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https://nccur.lib.nccu.edu.tw/handle/140.119/35096
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| Title: | The Empirical Study on Beta Decomposition - Evidence from Cross-section Industries of Taiwan Stock Market
台灣股票市場貝他係數分解之實證 |
| Authors: | 王裕群
Wang, Yu Chun |
| Contributors: | 郭維裕
Kuo, Weiyu
王裕群
Wang, Yu Chun |
| Keywords: | Beta
Beta Decomposition
System Risk
CAPM |
| Date: | 2005 |
| Issue Date: | 2009-09-18 14:09:15 (UTC+8) |
| Abstract: | This paper surveys the method of beta decomposition and the evolution of different type betas in Taiwan stock market. We break the unexpected market return into two different types of news term, which are the discount-rate news about the expected change of discount rate and the cash-flow news about the expected change of future cash dividends, and then, estimate the relationship between these two market news and the return of different cross-section industries. The traditional beta used in financial market is broken into two different betas with different risk price. Our study finds out some evidence about the change in the attitude of investors for our two news term that affect market return. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
93351001
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0093351001 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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