English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140891 (78%)
Visitors : 46260555      Online Users : 631
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
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/84705


    Title: 證券市場之尾端風險溢酬評估
    Other Titles: Market Premium of the Tail Risk
    Authors: 盧敬植
    Contributors: 財務管理學系
    Keywords: 資產定價;市場崩潰風險;尾端風險;流動性;高頻率資料
    Asset pricing;systemic risk;liquidity;high-frequency data
    Date: 2012
    Issue Date: 2016-04-14 16:46:43 (UTC+8)
    Abstract: 整體金融市場崩潰的風險對於現代財務帶來了很大的挑戰。我們必須要了解股票價 格和市場崩潰風險可能性之間是否有關連，以及較高的曝險程度是否能夠帶來更多的風 險溢酬。在這個研究裡面，我們將嘗試使用尾端風險指標，來估計 Fama and French (1993) 類型的資產定價模型。如果尾端風險是一種系統性風險，那麼受到尾端風險影響較大的 股票會要求更高的資本溢酬。在這個研究中，我們也會加入其他評估市場崩潰風險的指 標，以檢定尾端風險的可信度。 在估計出來尾端風險因子之後，我們會用標準的隨機折現因子模型 (stochastic discount factor model)架構來檢查此因子顯著與否以及他要求多高的風險溢酬。在2008 年的金融風暴和現在方興未艾的歐洲債券風暴中，金融業始終位於風暴的颱風眼。我 們也希望就此檢視到底金融業和一般產業在面對市場崩潰風險時是否有不同的表現。 如果這裡的尾端風險真的跟股票報酬率呈現顯著相關，我們也希望進一步檢查它跟現 有其他的風險因子是否有關係。
    The likelihood of systemic risk presents a challenge for modern finance. It is important to know whether the stock price comoves with the systemic risk measure and to what extent the market demands a premium to exposure to it. In this study, we try a simple estimate of dynamic tail risk in returns to represent the systemic risk and measure its performance in a Fama and French (1993) type factor pricing model. If stocks respond to the tail risk of stock returns, then the stocks more sensitive to the risk would receive higher returns. To test the robustness of this risk factor, we also try different versions of systemic risk measure. We will test the tail risk in stock returns in a stochastic discount factor framework to see whether it prices stocks and the premium it exacts. Since the financial turmoil in 2008 and the ongoing European debt crisis both have their roots in the financial industry, we also want to see if the Wall Street and the Main Street fare differently with this risk. If the tail risk does have a significant impact on stock returns, we will also examine whether it correlates to other existing pricing factors.
    Relation: 計畫編號 NSC101-2410-H004-071
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    101-2410-H004-071.pdf1640KbAdobe PDF2328View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback