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https://nccur.lib.nccu.edu.tw/handle/140.119/49548
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| Title: | 以重複事件模型分析股價報酬
Recurrent Event Analysis of Security Returns |
| Authors: | 黃詠嵐 |
| Contributors: | 謝淑貞
黃詠嵐 |
| Keywords: | 重複事件模型 |
| Date: | 2007 |
| Issue Date: | 2010-12-08 13:35:23 (UTC+8) |
| Abstract: | This article examines the possibility of an unusual change of the security returns, which is defined as 10% changes, by applying recurrent event data technique in survival analysis. The empirical evidences obtained from S&P 500 firms show that the momentum effect has a significantly positive relation with the probability of the acute fluctuations to occur. And the book-to-market factor, which can be seen as a value/growth indicator, is always negatively related to probability of the events. However, the market factor, the size factor, and the liquidity factor provide no additional information to predict the probability. Based on the estimated hazard rate for the market, we find an interesting result that during the bull market, the stock prices rise gradually over time while collapse acutely, and the converse is true when the market is bad. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
95351025
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095351025 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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