English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94657/125189 (76%)
Visitors : 30606419      Online Users : 304
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/140.119/53096

    Title: 信用風險與市場風險
    Other Titles: Credit Risk and Market Risk
    Authors: 謝淑貞
    Contributors: 國立政治大學國際貿易學系
    Keywords: 經濟學;信用風險;市場風險
    Cox hazard proportional model, survival function, hazard function, hazard ratio
    Date: 2007
    Issue Date: 2012-06-22 09:48:32 (UTC+8)
    Abstract: 本研究將探討公司的信用風險和Fama-French (1993)的兩因子之間的關係。如果公司股票的期望報酬已經反映公司的信用風險,那麼愈容易倒閉的公司應該有更高的報酬。本研究首先以duration 模型來預估公司的倒閉風險,然後再利用多元隨機模型(multivariate Stochastic Volatility model) 來探討公司的信用風險和Fama-French (1993)的兩因子之間的關係。由此希望能瞭解公司的信用風險是否已在公司股票的期望報酬之中反映出來了。
    This article investigates the determinants of the possibility of an unusual change in stock price. The empirical evidences show that market and liquidity are the most important explanatory variables which explain the likeliness of the big gains in stock prices. But the explanatory power that explains the likeliness of a sharp decline in stock price comes mostly from the momentum effects. In addition, size and book-to-market ratio proved have little power in explaining the unusual changes in stock prices. The asymmetry phenomenon in determinants of unusual changes in stock price is also found in three individual stock exchanges, respectively. Namely, in NYSE, momentum effect account for most of the likelihood for big gains in stock prices, while liquidity factors count for sharp stock price declines. Interestingly, the converse is true for those firms traded in Amex and NASDAQ, respectively.
    Relation: 基礎研究
    研究期間:9608~ 9707
    Data Type: report
    Appears in Collections:[國際經營與貿易學系 ] 國科會研究計畫

    Files in This Item:

    File SizeFormat
    962416H011.pdf207KbAdobe PDF781View/Open

    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