1
2. Methodology 6 3. Evidence 12 4. Mutual causation between macroeconomic innovations and alpha spreads 19 5. Conclusion 23 6. References 24 Online Appendix to the PhD dissertation 39 | - |
dc.language.iso | en | - |
dc.title | 總體金融資產定價的實證研究 | zh_TW |
dc.title | Stock market alphas help predict macroeconomic innovations. | en |
dc.type | Thesis | - |
dc.date.schoolyear | 111-2 | - |
dc.description.degree | 博士 | - |
dc.contributor.coadvisor | 何耕宇 | zh_TW |
dc.contributor.coadvisor | Keng-Yu Ho | en |
dc.contributor.oralexamcommittee | 陳思寬;楊聲勇;董澍琦;余士迪 | zh_TW |
dc.contributor.oralexamcommittee | Shi-Kuan Chen;Sheng-Yung Yang;Shuh-Chyi Doong;Shih-Ti Yu | en |
dc.subject.keyword | 總體金融,資產定價,金融時間序列, | zh_TW |
dc.subject.keyword | Fama-French multi-factor models,vector autoregressions,Granger causation tests,dynamic conditional alphas,macroeconomic innovations,asset return anomalies, | en |
dc.relation.page | 70 | - |
dc.identifier.doi | 10.6342/NTU202300842 | - |
dc.rights.note | 同意授權(全球公開) | - |
dc.date.accepted | 2023-05-26 | - |
dc.contributor.author-college | 管理學院 | - |
dc.contributor.author-dept | 財務金融學系 | - |
顯示於系所單位: | 財務金融學系 |
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