English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51735387      Online Users : 634
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/83322
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83322


    Title: 加入信用風險之銀行股價多因子模型:日本銀行業之實證分析
    Stock Price Multi-factor Model with Credit Risk--Empirical Evidence from Japanese Banks
    Authors: 林玫君
    Lin, Mei-Chun
    Contributors: 沈中華
    Shen, Chung-Hua
    林玫君
    Lin, Mei-Chun
    Keywords: 多因子模型
    銀行股價
    信用風險
    日本
    銀行危機
    multi-factor model
    bank stock price
    credit risk
    Japan
    banking crises
    Date: 2000
    Issue Date: 2016-03-31 16:35:38 (UTC+8)
    Abstract: 商業銀行是以借貸為主的金融機構,銀行獲利的主要來源,是從存款大眾手中取得短期資金,再將資金貸放給政府或企業進行長期投資。銀行「借短貸長」的業務,常使得其資產與負債產生存續期間不一致的問題,當利率非預期變動時,會改變資產與負債的真實價值,進而影響到銀行的淨值及股票報酬率。此外,匯率變動的風險也是銀行常常面臨的問題,尤其是當銀行涉足國際業務時,匯率的變動常常會使銀行所持有的外幣部位價值改變,進而影響到銀行的真實價值。另外一個會影響到銀行資產與負債價值的因素,就是信用風險的問題,總體經濟環境的信用品質變動,常常會影響銀行放款的還款機率,進而改變銀行放款的實質價值。
    Reference: 1. Akihiro Kanaya and David Woo “The Japanese Banking Crises of 1990s:Sources and Lessons” , IMF Working Paper, January 2000
    2. Anthony Rowley “Banking in Japan-The Future of Japanese Banking”, Financial Times, 1999
    3. Asli Demirguc-Kunt and Enrica Detragiache “The Determinations of Banking Crises in Developing and Developed Countries”, IMF Staff Papers. Vol.45, No.1, March 1998, p.87-p107
    4. Hesna Genay “Assessing the Consition of Japanese Banks: How Informative are Accounting Earning?”, Economic Perspectives, Federal Reserve Bank of Chicago, 1998, p.12-p.34
    5. Jongmoo Jay Choi, Elyas Elyasiani and Kenneth J. Kopecky ”The Sensitivity of Bank Stock returns to market, interest and exchange rate risk”, Journal of Banking and Finance, 16, 1992 , p.983-p.1004
    6. Ling T. He, F.C. Neil Myer and James R. Webb ”The Sensitivity of Bank Stock Returns to Real Estate”, Journal of Real Estate Finance and Economics, 12,1996, p.203-p.220
    7. Lloyd, Willlam P.; Shick, Richard A.”A Test of Stone’s Two-Index Model of Returns”, Journal of Financial and Quantitative Analysis, Sep 1977
    8. Mark J.Flannery and Christopher M James “The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, The Journal of Finance, Vol. XXXIX, No.4, September 1984, p.1141-p.1153
    9. Nai-Fu Chen, Richard Roll and Stephen A. Ross “Economic Forces and the stock market”, Journal of Business, 1986, Vol.59, No.3, p.383-p.403
    10. Richard J. Sweeney and Arthur D. Warga “The Pricing of Interest-Rate Risk : Evidence from the Stock Market”, The Journal of Finance, Vol.XLI, No.2, June 1986, p.393-p.410
    11. Sandra Chamberlain, John S. Howe, Helen Popper “The Exchange Rate Exposure of U.S and Japanese Banking Institutions”, Journal of Banking and Finance, 21, 1997, p.871-p.892
    12. Stone and Bernell K. ”Systematic Interest Risk in a Two Index Model of Returns”,Journal of Financial and Quantitative Analysis, 9, Nov 1974, p.709-p.721
    Description: 碩士
    國立政治大學
    金融研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002070
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2276View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback