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    题名: 馬可夫轉換模型在投資策略上的應用
    作者: 馬毓駿
    贡献者: 毛維凌
    馬毓駿
    关键词: 馬可夫轉換
    投資策略
    Capital Asset Pricing Model
    Value portfolio Growth portfolio
    日期: 2000
    上传时间: 2016-03-31 16:45:17 (UTC+8)
    摘要: 馬可夫轉換模型是Hamilton(1989)所提出，他應用此模型的非線性特性研究美國的景氣循環。本文將此模型應用到財務領域當中，希望能從財務報表所揭露的某些訊息來掌握該公司在不同期間的報酬率變化，本文選用價值資產效果及公司規模效果，這兩各種效果對資產報酬率的解釋能力最為顯著，假使運用的得宜，模型的預測能力高，則投資者根據不同的資產特性轉換投資策略，長期間能獲得較佳的投資報酬率。同時，應用平滑過程使模型對狀態的認定更為精確，但在公司規模效果得到的成效明顯優於價值型資產效果，離群值的影響明顯對模型的推論造成嚴重的影響，最後，本文也就補救方法的可行性與否做為結論。
    參考文獻: Andrew, J. Filardo (1994), “Business-Cycle Phases and Their Transition Dynamics,” Journal of Business & Economic Statistic, 12, 299-308
    Banz, R. (1981), “The Relationship between Return and Market Value of Common Stock,”Journal of Financial Economics, 9, 3-18
    Capaul, C. , I. Rowley, and W. Sharpe (1993), “International Value and Growth Stock Return,”Financial Analysts Journal, 49, 27-36
    Eugene, F. Fama & Kenneth, R. French (1992), “The Cross-Section of Expected Stock Returns, ”The Journal of Finance, 46, 427-465
    Eugene, F. Fama & Kenneth, R. French (1998), “Value versus Growth: The International Evidence, ” The Journal of Finance, LIII, 1975-1999
    Gabriel Hawawini & Donald B. Keim (1998), “The Cross Section Stock Returns: A Review of the Evidence and Some New Findings, ”Working Paper
    Geroge W. Kuo (1997), “Nonlinears Modelling of the Book-to-Market Effect in the UK Stock Market:Some Exploratory Results, ” Working Paper
    James, D. Hamilton (1989), “A New Approach to The Economic Analysis of Nonstationary Time Series and The Business Cycle,” Econometrica, 57, 357-384
    Louis K. C. Chen, Yasushi Hamao, And Josef Lakonishok (1991), “Fundamentals and Stock Return, ” The Journal of Finance, XLVL, 1739-1764
    Rosenberg, B. , K. Reid, and R. Lanstein (1995), “Persuasive Evidence of Market Inefficiency, ”Journal of Portfolio Management, 11, 9-17
    Soosung Hwang & Stephen E. Satchell (1999), “The Death of Style in the US Equity Market, ”Working Paper
    Thomas, H. Goodwin (1993), “Business-Cycle Analysis With a Markov-Switching Model,”Journal of Business & Economic Statistics, 11, 331-339
    描述: 碩士
    國立政治大學
    經濟學系
    87258012
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002001800
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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