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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/73539


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73539


    Title: 投資人情緒與市場報酬-變異數之關聯: 以台灣股票市場為例
    Investor Sentiment and Mean-Variance Relation: Evidence from Taiwan Stock Market
    Authors: 吳茹蘋
    Contributors: 周冠男
    吳茹蘋
    Keywords: 投資人情緒
    市場報酬
    Investor sentiment
    Market return
    Date: 2014
    Issue Date: 2015-03-02 10:08:53 (UTC+8)
    Abstract: 投資人情緒與市場報酬-變異數之關聯: 以台灣股票市場為例
    This paper constructs investor sentiment index for Taiwan stock market and examines the effects of investor sentiment on the mean-variance relation of Taiwan stock market. Behind the well-known ambiguous relation between the mean and variance, we find that the stock market’s expected excess return is positively related to the market’s conditional variance in the low sentiment periods, but unrelated to variance during the high sentiment periods.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    101357028
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101357028
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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