請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/98166完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁 | zh_TW |
| dc.contributor.advisor | Larry Y. Tzeng | en |
| dc.contributor.author | 林禹丞 | zh_TW |
| dc.contributor.author | Yu-Cheng Lin | en |
| dc.date.accessioned | 2025-07-30T16:10:52Z | - |
| dc.date.available | 2025-07-31 | - |
| dc.date.copyright | 2025-07-30 | - |
| dc.date.issued | 2025 | - |
| dc.date.submitted | 2025-07-14 | - |
| dc.identifier.citation | Bakshi, G., & Madan, D. (2000). Spanning and derivative-security valuation. Journal of Financial Economics, 55(2), 205–238.
Carr, P., & Madan, D. (1998). Towards a theory of volatility trading. Volatility: New estimation techniques for pricing derivatives, 29, 417-427. Chabi-Yo, F., & Loudis, J. (2020). The conditional expected market return. Journal of Financial Economics, 137(3), 752-786. Chabi-Yo, F., Dim, C., & Vilkov, G. (2023). Generalized bounds on the conditional expected excess return on individual stocks. Management Science, 69(2), 922-939. Fama, E. F., & French, K. R. (2002). The equity premium. The journal of finance, 57(2), 637-659. Hansen, L. P., & Hodrick, R. J. (1980). Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of political economy, 88(5), 829-853. Kadan, O., & Tang, X. (2020). A bound on expected stock returns. The Review of Financial Studies, 33(4), 1565-1617. Martin, I. (2017). What is the Expected Return on the Market?. The Quarterly Journal of Economics, 132(1), 367-433. Martin, I. W., & Wagner, C. (2019). What is the Expected Return on a Stock?. The Journal of Finance, 74(4), 1887-1929. Welch, I., & Goyal, A. (2008). A comprehensive look at the empirical performance of equity premium prediction. The Review of Financial Studies, 21(4), 1455-1508. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/98166 | - |
| dc.description.abstract | 本研究依循Martin (2017) 提出之方法，在1996年至2023年的資料期間內，建立波動度指標SVIX以及與之緊密連結的股權溢酬之下界，並檢驗這些下界對未來股票市場超額報酬的預測力。研究結果顯示，該方法建立出之股權溢酬下界在樣本期間後期擁有較佳的預測力。 | zh_TW |
| dc.description.abstract | This paper follows the methodology proposed by Martin (2017) to construct SVIX-linked lower bounds on the equity premium, using data from 1996 to 2023. The results show that these bounds are relatively effective in predicting future stock market excess returns during the later years of the sample period. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2025-07-30T16:10:52Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2025-07-30T16:10:52Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 口試委員會審定書 #
誌謝 i 中文摘要 ii ABSTRACT iii 目次 iv 圖次 v 表次 vi 第一章 緒論 1 第二章 文獻回顧 3 第三章 研究資料與方法 5 3.1研究資料 5 3.2研究方法 5 第四章 研究結果 7 4.1股權溢酬下界 7 4.2迴歸與檢定 9 第五章 結論與建議 12 參考文獻 13 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | 市場期望報酬 | zh_TW |
| dc.subject | 風險溢酬 | zh_TW |
| dc.subject | 標普500指數選擇權 | zh_TW |
| dc.subject | 預測報酬 | zh_TW |
| dc.subject | Risk premium | en |
| dc.subject | S&P 500 index option | en |
| dc.subject | Market expected return | en |
| dc.subject | Predicting return | en |
| dc.title | 在新資料期間檢驗SVIX指標對市場報酬的預測力 | zh_TW |
| dc.title | Examining the Predictive Power of SVIX for Market Returns Over a New Sample Period | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 113-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 黃瑞卿;陳姿穎 | zh_TW |
| dc.contributor.oralexamcommittee | Rachel Huang;Tzu-Ying Chen | en |
| dc.subject.keyword | 市場期望報酬,風險溢酬,標普500指數選擇權,預測報酬, | zh_TW |
| dc.subject.keyword | Market expected return,Risk premium,S&P 500 index option,Predicting return, | en |
| dc.relation.page | 13 | - |
| dc.identifier.doi | 10.6342/NTU202501451 | - |
| dc.rights.note | 同意授權(限校園內公開) | - |
| dc.date.accepted | 2025-07-15 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| dc.date.embargo-lift | 2025-07-31 | - |
| 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-113-2.pdf 授權僅限NTU校內IP使用（校園外請利用VPN校外連線服務） | 956.9 kB | Adobe PDF |
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。