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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 郭震坤(Cheng-Kun Kuo) | |
| dc.contributor.author | Wen-Yen Huang | en |
| dc.contributor.author | 黃文彥 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:17:16Z | - |
| dc.date.available | 2014-03-08 | |
| dc.date.copyright | 2014-03-08 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2014-02-11 | |
| dc.identifier.citation | [1] Ang, A., & Chen, J. (2007). CAPM over the long run: 1926–2001. Journal of Empirical Finance, 14(1), 1-40.
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[47] 莊慶仁、許溪南，台灣股市相關政策對股市之影響， 台灣證券交易所 [48] 萬哲鈺、高崇瑋， 財務報表分析三版 (2007) ， 華泰文化 [49] 藍順得(2008)，資金成本， 櫃檯買賣中心主題報導 4 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58495 | - |
| dc.description.abstract | 本研究基於Gulen、Xing and Zhang (2010)以及 Perez-Quiros and Timmermann (2000)的理論基礎，利用馬可夫轉換模型來探討當暴露在不同的系統性風險時，各種總體經濟變數對於台灣成長型股票和價值型股票之超額報酬的影響程度。應用台灣股市月資料實證發現，預期價值溢酬在高變異狀態時呈現出明顯上揚和下降的現象，而在低變異時期呈現出較趨近於水平的趨勢。 | zh_TW |
| dc.description.abstract | This research applies a Markov switching model to analyze the impacts of various macro-variables on the excess return of growth stocks and value stocks, based on Gulen, Xing and Zhang (2010) and Perez-Quiros and Timmermann (2000). Using monthly return data from Taiwan stock market for empirical study, the results show that under different systematic risks, the expected value premium increase or decrease significantly when the volatility of the economy is high. On the other hand, when the volatility of the economy is low, the premium is relatively stable. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:17:16Z (GMT). No. of bitstreams: 1 ntu-103-R00724005-1.pdf: 708178 bytes, checksum: f980f304c6441b62394ddab2eef5e004 (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 誌謝 ……………………………………………………………………2
中文摘要 ………………………………………………………………3 Abstract ………………………………………………………………4 目錄 ……………………………………………………………………5 圖目錄 …………………………………………………………………7 表目錄 …………………………………………………………………8 第一章 緒論 …………………………………………………………9 1.1、研究動機與目的 ………………………………………………9 1.2、研究架構 ………………………………………………………10 第二章 文獻探討 ……………………………………………………11 2.1、介紹 ……………………………………………………11 2.1.1、預期報酬之評估 …………………………………11 2.1.2、價值溢酬 …………………………………………16 2.2、總體經濟環境對價值溢酬的影響 ……………………19 2.2.1、文獻理論背景 ……………………………………19 2.2.2、文獻資料來源和模型建構 ………………………21 2.2.3、文獻研究成果 ……………………………………25 2.3、公司規模對股票報酬的影響 …………………………26 2.3.1、文獻研究目的 …………………………………26 2.3.2、文獻資料來源和模型建構 ………………………26 2.3.3、文獻研究成果 ……………………………………30 2.4、其它文獻 ………………………………………………31 第三章 研究方法與實證分析 ………………………………………33 3.1、研究方法 ……………………………………………33 3.2、原始模型 ……………………………………………33 3.2.1、資料及模型建構 …………………………………33 3.2.2、預測結果 …………………………………………39 3.3、改良模型---三因子馬可夫轉換模型 ………………43 3.3.1、資料及模型建構 …………………………………43 3.3.2、預測結果 …………………………………………48 3.4、樣本外預測分析 ………………………………………53 3.5、預期價值溢酬時變性分析 ……………………………57 第四章 結論 …………………………………………………………61 參考文獻 ………………………………………………………………63 | |
| dc.language.iso | zh-TW | |
| dc.subject | 價值溢酬 | zh_TW |
| dc.subject | 價值股 | zh_TW |
| dc.subject | 成長股 | zh_TW |
| dc.subject | value premium | en |
| dc.subject | value stock | en |
| dc.subject | growth stock | en |
| dc.title | 台灣股市時變性超額報酬之研究 | zh_TW |
| dc.title | A Study of Time-Varying Excess Stock Returns in Taiwan Stock Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 102-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李顯峰(Hsien-Feng Lee),李志偉 | |
| dc.subject.keyword | 成長股,價值股,價值溢酬, | zh_TW |
| dc.subject.keyword | growth stock,value stock,value premium, | en |
| dc.relation.page | 67 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2014-02-11 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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