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| Title: | 條件式資產訂價模型在新興市場之實證研究
Empirical Analysis of Conditional Asset Pricing Model in Emerging Markets |
| Authors: | 何裕傑
Ho, Yu-Chieh |
| Contributors: | 郭維裕
Kuo,Weiyu
何裕傑
Ho, Yu-Chieh |
| Keywords: | 新興市場
條件式
資產訂價模型
Asset Pricing Model
Conditional
Emerging Markets |
| Date: | 2005 |
| Issue Date: | 2009-09-11 17:12:36 (UTC+8) |
| Abstract: | The task of this paper is to employ the global asset pricing theory suggested by Ferson and Harvey (1995) to study the stock markets in the devoloping countries. Ferson and Harvey (1998) clarified the relationship in the developed countries under the global asset pricing model between mispricing and risks to cross-sectional explanatory power of conditional beta constructed by predetermined lagged variable such as book-to-market-value, cash-flow, P/E ratios and other determinants. There is also significant evidence of conditional betas in the three-factor model by Fama and French (1993), and the four-factor model by Elton, Gruber, and Blake (1995), and in the following research by Ferson and Harvey (1999). This paper focuses on the recently fast growing emerging markets to provide analysis of the debate on explanatory power coming from risk exposure or mispricing, and also tries to provide evidence for the global conditional asset pricing model, identifying other patterns of conditional asset pricing model for emerging markets. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
92351040
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0923510401 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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