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研究生:汪子淵
研究生(外文):Tzu-Yuan Wang
論文名稱:日本股票市場的因子探討
論文名稱(外文):An Investigation on Factors of Stock Market in Japan
指導教授:蕭朝興蕭朝興引用關係
指導教授(外文):Chao-Shin Chiao
學位類別:碩士
校院名稱:國立東華大學
系所名稱:國際經濟研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:50
中文關鍵詞:三因子模型逆向操作策略因子探討動能策略
外文關鍵詞:Momentum StrategiesContrarian StrategiesThree Factor ModelAn Investigation on Factors
相關次數:
  • 被引用被引用:18
  • 點閱點閱:1095
  • 評分評分:
  • 下載下載:219
  • 收藏至我的研究室書目清單書目收藏:0
本文主要是利用日本股票市場來探討價值投資策略以及明星投資策略的表現,其次還探討了動能策略、反轉策略,最後再比較三因子模型與傳統資本資產訂價模型;而實證的結果發現價值投資策略的表現優於明星投資策略,在日本股票市場存在反轉現象而無動能現象,單因子資本資產訂價模型並沒有異常的報酬出現但市場超額報酬的解釋能力不足,在加入SMB、HML之後,解釋能力明顯增加。
In this paper, first, we observe that value portfolios perform better than glamour portfolios in Japan. Second, contrarian strategies instead of momentum strategies are profitable. Finally, our evidence shows that the explanation power of the three-factor model (Fame and French, 1993) for stock returns is much higher than the traditional one-factor CAPM.
目錄
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機 1
第三節 研究目的 5
第四節 研究架構 6
第貳章 文獻回顧 7
第一節 明星投資策略與價值投資策略 7
第二節 動能現象與反轉效果 9
第三節 解釋股票報酬的多個因子 11
第參章 研究方法 13
第一節 樣本資料 13
第二節 變數定義 14
第三節 實證模型 18
第肆章 明星策略與價值策略 24
第伍章 動能現象與反轉效果 36
第陸章 實證結果分析 39
第一節 單因子資本資產訂價模型分析 39
第二節 三因子模型分析 40
第柒章 結論 44
參考文獻 46
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