Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/54392
|
| Title: | 聯準會模型在亞洲市場之實證分析
An adjusted Fed-model for valuation of Asia stock markets |
| Authors: | 陳喬羚
Chen, Chiao Ling |
| Contributors: | 郭維裕
Kuo, Wei Yu
陳喬羚
Chen, Chiao Ling |
| Keywords: | 聯準會模型
結構性變異
FED model
structure break |
| Date: | 2011 |
| Issue Date: | 2012-10-30 10:55:21 (UTC+8) |
| Abstract: | 本研究探討了收益率（earnings yield）和亞洲市場的長期政府債券收益率( long term government bond yield)的關係。並且運用結構性變異來以提高聯準會模型和股價的相關性。聯準會模型是用來判斷市場是否高估或低估股價或在其公允價值。本研究在亞洲十個主要市場進行實證研究，探討聯準會模型中不同的時間跨度的關係。結果顯示在亞洲國家，大盤的收益率和幾個月後的長期政府債券收益率之間有強關聯性。本研究通過迴歸分析研究來研究此模型的預測能力，並考慮不同的結構性變異檢定法ROC 和Bai_Perron檢定，結論顯示了ROC 檢定法更有效的偵測結構變異，提高聯準會模型的預測能力。
This paper examines the possible relationship the earnings yield and long term government bond yield for the Asia markets. We apply structure break test to improve the Fed-model, which is used to judge whether stock prices are too high, too low or at their fair value. The paper examines the relationship proposed by the Fed- model with different time horizons. The findings reveal a strong association between long term government yield and the earnings yield in months later. The difference between the earnings yield and real bond yield is a shorthand measure for expected returns and we examine the predictive power of this measure by regression analysis. Considering ROC test and Bai_Perron test, it shows ROC test improves the forecasting power of Fed model with a better result. |
| Reference: | 1 Asness, C. (2003). "Fight the Fed model." Journal of Portfolio Management 30(1): 11-24,14.
2 Bekaert, G. and E. Engstrom (2010). "Inflation and the stock market: Understanding the “Fed Model”." Journal of Monetary Economics 57(3): 278-294.
3 Berge, K., G. Consigli, et al. (2008). "The Predictive Ability of the Bond-Stock Earnings Yield Differential Model." Journal of Portfolio Management 34(3): 63-80,66.
4 Christophe, F. and E. Julian Van (2005). "The Price of Gold: A Global Required Yield Theory." Journal of Investing 14(1): 99-111.
5 Estrada, J. (2009). "The fed model: The bad, the worse, and the ugly." The Quarterly Review of Economics and Finance 49(2): 214-238.
6 Giot, P. (2005). "Relationships Between Implied Volatility Indexes and Stock Index Returns." Journal of Portfolio Management 31(3): 92-100.
7 Koivu, M., T. Pennanen, et al. (2005). "Cointegration analysis of the Fed model." Finance Research Letters 2(4): 248-259.
8 Malkiel, B. G. (2004). "MODELS OF STOCK MARKET PREDICTABILITY." The Journal of Financial Research 27(4): 449-459.
9 Manzan, S. and F. H. Westerhoff (2007). "Heterogeneous expectations, exchange rate dynamics and predictability." Journal of Economic Behavior & Organization 64(1): 111.
10 Pesaran, M. H. and A. Timmermann (2002). "Market timing and return prediction under model instability." Journal of Empirical Finance 9(5): 495-510.
11 Salomons, R. (2006). "A Tactical Implication of Predictability: Fighting the FED Model." Journal of Investing 15(2): 87-98,85.
12 Weigand, R. A. and R. Irons (2007). "The Market P/E Ratio, Earnings Trends, and Stock Return Forecasts." Journal of Portfolio Management 33(4): 87-101,107-108. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
99351026
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0099351026 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 298 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
