政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36604

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 50975963 Online Users : 892

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/36604

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36604

Title:	台灣股市貝它值之研究 The partial adaptive estimation of CAPM with censorship in an emerging market
Authors:	林則君 Lin, Che-Chun
Contributors:	郭維裕林則君 Lin, Che-Chun
Date:	2001
Issue Date:	2009-09-18 18:57:16 (UTC+8)
Abstract:	無 The Partial Adaptive Estimation of CAPM with Censorship in an Emerging Market Che-Chun Lin The Department of International Trade National Chengchi University Abstract The daily data of stock returns in Taiwan stock market suffer from thin trading, price limits and non-normality that either cause specific estimation problems due to the daily characteristic or violate the assumption of traditional CAPM. These violations of the traditional market model could cause serious biases in estimation of beta. This paper takes use of the Aggregate Model, Partial Adaptive Model, and Two-limit Logit Model to tackle the problems resulting from the violations. The empirical results are consistent with previous literatures, and indicating that the partial adaptive estimator with censorship has the highest likelihood value. Meanwhile, the result also reveals that size and liquidity do play important roles in affecting the behaviors of stock returns in different ways.
Description:	碩士國立政治大學國際經營與貿易研究所 89351031 90
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G91NCCU2662012
Data Type:	thesis
Appears in Collections:	[國際經營與貿易學系 ] 學位論文

Files in This Item:

File	Size	Format
index.html	0Kb	HTML2	405	View/Open

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.

Loading...