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    题名: 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
    作者: 王裕群
    Wang, Yu Chun
    贡献者: 郭維裕
    Kuo, Weiyu
    王裕群
    Wang, Yu Chun
    关键词: Beta
    Beta Decomposition
    System Risk
    CAPM
    日期: 2005
    上传时间: 2009-09-18 14:09:15 (UTC+8)
    摘要: 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.
    參考文獻: 1. John Y. Campbell. “A Variance Decomposition for Stock Return.” Economic Journal 101 (March 1991), 157-179.
    2. John Y. Campbell. “Understanding Risk and Return.” Journal of Political Economy 104 (April 1996), 298-345.
    3. John Y. Campbell, Christopher Polk, and Tuomo Vulteenaho. “Growth or Glamour? Fundamentals and System Risk in Stock Returns.” Unpublished paper, Harvard University and Northwestern University, May 2005.
    4. John Y. Campbell and Jianping Mei. “Where do Betas Come From? Asset Price Dynamics and the Sources of System Risk.” Review of Financial Studies 6 (1993), 567-592.
    5. John Y. Campbell and Robert J. Shiller. “The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors.” Review of Financial Studies 1 (Autumn 1988), 195-228.
    6. ____________. “Stock Prices, Earnings, and Expected Dividends.” Journal of Finance 43 (July 1988), 661-676.
    7. John Y. Campbell and Tuomo Vuolteenaho. “Bad Beta, Good Beta.” American Economic Review 94 (December 2004), 1249-1275.
    8. John Lintner. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics 47 (February 1965), 13-37.
    9. Maurice Kendall. “Note on Bias in the Estimation of Autocorrelation.” Biometrika 41 (December 1954), 403-404.
    10. Myron J. Gordon. “The Investment, Financing, and Valuation of the Corporation.” R. D. Irwin (1962).
    11. Myron Scholes and Joseph Williams. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics 5 (February 1977), 309-327.
    12. Randolph B. Cohen, Christopher Polk, and Tuomo Vulteenaho. “The Value Spread.” Journal of Finance 58 (April 2003), 609-641.
    13. Robert F. Stambaugh. “Predictive Regression.” Journal of Financial Economics 54 (December 1999), 375-421.
    14. William F. Sharpe. “Capital Asset Pricing: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance 19 (September 1964), 425-442.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351001
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093351001
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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