請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87843
標題: | 總體金融資產定價的實證研究 Stock market alphas help predict macroeconomic innovations. |
作者: | 葉家譽 Andy Jia-Yuh Yeh |
指導教授: | 洪茂蔚 Mao-Wei Hung |
共同指導教授: | 何耕宇 Keng-Yu Ho |
關鍵字: | 總體金融,資產定價,金融時間序列, Fama-French multi-factor models,vector autoregressions,Granger causation tests,dynamic conditional alphas,macroeconomic innovations,asset return anomalies, |
出版年 : | 2023 |
學位: | 博士 |
摘要: | 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。 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. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87843 |
DOI: | 10.6342/NTU202300842 |
全文授權: | 同意授權(全球公開) |
顯示於系所單位: | 財務金融學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-111-2.pdf | 1.82 MB | Adobe PDF | 檢視/開啟 |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。