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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/31032
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/31032

    Title: 實質消費下均衡資本資產評價
    Equilibrium Asset Pricing Based on the “Real” Consumption
    Authors: 張俊評
    Chang, Jun-ping
    Contributors: 徐燕山
    Hsu, Yen-shan
    Chang, Jun-ping
    Keywords: 均衡資產評價
    Equilibrium Asset Pricing
    Real Consumption
    Mutual Fund Theroem
    The Inflation-Indexed Bond
    Date: 2007
    Issue Date: 2009-09-14 09:06:02 (UTC+8)
    Abstract: 本文以完全規避通膨風險債券資產為評價基礎,推導出三因子實質消費資本資產訂價模型與s+4共同基金定理。三因子分別為實質消費成長因子、消費習慣因子以及情緒性預期偏差因子。情緒性三因子實證部份,橫斷面報酬模型平均解釋力約有61.79%,此實證結果顯示傳統消費資本資產訂價模型中訂價績效表現不佳,是忽略部份重要因素所致。
    This thesis derives an inter-temporal asset pricing model in a real-term, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunity. When the inflation-indexed securities are available, a three-factor asset pricing model is derived in terms of real consumption growth, consumption-habit variation, and inflation rate change (or sentimental inflation expectation). Empirical results suggest that the derived asset pricing model in real framework can explain above a 60% of the variation in asset returns.
    Under the real framework, we demonstrate that s+4 fund separation applies. These funds may be chosen to be: (1) the instantaneously inflation-indexed bond, (2) the market portfolio, (3) the sentimental inflation-related asset, (4) the consumption habit-related asset, and (5) the s portfolios having the high correlations, respectively, with the s state variables.
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    Description: 博士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923575052
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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