English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50810018      Online Users : 668
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/48889


    Title: 風險報酬之關係─台灣加權股價指數實證
    There is a risk-return trade-off-an empirical study of Taiwan
    Authors: 林庭瑄
    Contributors: 饒秀華
    林庭瑄
    Keywords: 風險
    報酬
    Date: 2009
    Issue Date: 2010-12-08 01:52:24 (UTC+8)
    Abstract: 投資學上,最重要的就是了解投資的「風險」與「報酬」,學界普遍認同風險和報酬之間應該有著正向關聯,投資人承受風險以換取超額報酬,然而在實證上,仍未能達成一致的共識。在近年的金融風暴中,各種投資標的物的報酬皆下降,似乎也提供了風險和報酬呈現負向關係的佐證。到底風險和報酬之間的關係為何?本文延續前人的討論,對台灣加權股價指數報酬率資料進行實證來探討風險和報酬之間的關聯性。本文利用從2000年4月至2010年3月,近十年的台灣加權股價指數報酬率資料,分別以每日超額報酬平方(MIDAS)、移動視窗(rolling window)以及GARCH-M三種估計方法計算出報酬的條件變異數後,做為風險的替代變數,加入連續時間的投資組合與資產定價模型(Intertemporal CAPM, ICAPM)中來估算出平均報酬係數以及代表性投資人的風險趨避係數以判斷風險和報酬之關係。我的實證結果則顯示最近十年來,台股加權股價指數的預期報酬和風險,確實呈現正相關的趨勢,而三種估計報酬的條件變異數方法中,以每日超額報酬平方(MIDAS)估計最顯著。另外金融風暴影響的期間,2008年4月到2010年3月的樣本中,無論是何種估計方法,都較難以解釋實質報酬的變化。
    Reference: 國內文獻
    台灣證券交易所 www.twse.com.tw
    蔡明章,「影響台灣股市波動因素之探討」,台北大學國際財務金融在職專班碩士論文,民國98年6月
    李美樺,「以橫斷面跨期資本資產訂價模型衡量台灣股市報酬與風險之動態關係」,銘傳大學財務金融學系碩士論文,民國96年6月
    卓泰佑,「報酬與風險抵換關係之分量迴歸分析」,交通大學經營管理研究所碩士論文,民國97年6月
    彭琳、徐銀磯,工商時報99/01/27,「ECFA正式定名」
    盧冠誠,鉅亨網 99/01/22,「元月行情夢醒 重挫200點作收 全周大跌429點」
    國外文獻
    Taleb,M. N., “The Black Swan: The Impact of the Highly Improbable” New York Times.
    Baillie, R.T., DeGennaro, R.P. (1990) “Stock returns and volatility” Journal of Financial and Quantitative Analysis, 25(2), 203–214.
    Black, Fischer, Michael C. Jensen and Myron Scholes. (1972) “The Capital Asset Pricing Model: Some Empirical Tests” Studies in the Theory of Capital Markets. Michael C. Jensen, ed. New York: Praeger, 79-121.
    Black, F., (1976) “Studies in stock price volatility changes. In: Proceedings of American Statistical Association” Business and Economic Statistics, Section, 177–181.
    Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroskedasticity” Journal of Econometrics, 31, 307-327.
    Bollerslev, T., Wooldridge, J.M. (1992) “Quasi-maxmimum likelihood estimation and inference in dynamic models with time-varying covariances” Econometric Reviews, 11, 143–172.
    Campbell, J.Y. (1987) “Stock returns andthe term structure” Journal of Financial Economics, 18(2), 373–399.
    Campbell, J.Y., Shiller, R.J. (1988) “Stock prices, earnings, and expected dividends” Journal of Finance, 43(3), 661–676.
    Campbell, J.Y. (1991) “A variance decomposition for stock returns” Economic Journal, 101(405), 157–179.
    Campbell, J.Y., Hentschel, L. (1992) “No news is good news: an asymmetric model of changing volatility in stock returns” Journal of Financial Economics, 31 (3), 281–318.
    Engle, R.F. (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation” Econometrica, 50, 987–1008.
    Engle, R., Lilien, D., Robins, R. (1987) “Estimation of time varying risk premia in the term structure: the arch-m model” Econometrica, 55, 391–407.
    Engle, R.F., Ng, V. (1993) “Measuring and testing the impact of news on volatility” Journal of Finance, 48, 1749–1778.
    Fama, E.F., French, K.R. (1988) “Dividend yields and expected stock returns” Journal of Financial Economics, 22(1), 3–25.
    Fama, E.F., French, K.R. (1989) “Business conditions and expected returns on stocks and bonds” Journal of Financial Economics, 25(1), 23–49.
    Fama, Eugene F. and Kenneth R. French. (1992) “The Cross-Section of Expected Stock Re-turns” Journal of Finance, 47(2), 427-65.
    French, K.R., Schwert, W., Stambaugh, R.F. (1987) “Expected stock returns and volatility” Journal of Financial Economics, 19(1), 3–29.
    Ghysels, E., Santa-Clara, P., Valkanov, R. (2004) “Predicting volatility: getting the most out of return data sampled at different frequencies” Journal of Econometrics, forthcoming.
    Ghysel, E., Santa-Clara, P., and Valkanov, R., (2005) “There is a risk-return trade-off after all” Journal of Financial Economics, 76, 509-548.
    Glosten, L.R., Jagannathan, R., Runkle, D.E. (1993) “On the relation between the expected value and the volatility of the nominal excess return on stocks” Journal of Finance, 48(5), 1779–1801.
    Harvey, C.R., (2001) “The specification of conditional expectations” Journal of Empirical Finance, 8(5), 573–638.
    Lintner, John. (1965) "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets" Review of Economics and Statistics, 47(1), 13-37.
    Markowitz, Harry. (1952) "Portfolio Selection" Journal of Finance, 7(1), 77-99.
    Merton, R.C. (1973) “An intertemporal capital asset pricing model” Econometrica, 41 (5), 867–887.
    Merton, R.C. (1980) “On estimating the expected return on the market: An exploratory investigation” Journal of Financial Economics, 8, 323-361.
    Mossin, Jan. (1966) ”Equilibrium in a Capital Asset Market””Econometrica, 34, 768-783.
    Nelson, D.B. (1991) “Conditional heteroskedasticity in asset returns: a new approach” Econometrica, 59(2), 347–370.
    Ross, Stephen A. (1976) “The Arbitrage Theory of Capital Asset Pricing” Journal of Economic Theory, 13(3), 341-60.
    Said, S. and Dickey, D. (1984 ), “Testing for Unit Roots in Autoregressive-Moving Average Model of Unknown Order” Biometrica, 71, 599-607.
    Schwert, W.G. (1989) “Why does stock market volatility change over time?” Journal of Finance, 44(5), 1115–1153.
    Scruggs, J.T. (1998) “Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: a two-factor approach” Journal of Finance, 52(3), 575–603.
    Sharpe,W.F. (1964) “Capital Asset Prices: A Theory of Market Equilibrium Under
    Conditions of Risk” Journal of Finance, 19, 425-442.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    97351035
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097351035
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2294View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback