政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35096
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113974/145000 (79%)
造訪人次 : 52007961      線上人數 : 905
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/35096


    題名: The Empirical Study on Beta Decomposition - Evidence from Cross-section Industries of Taiwan Stock Market
    台灣股票市場貝他係數分解之實證
    作者: 王裕群
    Wang, Yu Chun
    貢獻者: 郭維裕
    Kuo, Weiyu
    王裕群
    Wang, Yu Chun
    關鍵詞: Beta
    Beta Decomposition
    System Risk
    CAPM
    日期: 2005
    上傳時間: 2009-09-18 14:09:15 (UTC+8)
    摘要: This paper surveys the method of beta decomposition and the evolution of different type betas in Taiwan stock market. We break the unexpected market return into two different types of news term, which are the discount-rate news about the expected change of discount rate and the cash-flow news about the expected change of future cash dividends, and then, estimate the relationship between these two market news and the return of different cross-section industries. The traditional beta used in financial market is broken into two different betas with different risk price. Our study finds out some evidence about the change in the attitude of investors for our two news term that affect market return.
    參考文獻: 1. John Y. Campbell. “A Variance Decomposition for Stock Return.” Economic Journal 101 (March 1991), 157-179.
    2. John Y. Campbell. “Understanding Risk and Return.” Journal of Political Economy 104 (April 1996), 298-345.
    3. John Y. Campbell, Christopher Polk, and Tuomo Vulteenaho. “Growth or Glamour? Fundamentals and System Risk in Stock Returns.” Unpublished paper, Harvard University and Northwestern University, May 2005.
    4. John Y. Campbell and Jianping Mei. “Where do Betas Come From? Asset Price Dynamics and the Sources of System Risk.” Review of Financial Studies 6 (1993), 567-592.
    5. John Y. Campbell and Robert J. Shiller. “The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors.” Review of Financial Studies 1 (Autumn 1988), 195-228.
    6. ____________. “Stock Prices, Earnings, and Expected Dividends.” Journal of Finance 43 (July 1988), 661-676.
    7. John Y. Campbell and Tuomo Vuolteenaho. “Bad Beta, Good Beta.” American Economic Review 94 (December 2004), 1249-1275.
    8. John Lintner. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics 47 (February 1965), 13-37.
    9. Maurice Kendall. “Note on Bias in the Estimation of Autocorrelation.” Biometrika 41 (December 1954), 403-404.
    10. Myron J. Gordon. “The Investment, Financing, and Valuation of the Corporation.” R. D. Irwin (1962).
    11. Myron Scholes and Joseph Williams. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics 5 (February 1977), 309-327.
    12. Randolph B. Cohen, Christopher Polk, and Tuomo Vulteenaho. “The Value Spread.” Journal of Finance 58 (April 2003), 609-641.
    13. Robert F. Stambaugh. “Predictive Regression.” Journal of Financial Economics 54 (December 1999), 375-421.
    14. William F. Sharpe. “Capital Asset Pricing: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance 19 (September 1964), 425-442.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351001
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093351001
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    35100101.pdf67KbAdobe PDF21230檢視/開啟
    35100102.pdf39KbAdobe PDF21108檢視/開啟
    35100103.pdf35KbAdobe PDF21116檢視/開啟
    35100104.pdf22KbAdobe PDF21268檢視/開啟
    35100105.pdf73KbAdobe PDF21408檢視/開啟
    35100106.pdf48KbAdobe PDF21356檢視/開啟
    35100107.pdf47KbAdobe PDF23320檢視/開啟
    35100108.pdf21KbAdobe PDF21295檢視/開啟
    35100109.pdf20KbAdobe PDF21112檢視/開啟
    35100110.pdf22KbAdobe PDF21192檢視/開啟
    35100111.pdf595KbAdobe PDF21552檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋