政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/54699
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 50973407      線上人數 : 878
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/140.119/54699


    題名: 風險與報酬之間的關係-不對稱MIDAS模型的應用
    The Relation between Risk and Return-The Application of ASYMIDAS model
    作者: 蔡宗泰
    貢獻者: 饒秀華、徐士勛
    蔡宗泰
    關鍵詞: 風險
    報酬
    GARCH
    ICAPM
    GED分配
    日期: 2011
    上傳時間: 2012-10-30 11:32:05 (UTC+8)
    摘要: 風險和報酬彼此之間的關係常常都是資產持有者所關心的，人們願意承受高風險以換取高報酬的情形，似乎相當地合乎直覺，然而學者使用不同模型來估計風險趨避係數，卻發現結果大不相同，而本文採2000年到2010年的台灣加權股價指數報酬率為樣本，延續前人研究利用了不對稱每日報酬平方(Asymmetric MIDAS) 、三個不對稱GARCH in Mean模型: Asymmetric GARCH(1,1)-M，Exponential GARCH(1,1)-M還有考慮金融資產報酬率通常非為常態分配的設定下採取的Exponential GARCH(1,1)-M(GED分配)所計算的條件變異數來替代風險，置入跨期資本資產定價模型(Intertemporal CAPM, ICAPM)來估計風險趨避係數。結果發現Asymmetric MIDAS估計者為正值且顯著，而不對稱GARCH模型下僅有EGARCH(1,1)-M(GED分配)所估計者於金融風暴兩年子樣本期間為正值但不顯著外，其餘皆為負值且不顯著。
    參考文獻: Allen L. and J. Jagtiani（2000）,”The Risk Effects of Combining Banking, Securities, and Insurance Activities.” Journal of Economic and Business, 52, 485-497.

    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.

    Hentschel, L. 1995. All In The Family Nesting Symmetric And Asymmetric GARCH Models. Journal of Financial Economics, 39:71-104.

    Kiseok Nam, 2003. The Asymmetric Reverting Property of Stock Returns. Nonlinear Dynamics & Econometrics. Vol. 6: No. 4, Article 2.

    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.

    Lundblad, Ch., 2007. The risk return tradeoff in the long run: 1836–2003. Journal of Financial Economics,85, 123–150
    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.

    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.

    參考書目
    謝劍平，2008，《財務管理新觀念與本土化》，台北:致勝文化事業有限公司
    描述: 碩士
    國立政治大學
    經濟學系
    99258010
    100
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0099258010
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

    文件中的檔案:

    沒有與此文件相關的檔案.



    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