English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94524/125052 (76%)
Visitors : 29720206      Online Users : 213
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
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/36604

    Title: 台灣股市貝它值之研究
    The partial adaptive estimation of CAPM with censorship in an emerging market
    Authors: 林則君
    Lin, Che-Chun
    Contributors: 郭維裕
    Lin, Che-Chun
    Date: 2001
    Issue Date: 2009-09-18 18:57:16 (UTC+8)
    The Partial Adaptive Estimation of CAPM with Censorship in an Emerging Market
    Che-Chun Lin
    The Department of International Trade National Chengchi University

    The daily data of stock returns in Taiwan stock market suffer from thin trading, price limits and non-normality that either cause specific estimation problems due to the daily characteristic or violate the assumption of traditional CAPM. These violations of the traditional market model could cause serious biases in estimation of beta. This paper takes use of the Aggregate Model, Partial Adaptive Model, and Two-limit Logit Model to tackle the problems resulting from the violations. The empirical results are consistent with previous literatures, and indicating that the partial adaptive estimator with censorship has the highest likelihood value. Meanwhile, the result also reveals that size and liquidity do play important roles in affecting the behaviors of stock returns in different ways.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G91NCCU2662012
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat

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

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback