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題名 台灣地區股票投資組合風險分散及資本資產定價模型之實證研究
作者 連?陽
貢獻者 林祖嘉
連?陽
日期 1991
1990
上傳時間 2-May-2016 17:00:42 (UTC+8)
參考文獻 一、英文部份
     1. Bailey. W., and R. Stulz. "Benefit of Internatioal Diversification:The Case of Pacific Basin Stock Markets." The Journal of Portfolio Management, Summer 1990. pp.57-61.
     2. Black. F .? M. Jensen, and M. Scholes. "The Capital Asset Pricing Model: Some Empirical Tests." In -M. Jensen. ed ., Studies in the Theory of Capital Markets. (New York:Praeger.1972). pp.79-121.
     3. Cohen. K. and J.Pouge, "An Empirical Evaluation of Alternative Portfolio Selection Models." Journal of Business 40, no.2 (April 1967) ,pp166-193.
     4. Copeland Weston , Financial Theory and Corporate Policy, Third Edition, (AddisonWesley,1988).
     5. Douglas, G. "Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency."Yale Economic Essays, no.9, 1969.
     6. Evans, J ., and S. H. Archer, "Diversification and the Reduction of Dispersion: An Empirical Analysis," Journal of Finance, December 1968. pp.761-767.
     7. Fama , E. F. , Foundations of Finance. New York Basic Books, 1976.
     8 . -------, and J. Mac Beth. " Risk. Return and Equilibrium:Empirical Tests" Journal of Political Economy. May-June 1973. PP.607-636.
     9 . -------,"The Behavior of Stock Market Prices." Journal of Business, Vo1.38. No.1,(January 1965), pp.34-105.
     10. Jacob, Nancy. "The Measurement of Systematic Risk for Securities and Portfolios: Some Empirrcal Results." Journal of Financial and Quantitative analysis. Vol. VI(March 1971),pp.815-834.
     11. Levy. H ? , and M. Sarnat. "International Diversification of Investment Portfolios."American Economic Review 60 (September 1970), pp.668-675.
     12. Maddala, G. S ., Introduction to Econometrics .New York: Collier Macmillan Canada, Inc .,1988.
     13. Markowitz. Harry. "Portfolio Selection." The Journal of Finance. (March 1952). pp.77-91.
     14. -----------. "The Optimization of a Quadratic Function Subject to Linear Constraints. " Naval Research Logistics Quarterly, March-June 1956, pp.111-133.
     15. Mayers. D. amd Rice, E., "Measuring Portfolio Performance and The Empirical Content of Asset Pricing Models", Journal of Financial Eonomics. Vol.7. No.l.1978.
     16. Miller. Merton H .? and scholes. Myron S. "Rates of Returns In Relation to Risk:A Reexamination of Recent Findings,. "Published in Studies in the Theory of Capital Markets,edited by Michael Jensen (Hew York: Praeger,1972). pp.47-78.
     17. Modigliani,Franco, and Pouge,Gerald A."An Introduction to Risk and Return:Concepts and Evidence." Financial Analysts Journal (May.June 1974).pp.69-86.
     18. Richard Dobbins and Stephen F. Witt. Porefolio Theory & Investment Management(Martin Robertson Oxford, 1983).
     19. Roll. R ., "A Critique of The Asset Pricing Theory`s Tests:Part 1: On Past and Potential Testability of the Theory", Journal of Financial Economics. March 1977.
     20. ---------. "Performance Evaluation and Benchmark Errors (I )", Journal of Portfolio Management,Summer 1980.
     21. Sharpe. William F ., " A Simplified Model for Portfolio Analysis." Management Science. Vol. IX, No.2 (January 1963), pp.277-93.
     22. --------------------, "Capital Assct Prices: A Theory of Market Equilibrium under Conditions of Risk," Journal of Finance. XIX (September 1964), pp.425-442.
     23. --------------------,Portfolio Theory and Capital Markets. (Hew York: Mc Graw Hill,1970).
     24. Solnik, Bruno. "The Advantages of Domestic and Internatioal Diversification." in Elton and Gruber, International Capital Markets. (Amsterdam: North Holland. 1975).
     25. Tobin, James, "Liquidity Preference as Behavior Towards Risk." Review of Economic Studies 25(February 1958), pp.65-86.
     26. Wagner. V. H. and Lau, S. C., "The Effect of Diversification on Risk," Financial Analysts Journal. 27. No.5(Nov.-Dec. 1971), pp.48-53.
     
     二、中文部份
     1 .洪石章，臺灣股票市場投資組合風驗之分析。國立臺灣大學商學研究所未出版碩士論文，民國68 年6月。
     2. 徐雅蓉，證券市場投資組合風險之分析。國立政治大學企業管理研究所未出眼碩士論文，民國72 年6月。
     3 .陳鄔福，資本資產訂價模型運用於薑灣股票市場之實證研究。國立政治大學企業管理研究所未出版碩士論文，民國68 年6 月。
     4. 林煜宗，現代投資學一一一制度、理論與實證。民國七十七年一月修訂四版，三民書局。
     5 .張麗蕙，臺灣股價波動之總體經濟因素分析。國立政治大學國際貿易研究所未出版碩士論文，民國78年6 月。
     6. 謝淑蕙，臺灣地區股價泡沫現象之檢定。國立政治大學國際貿易研究所未出版碩士講文，民國80 年7月。
描述 碩士
國立政治大學
國際經營與貿易學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004981
資料類型 thesis
dc.contributor.advisor 林祖嘉zh_TW
dc.contributor.author (Authors) 連?陽zh_TW
dc.creator (作者) 連?陽zh_TW
dc.date (日期) 1991en_US
dc.date (日期) 1990en_US
dc.date.accessioned 2-May-2016 17:00:42 (UTC+8)-
dc.date.available 2-May-2016 17:00:42 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:00:42 (UTC+8)-
dc.identifier (Other Identifiers) B2002004981en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89589-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description.tableofcontents 第一章 緒論
     第一節 研究動機與目的……………………1
     第二節 研究架構……………………3
     第二章 理論基礎及實證文獻回顧
     第一節 投資組合理論探討……………………4
     第二節 股票投資組合風險分散之實證文獻回顧……………………9
     第三節 資本資產定價模型之理論基礎……………………18
     第四節 資本資產定價模型之實證文獻回顧……………………25
     第三章 實證架構、資料處理及實證方法說明
     第一節 實證架構……………………36
     第二節 研究樣本、計算報酬率及資料來源……………………37
     第三節 實證方法說明……………………41
     第四章 股票投資組合風險分散之實證研究
     第一節 問題介紹……………………49
     第二節 實證分析……………………53
     第三節 實證結果探討……………………60
     第五章 資本資產定價模型(CAPM)之實證研究
     第一節 股票報酬率之常態分配檢定……………………69
     第二節 股票報酬之自我相關檢定……………………70
     第三節 以個別股票報酬率為基礎檢定CAPM……………………71
     第四節 以股票投資組合報酬率為基礎檢定CAPM……………………73
     第六章 結論與建議
     第一節 結論……………………92
     第二節 建議……………………94
     附錄一……………………97
     附錄二……………………98
     附錄三……………………99
     附錄四……………………102
     參考文獻……………………103		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004981en_US
dc.title (題名) 台灣地區股票投資組合風險分散及資本資產定價模型之實證研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、英文部份
     1. Bailey. W., and R. Stulz. "Benefit of Internatioal Diversification:The Case of Pacific Basin Stock Markets." The Journal of Portfolio Management, Summer 1990. pp.57-61.
     2. Black. F .? M. Jensen, and M. Scholes. "The Capital Asset Pricing Model: Some Empirical Tests." In -M. Jensen. ed ., Studies in the Theory of Capital Markets. (New York:Praeger.1972). pp.79-121.
     3. Cohen. K. and J.Pouge, "An Empirical Evaluation of Alternative Portfolio Selection Models." Journal of Business 40, no.2 (April 1967) ,pp166-193.
     4. Copeland Weston , Financial Theory and Corporate Policy, Third Edition, (AddisonWesley,1988).
     5. Douglas, G. "Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency."Yale Economic Essays, no.9, 1969.
     6. Evans, J ., and S. H. Archer, "Diversification and the Reduction of Dispersion: An Empirical Analysis," Journal of Finance, December 1968. pp.761-767.
     7. Fama , E. F. , Foundations of Finance. New York Basic Books, 1976.
     8 . -------, and J. Mac Beth. " Risk. Return and Equilibrium:Empirical Tests" Journal of Political Economy. May-June 1973. PP.607-636.
     9 . -------,"The Behavior of Stock Market Prices." Journal of Business, Vo1.38. No.1,(January 1965), pp.34-105.
     10. Jacob, Nancy. "The Measurement of Systematic Risk for Securities and Portfolios: Some Empirrcal Results." Journal of Financial and Quantitative analysis. Vol. VI(March 1971),pp.815-834.
     11. Levy. H ? , and M. Sarnat. "International Diversification of Investment Portfolios."American Economic Review 60 (September 1970), pp.668-675.
     12. Maddala, G. S ., Introduction to Econometrics .New York: Collier Macmillan Canada, Inc .,1988.
     13. Markowitz. Harry. "Portfolio Selection." The Journal of Finance. (March 1952). pp.77-91.
     14. -----------. "The Optimization of a Quadratic Function Subject to Linear Constraints. " Naval Research Logistics Quarterly, March-June 1956, pp.111-133.
     15. Mayers. D. amd Rice, E., "Measuring Portfolio Performance and The Empirical Content of Asset Pricing Models", Journal of Financial Eonomics. Vol.7. No.l.1978.
     16. Miller. Merton H .? and scholes. Myron S. "Rates of Returns In Relation to Risk:A Reexamination of Recent Findings,. "Published in Studies in the Theory of Capital Markets,edited by Michael Jensen (Hew York: Praeger,1972). pp.47-78.
     17. Modigliani,Franco, and Pouge,Gerald A."An Introduction to Risk and Return:Concepts and Evidence." Financial Analysts Journal (May.June 1974).pp.69-86.
     18. Richard Dobbins and Stephen F. Witt. Porefolio Theory & Investment Management(Martin Robertson Oxford, 1983).
     19. Roll. R ., "A Critique of The Asset Pricing Theory`s Tests:Part 1: On Past and Potential Testability of the Theory", Journal of Financial Economics. March 1977.
     20. ---------. "Performance Evaluation and Benchmark Errors (I )", Journal of Portfolio Management,Summer 1980.
     21. Sharpe. William F ., " A Simplified Model for Portfolio Analysis." Management Science. Vol. IX, No.2 (January 1963), pp.277-93.
     22. --------------------, "Capital Assct Prices: A Theory of Market Equilibrium under Conditions of Risk," Journal of Finance. XIX (September 1964), pp.425-442.
     23. --------------------,Portfolio Theory and Capital Markets. (Hew York: Mc Graw Hill,1970).
     24. Solnik, Bruno. "The Advantages of Domestic and Internatioal Diversification." in Elton and Gruber, International Capital Markets. (Amsterdam: North Holland. 1975).
     25. Tobin, James, "Liquidity Preference as Behavior Towards Risk." Review of Economic Studies 25(February 1958), pp.65-86.
     26. Wagner. V. H. and Lau, S. C., "The Effect of Diversification on Risk," Financial Analysts Journal. 27. No.5(Nov.-Dec. 1971), pp.48-53.
     
     二、中文部份
     1 .洪石章，臺灣股票市場投資組合風驗之分析。國立臺灣大學商學研究所未出版碩士論文，民國68 年6月。
     2. 徐雅蓉，證券市場投資組合風險之分析。國立政治大學企業管理研究所未出眼碩士論文，民國72 年6月。
     3 .陳鄔福，資本資產訂價模型運用於薑灣股票市場之實證研究。國立政治大學企業管理研究所未出版碩士論文，民國68 年6 月。
     4. 林煜宗，現代投資學一一一制度、理論與實證。民國七十七年一月修訂四版，三民書局。
     5 .張麗蕙，臺灣股價波動之總體經濟因素分析。國立政治大學國際貿易研究所未出版碩士論文，民國78年6 月。
     6. 謝淑蕙，臺灣地區股價泡沫現象之檢定。國立政治大學國際貿易研究所未出版碩士講文，民國80 年7月。		zh_TW