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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/83322


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    题名: 加入信用風險之銀行股價多因子模型：日本銀行業之實證分析
    Stock Price Multi-factor Model with Credit Risk--Empirical Evidence from Japanese Banks
    作者: 林玫君
    Lin, Mei-Chun
    贡献者: 沈中華
    Shen, Chung-Hua
    林玫君
    Lin, Mei-Chun
    关键词: 多因子模型
    銀行股價
    信用風險
    日本
    銀行危機
    multi-factor model
    bank stock price
    credit risk
    Japan
    banking crises
    日期: 2000
    上传时间: 2016-03-31 16:35:38 (UTC+8)
    摘要: 商業銀行是以借貸為主的金融機構，銀行獲利的主要來源，是從存款大眾手中取得短期資金，再將資金貸放給政府或企業進行長期投資。銀行「借短貸長」的業務，常使得其資產與負債產生存續期間不一致的問題，當利率非預期變動時，會改變資產與負債的真實價值，進而影響到銀行的淨值及股票報酬率。此外，匯率變動的風險也是銀行常常面臨的問題，尤其是當銀行涉足國際業務時，匯率的變動常常會使銀行所持有的外幣部位價值改變，進而影響到銀行的真實價值。另外一個會影響到銀行資產與負債價值的因素，就是信用風險的問題，總體經濟環境的信用品質變動，常常會影響銀行放款的還款機率，進而改變銀行放款的實質價值。
    參考文獻: 1. Akihiro Kanaya and David Woo “The Japanese Banking Crises of 1990s:Sources and Lessons” , IMF Working Paper, January 2000
    2. Anthony Rowley “Banking in Japan-The Future of Japanese Banking”, Financial Times, 1999
    3. Asli Demirguc-Kunt and Enrica Detragiache “The Determinations of Banking Crises in Developing and Developed Countries”, IMF Staff Papers. Vol.45, No.1, March 1998, p.87-p107
    4. Hesna Genay “Assessing the Consition of Japanese Banks: How Informative are Accounting Earning?”, Economic Perspectives, Federal Reserve Bank of Chicago, 1998, p.12-p.34
    5. Jongmoo Jay Choi, Elyas Elyasiani and Kenneth J. Kopecky ”The Sensitivity of Bank Stock returns to market, interest and exchange rate risk”, Journal of Banking and Finance, 16, 1992 , p.983-p.1004
    6. Ling T. He, F.C. Neil Myer and James R. Webb ”The Sensitivity of Bank Stock Returns to Real Estate”, Journal of Real Estate Finance and Economics, 12,1996, p.203-p.220
    7. Lloyd, Willlam P.; Shick, Richard A.”A Test of Stone’s Two-Index Model of Returns”, Journal of Financial and Quantitative Analysis, Sep 1977
    8. Mark J.Flannery and Christopher M James “The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, The Journal of Finance, Vol. XXXIX, No.4, September 1984, p.1141-p.1153
    9. Nai-Fu Chen, Richard Roll and Stephen A. Ross “Economic Forces and the stock market”, Journal of Business, 1986, Vol.59, No.3, p.383-p.403
    10. Richard J. Sweeney and Arthur D. Warga “The Pricing of Interest-Rate Risk : Evidence from the Stock Market”, The Journal of Finance, Vol.XLI, No.2, June 1986, p.393-p.410
    11. Sandra Chamberlain, John S. Howe, Helen Popper “The Exchange Rate Exposure of U.S and Japanese Banking Institutions”, Journal of Banking and Finance, 21, 1997, p.871-p.892
    12. Stone and Bernell K. ”Systematic Interest Risk in a Two Index Model of Returns”,Journal of Financial and Quantitative Analysis, 9, Nov 1974, p.709-p.721
    描述: 碩士
    國立政治大學
    金融研究所
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002002070
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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