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研究生:何裕傑
研究生(外文):Ho, Yu-Chieh
論文名稱:條件式資產訂價模型在新興市場之實證研究
論文名稱(外文):Empirical Analysis of Conditional Asset Pricing Model in Emerging Markets
指導教授:郭維裕郭維裕引用關係
指導教授(外文):Kuo,Weiyu
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:英文
論文頁數:95
中文關鍵詞:新興市場條件式資產訂價模型
外文關鍵詞:Asset Pricing ModelConditionalEmerging Markets
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The task of this paper is to employ the global asset pricing theory suggested by Ferson and Harvey (1995) to study the stock markets in the devoloping countries. Ferson and Harvey (1998) clarified the relationship in the developed countries under the global asset pricing model between mispricing and risks to cross-sectional explanatory power of conditional beta constructed by predetermined lagged variable such as book-to-market-value, cash-flow, P/E ratios and other determinants. There is also significant evidence of conditional betas in the three-factor model by Fama and French (1993), and the four-factor model by Elton, Gruber, and Blake (1995), and in the following research by Ferson and Harvey (1999). This paper focuses on the recently fast growing emerging markets to provide analysis of the debate on explanatory power coming from risk exposure or mispricing, and also tries to provide evidence for the global conditional asset pricing model, identifying other patterns of conditional asset pricing model for emerging markets.
Abstract……………………………………………………………………1
I.Introduction……………………………………………………………2
II.Methodology……………………………………………………………5
III.Data……………………………………………………………………11
IV.Empirical Evidence…………………………………………………16
V.Robustness Test………………………………………………………27
VI.Conclusion……………………………………………………………32
References…………………………………………………………………35
Appendix……………………………………………………………………40
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