政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/140603
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113648/144635 (79%)
造访人次 : 51652595      在线人数 : 642
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/140603


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/140603


    题名: 極端報酬與BETA因子之研究－以法國市場為例
    Extreme positive return and BETA anomaly in French stock market
    作者: 盛寶陞
    Sheng, Bao-Sheng
    贡献者: 林靖庭
    Lin, Ching-Ting
    盛寶陞
    Sheng, Bao-Sheng
    关键词: 樂透性質
    極端正報酬
    極端報酬
    MAX效應
    市場風險
    異質波動度
    MAX
    MAX effect
    Lottery feature
    BETA anomaly
    Idiosyncratic volatility
    Extreme positive return
    日期: 2022
    上传时间: 2022-07-01 16:10:26 (UTC+8)
    摘要: 本篇研究探討法國股票市場中，具有樂透性質的股票與其未來預期報酬的關聯，是否存在所謂的「MAX 效應」，並探討法國股票市場中「Beta Anomaly」現象存在與否以及其與「MAX 效應」之關聯及交互作用。
    結果顯示，法國市場於1990年至2019年間的確存在「MAX 效應」，且在經過控制公司規模大小、股票淨值市價比及流動性的影響後「MAX 效應」依舊存在。不僅如此，本研究亦證明法國市場中異質波動度與預期報酬之間的反向關係導因於「MAX 效應」，而「MAX 效應」則在控制異質波動度後依然顯著。除此之外，本研究發現在法國市場中「MAX 效應」並非如美國市場般為導致「Beta Anomaly」現象的成因，相反的，在控制股票貝它係數後，「MAX 效應」便不復存在。
    This paper will investigate the relationship between lottery-like feature of stocks and its’ expected return in the French stock market. In other words , we will examine whether the MAX effect exists in French market. Moreover, this paper will explore the existence of the Beta Anomaly phenomenon in the French stock market and its relationship and interaction with MAX effect .
    The result shows that MAX effect does exist between 1990 and 2019 , and the phenomenon still significant after controlling variables such as size , book-to-market ratio and liquidity. Moreover, this study also proves that the inverse relationship between idiosyncratic volatility and expected returns in the French market is due to the MAX effect, which remains significant after controlling for idiosyncratic volatility. In addition, this study found that the MAX effect in the French market is not cause by the Beta Anomaly phenomenon as in the US market. On the contrary, after controlling for the stock beta , the MAX effect no longer exists.
    參考文獻: Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets,Volume 5, Issue 1, pp. 31-56.
    Ang,A., Hodrick,RJ., Xing,Y., Zhang,X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, pp. 259-299.
    Ang,A., Hodrick,RJ., Xing,Y., Zhang,X. (2009). High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economic, pp. 1-23.
    Bali,TG.,Brown,SJ.,Murray,S.,Tang,Y. (2017). A lottery-demand-based explanation of the beta anomaly. Journal of Financial and Quantitative Analysis, Volume 52 , Issue 6, pp. 2369-2397.
    Bali,TG.,Cakici,N.,Whitelaw,RF. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, pp. 427-446.
    Banz, R. (1981). The relationship between return and market value of common stocks. Journal of financial economics 9, pp. 3-18.
    Chan,KC., Chen,NF. (1991). Structural and return characteristics of small and large firms. The Journal of Finance,Volume46, Issue4, pp. 1467-1484.
    Cheon, Y., Lee, K. (2014). Maxing out globally: MAX-premium, uncertainty avoidance,and the cross-section of expected stock returns. Seoul National University Business School.
    Fama,EF., French,KR. (1998). Value versus growth: The international evidence. The Journal of Finance,Volume53, Issue6, pp. 1975-1999.
    Fama,EF., French,KR. (1992). The cross‐section of expected stock returns. the Journal of Finance,Volume47, Issue2, pp. 427-465.
    Frazzini,A.,Pedersen,LH. (2014). Betting against beta. Journal of Financial Economics 111, pp. 1-25.
    Jensen,MC., Black,F., Scholes,MS. (1972). The capital asset pricing model: Some empirical tests. Praeger Publishers Inc.
    Walkshäusl, C. (2014). The MAX effect: European evidence. Journal of Banking & Finance 42, pp. 1-10.
    Zhong,A., Gray,P. (2016). The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking & Finance, pp. 76-90.
    描述: 碩士
    國立政治大學
    金融學系
    109352018
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109352018
    数据类型: thesis
    DOI: 10.6814/NCCU202200569
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    201801.pdf1183KbAdobe PDF2126检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈