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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

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題名:	台灣股市貝它值之研究 The partial adaptive estimation of CAPM with censorship in an emerging market
作者:	林則君 Lin, Che-Chun
貢獻者:	郭維裕林則君 Lin, Che-Chun
日期:	2001
上傳時間:	2009-09-18 18:57:16 (UTC+8)
摘要:	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.
描述:	碩士國立政治大學國際經營與貿易研究所 89351031 90
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G91NCCU2662012
資料類型:	thesis
顯示於類別:	[國際經營與貿易學系 ] 學位論文

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