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政大典藏 > College of Commerce > Department of International Business > Theses > 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:	[Department of International Business] Theses

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