政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53096
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 109953/140903 (78%)
造访人次 : 46056696      在线人数 : 1084
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/53096


    题名: 信用風險與市場風險
    其它题名: Credit Risk and Market Risk
    作者: 謝淑貞
    贡献者: 國立政治大學國際貿易學系
    行政院國家科學委員會
    关键词: 經濟學;信用風險;市場風險
    Cox hazard proportional model, survival function, hazard function, hazard ratio
    日期: 2007
    上传时间: 2012-06-22 09:48:32 (UTC+8)
    摘要: 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.
    關聯: 基礎研究
    學術補助
    研究期間:9608~ 9707
    研究經費:287仟元
    数据类型: report
    显示于类别:[國際經營與貿易學系 ] 國科會研究計畫

    文件中的档案:

    档案 大小格式浏览次数
    962416H011.pdf207KbAdobe PDF2883检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈