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    Title: 公司規模效果之涉險值研究
    Authors: 林建秀
    Lin, Chien-Hsiu
    Contributors: 郭維裕
    林建秀
    Lin, Chien-Hsiu
    Keywords: 涉險值
    規模效果
    帳面市值效果
    Value-at-Risk
    size effect
    book to market effect
    Date: 2000
    Issue Date: 2016-03-30 17:47:54 (UTC+8)
    Abstract: 本文嘗試利用涉險值(VaR)的估計來衡量投資組合風險和規模效果之間的關係。在歷史模擬法、變異-共變異法及極端值法估計VaR的結果中,皆得到小規模策略投資組合之可能損失風險額大於大規模策略投資組合。由VaR的估計,我們可得以下結論:規模溢酬和風險具有高度相關。小規模策略投資組合的風險高於大規模策略投資組合,故需具備較大規模策略投資組合為高之風險溢酬。 而投資人若進行買進小規模策略投資組合及賣出大規模策略投資組合,則因所承擔之風險較高,故所獲致優於大盤的績效,便在於彌補其所承擔的風險。此結果支持理性資產定價模式(Rational Asset Pricing)的論點。
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    87351013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002049
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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