(3.238.235.155) 您好!臺灣時間:2021/05/11 18:24
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:陳品妤
研究生(外文):Chen,Pin-Yu
論文名稱:以層級貝式估計法探討總體經濟因子與公司特性因子對個股超額報酬率之影響
論文名稱(外文):The Economic Factors and the Firm-specific Factors’ Influence on the Stocks’ Excess Return Using Bayes’ Theorem
指導教授:蕭榮烈蕭榮烈引用關係
指導教授(外文):Dr. Hsiao, Jung-Lieh
口試委員:劉祥熹涂登才邱建良郭淑惠蕭榮烈
口試日期:2011-06-17
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:國際企業研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:88
中文關鍵詞:層級貝式模型、公司特性因子、總體經濟因子
外文關鍵詞:Hierarchical Bayesian model、Firm-specific factors、Economic Factors
相關次數:
  • 被引用被引用:0
  • 點閱點閱:160
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
如何瞭解投資人之投資行為具有動態性,並且預測下期股價走勢為現今學者所重視之問題,而哪些總體經濟因子具有強化公司特性因子之功能,成為本文另外一個研究重點,由於投資行為會受到總體經濟影響,為探討投資人行為之動態性以及受總體經濟因子強化影響,本文以COMPUSTAT資料庫中,以金融業為研究樣本,研究期間為2001年1月至2010年12月,資料型態為月資料,接著利用層級貝式估計模式(Hierarchical Bayesian Model)探討各期投資行為之動態性,以及公司特性因子是否受到總體經濟因子顯著影響。
研究發現,採用金融類股,投資人的行為模式在不同時間下會有所不同,且受外在經濟環境影響下,投資者的投資行為會呈現動態性的調整。


The scholars concern about how to understand the dynamic of investor's investment behavior and forecast the next period stock price. Then, economic factors strengthen the firm-specific factors, which is another focus on this text. The data is from COMPUSTAT database, and the financial industry is the study sample, study period is from January 2001 to December 2010, data type is monthly data. Then, estimated methods are using hierarchical Bayesian model to explore the dynamic behavior of the investment period, as well as company property factor is significantly affected by economic factors.

The study found that the investor's behavior at different times is different by using financial stocks, and the investors’ behavior would adjust dynamically when the economic factors change.


目錄

第一章 緒論
第一節 研究背景與動機……………………………………………1
第二節 研究問題……………………………………………………2
第三節 研究目的……………………………………………………2
第四節 研究流程……………………………………………………3
第二章 文獻探討
第一節 CAPM之探討 ………………………………………………4
第二節 APT之探討…………………………………………………6
第三節 Fama and French因子模型………………………………10
第四節 總體經濟因子 ……………………………………………14
第五節 股票選擇權與O/S ……………………………………… 16
第三章 研究方法
第一節 研究架構 …………………………………………………23
第二節 研究資料與研究範圍 ……………………………………24
第三節 貝式統計 …………………………………………………28
第四節 層級貝式統計模型 ………………………………………30
第五節 建立第一層變數模型 ……………………………………31
第六節 建立第二層變數模型 ……………………………………33
第四章 實證分析
第一節 資料來源與特性 …………………………………………35
第二節 投資行為之動態性 ………………………………………37
第三節 統計檢定最具解釋力的經濟指標 ………………………69
第四節 層級貝式估計模型探討經濟因子與公司特性因子之交互作用 …………………………………………………………………71
第五章 結論與建議
第一節 研究發現 …………………………………………………80
第二節 研究限制 …………………………………………………81
參考文獻 … …………………………………………………………………82
附錄一 公司特性因子之相關性檢定…… …………………………………87
附錄二 總體經濟因子之相關性檢定… ……………………………………88



















圖目錄

圖1-1 研究流程圖 …………………………………………………………3
圖3-1 研究架構圖…………………………………………………………23
圖4-1 選擇權交易量與超額報酬率之相關性…………………………… 45
圖4-2 O/S與超額報酬率之相關性 ………………………………………47
圖4-3 股價倒數與超額報酬率之相關性… ………………………………49
圖4-4 股利率與超額報酬率之相關性…… ………………………………53
圖4-5 RET2-3之變數定義…………………………………………………56
圖4-6 RET2-3與超額報酬率之相關性……………………………………56
圖4-7 RET4-6之變數定義…………………………………………………59
圖4-8 RET4-6與超額報酬率之相關性……………………………………59
圖4-9 RET7-12之變數定義 ………………………………………………61
圖4-10 RET7-12與超額報酬率之相關性 …………………………………61
圖4-11 市值與超額報酬率之相關性… ……………………………………63
圖4-12 帳市比與超額報酬率之相關性… …………………………………66









表目錄

表4-1 觀察值之敘述統計… ………………………………………………38
表4-2 公司特性因子
參考文獻

一、中文部分
1.曾建豪(2010),「網路消費者行為之網站造訪期間對購買期間之影響性-以Amazon.com為例」,國立台灣大學國際企業學研究所碩士論文。

二、英文部分
1.Back,K.(1992)“Asymmetric information content of annual earnings announcements,” Review of Financial Studies 6,pp435-472.
2.Biais, B., Hillion,P.,(1994)“Insider and liquidity trading in stock and options markets,”Review of Financial Studies 7,pp743-780.
3.Brennan, M.,Chordia, T., Subrahmanyam, A.,(1998)“Alternative factor specifications, security characteristics, and the cross-sectional of expected stock returns,”Journal of Financial Economics 49,pp345-373.
4.Chen S.,(2009),“Predicting the bear stock market:Macroeconomics variables as leading indicators,” Journal of Banking & Finance 33 ,pp211-223.
5.Connor,G.,Korajczyk,R.,(1993)“A test for the number of factors in an approximate factor model,”Journal of Finance 48, pp1263-1291.
6.Cao,C., Chen,Z.,Griffin,J.,(2005)“Informational content of option volume prior to takeovers,”Journal of Business 78,pp1073-1109.
7.Cao, H.,(1999)“The effect of derivative assets on information acquisition and price behavior in a dynamic rational expectations model,”Review of Financial Studies 12, pp131-163.
8.Chan, A., Chui,A.P.L.,(1996)“An empirical re-examination of the cross-section of expected returns:UK evidence,”Journal of Business Finance and Accounting 23,pp 1435-1452.
9.Davis,J.,(1994)“The cross-section of realized stock returns:the pre-compustat evidence,”Journal of Finance, pp1579-1593.
10.Easley,D.,O’Hara,M.,Srinivas,P.,(1998)“Option volume and stock prices:evidence on where informed traders trade”,Journal of Finance 53,pp431-465.
11.Elsas,R.,El-Shaer,M., Theissen,E.,(2003)“Beta and returns revisited:evidence from the German stock market,”Journal of International Financial Markets Institutions and Money 13, pp1-18.
12.Fama,E.,French,K.,(1992),“The cross-section of Expected Stock Returns,”The Journal of Finance 47, pp427-465.
13.Fama,E.,French,K., (1993),“Common risk factors in the returns on stocks and bonds,”Journal of Financial Economics 33, pp3-56.
14.Fama,E.,French,K., (1995),“Size and book-to-market factors in earnings and returns,”Journal of Finance 50,pp131-155.
15.Fama,E.,French,K., (1996),“Multifactor explanations for asset pricing anomalies,”Journal of Finance 51, pp55-84.
16.Faff,R.,(2001)“A multivariate test of a dual beta CAPM:Australian evidence,”Journal of Finance 47, pp427-467.
17.Fletcher,J.,(1997)“An examination of the cross-sectional relationship of beta and return:UK evidence,”Journal of Economics and Business 49, pp211-221.
18.Glosten,L., Milgrom, P.,(1985)“Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,”Journal of Financial Economics 14,pp 71-100.
19.Grinold,R.,(1993)“Is beta dead?”Financial Analyst Journal49, pp28-34.
20.Grossman, S.,Stiglitz,J.,(1980)“On the impossibility of informationally efficient markets,”American Economic Review 70,pp393-408.
21.Ho,R.Y.W., Strange, R., Piesse, J.,(2000)“CAPM anomalies and the pricing of equity:evidence from the Hong Kong market. Applied Economics,”Applied Economics 32, pp1629-1636.
22.Harris,M., Raviv,A.,(1993)“Differences of option make a horse race,”Review of Financial Studies 6,pp473-506.
23.Isakov,D.,(1999)“Is beta still alive? Conclusive evidence from the Swiss stock market,”The European Journal of Finance 5 ,pp202-212.
24.Kyle,A.,(1985)“Continuous auctions and insider trading”,Econometrical, Vol 53, pp1315-1335.
25.Lam,S.K.,(2001)“The conditional relation between beta and returns in the Honk Kong stock market,”Applied Financial Economics 11, pp669-680.
26.Levis,M., Liodakis, M.,(2001)“Contrarian strategies and investor expectations:the UK evidence,”Financial Analyst Journal 57, pp43-56.
27.Marc W., Simpson , Sanjay Ramchander(2008),“An inquiry into the economics fundamentals of the Fama and French equity factors,”Journal of Empirical Finance 15, pp801-815.
28.Mendenhall, R., Fehrs, D.,(1999)“Option listing and the stock-price response to earnings announcements,”Journal of Accounting and Economics 27, pp57-87.
29.Michael J., Brennan, Tarun Chordia., Avanidhar Subrahmanyam(1998),“Alternative factor specifications, security characteristics, and the cross-section of expected stock return,”Journal of Financial Economics 49,pp345-373.
30.Morelli, D.,(2007),“Beta、size、book-to-market equity and returns:A study based on UK data,”Journal of Multinational Financial Management 47,pp257-272.
31.Ni,S., Pan,J., Poreshman, A.,(2008)“Volatility information trading in the option market,” Journal of Finance 63, pp1059-1091.
32.Ouysse R., Kohn R.,(2010),“Bayesian variable selection and model averaging in the arbitrage pricing theory model,”Computational Statistics and Data Analysis 54,pp3249-3268.
33.Roll R., Schwartz E., Subrahmanyam A.,(2010),“O/S:The relative trading activity in options and stock,”Journal of Financial Economics 96,pp 1-17.
34.Sandoval, E., Saens, R.,(2004)“The conditional relationship between portfolio beta and return:evidence from Latin America,”Cuadernos de Economia 41, pp65-89.
35.Skinner, D.,(1990)“Option markets and the information content of accounting earnings releases,”Journal of Accounting Economics 13, pp191-211.



QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔