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    题名: 風險報酬之關係─台灣加權股價指數實證
    There is a risk-return trade-off－an empirical study of Taiwan
    作者: 林庭瑄
    贡献者: 饒秀華
    林庭瑄
    关键词: 風險
    報酬
    日期: 2009
    上传时间: 2010-12-08 01:52:24 (UTC+8)
    摘要: 投資學上，最重要的就是了解投資的「風險」與「報酬」，學界普遍認同風險和報酬之間應該有著正向關聯，投資人承受風險以換取超額報酬，然而在實證上，仍未能達成一致的共識。在近年的金融風暴中，各種投資標的物的報酬皆下降，似乎也提供了風險和報酬呈現負向關係的佐證。到底風險和報酬之間的關係為何？本文延續前人的討論，對台灣加權股價指數報酬率資料進行實證來探討風險和報酬之間的關聯性。本文利用從2000年4月至2010年3月，近十年的台灣加權股價指數報酬率資料，分別以每日超額報酬平方(MIDAS)、移動視窗(rolling window)以及GARCH-M三種估計方法計算出報酬的條件變異數後，做為風險的替代變數，加入連續時間的投資組合與資產定價模型(Intertemporal CAPM, ICAPM)中來估算出平均報酬係數以及代表性投資人的風險趨避係數以判斷風險和報酬之關係。我的實證結果則顯示最近十年來，台股加權股價指數的預期報酬和風險，確實呈現正相關的趨勢，而三種估計報酬的條件變異數方法中，以每日超額報酬平方(MIDAS)估計最顯著。另外金融風暴影響的期間，2008年4月到2010年3月的樣本中，無論是何種估計方法，都較難以解釋實質報酬的變化。
    參考文獻: 國內文獻
    台灣證券交易所 www.twse.com.tw
    蔡明章，「影響台灣股市波動因素之探討」，台北大學國際財務金融在職專班碩士論文，民國98年6月
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    Ghysels, E., Santa-Clara, P., Valkanov, R. (2004) “Predicting volatility: getting the most out of return data sampled at different frequencies” Journal of Econometrics, forthcoming.
    Ghysel, E., Santa-Clara, P., and Valkanov, R., (2005) “There is a risk-return trade-off after all” Journal of Financial Economics, 76, 509-548.
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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    97351035
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097351035
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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