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dc.contributor.author鄭宗記en_US
dc.contributor.author賴弘能en_US
dc.contributor.author蔡佩芬en_US
dc.contributor.authorTsung-Chi Chengen_US
dc.contributor.authorHung-Neng Laien_US
dc.contributor.authorPei-Fen Tsaien_US
dc.date.accessioned2016-01-29T02:47:24Z-
dc.date.available2016-01-29T02:47:24Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/11536/129013-
dc.description.abstract關於因子模型的參數估計問題,文獻中常以兩階段迴歸處理。本文以台灣股票市場為例,檢驗一些常用的兩階段估計方法在Fama-French三因子模型參數估計的影響。證據大多顯示支持市場因子,而支持高-低淨值市價比的證據微弱。風險貼水的顯著程度取決於分組與逐年更新的程序;誤差變項與非同步交易的調整並對結果不會造成太大的影響。zh_TW
dc.description.abstractIn this paper, a few common approaches to implementing the two-stage test on the Fama-French three-factor models are examined for Taiwan's stock market. Much of the evidence favors the MKT factor, while the support for the HML factor is weak. The significance of the risk premium is deeply dependent on the grouping and rolling procedure. Adjustments for errors-in-variable or non-synchronous trading do not affect the results very much.en_US
dc.language.isozh_TWzh_TW
dc.subject三因子模型zh_TW
dc.subject兩階段估計zh_TW
dc.subject誤差變項模型zh_TW
dc.subjectThree Factor Modelzh_TW
dc.subjectTwo-stage estimationzh_TW
dc.subjectErrors in Variableszh_TW
dc.titleOn the Two-Stage Estimation of the Fama-French Three Factor Model: Evidence from Taiwanzh_TW
dc.title兩階段估計Fama-French三因子模型-台灣股市之研究en_US
dc.identifier.journal交大管理學報zh_TW
dc.identifier.journalChiao Da Mangement Reviewen_US
dc.citation.volume2en_US
dc.citation.spage21en_US
dc.citation.epage48en_US
dc.contributor.departmentDepartment of Management Scienceen_US
dc.contributor.department管理科學學系zh_TW
顯示於類別:交大管理學報


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