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題名 消費基礎的資產定價模式 : 台灣地區之實證分析 作者 楊晶雯 貢獻者 林祖嘉
楊晶雯日期 1991
1990上傳時間 2-May-2016 17:11:49 (UTC+8) 參考文獻 (一)財務理論方面的參考文獻 1.Bergman, Y.Z.(1985)" Time Preference and Capital Asset Pricing Models ?, Journal of Financial Economics, 14, 145-159. 2.Breeden , P.T.(1979)" An Intertemporal Asset Pricing Model With Stochastic Consumption and Investmen?t Opportunities", Journal of Financial Economics, 7, 265-296. 3. Breeden , O. T., `Gibbons, M. R., and Litzenberger, R.H(1989)" Empirical Tests of the Consumption-Oriented CAPM ", The Journal of Finance, 44,231-262. 4.Brennan, M.J. and Solnik, B.(1989)" International Risk Sharing and Capital Mobility?, Journal of International Money and Finance, 8, 359-373. 5.Brown, O.P(1988)" The Implications of Nonmarketable Income for Consumption-Based Models of Asset Pricing", The Journal of Finance, 43, 867-880. 6.Brown, D.P. and Gibbons, M.R.(1985) " A Simple Econometric Approach for Utility-Based Asset Pricing Models", The Journal of Finance, 40, 359-381. 7.Chen, Son-Nan(1986) " An Intertemporal Capital Asset Pricing Model Under Heterogeneoue Beliefs ", Journal of Economics and Business, 38, 317-330. 8.Chen, Nai-Fu, Roll, R and Ross, S.A.(1986) "Economic Forces and the Stock Market u, Journal of Business, 59, 383-403. 9.Copeland, T.E. and Weston, J.F.(1988) " Financial Theory and Corporate Policy u, 3rd ed. 10.Cornell, B(1981) " The Consumption Based Asset Pricing Model u, Journal of Financial Economics " , 9, 103-108. 11.Duffie, D. and Zame, W.(1989) " The Consumption-Based Capital Asset Pricing Model ", Econometrica , 57, 1279-1297. 12.Ehrbar, H.(1990) " Mean-Variance Efficiency When Investors Are Not Required to Invest All Their Money", Journal of Economic Theory, 50, 214-218. 13.Elton, E.J. and Gruber, M.J.(1987)" Modern Portfolio Theory and Investment Analysis", 3rd ed. 14.Epstein, L.G. and Zin, S.E.(1989)" Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework v, Econometric, 57, 937-969. 15.Ferson, W.E. and Merrick, J.J.(1987)" Non-Stationarity and Stage-of-the-Business-Cycle Effects In Consumption-Based Asset Pricing Relations ", Journal of Financial Economics, 18, 127-146. 16.Gaudet, G and Howitt, P.(1989)" A Note on Uncertainty and the Hotelling Rule ",Journal of Environmental Economics and Management, 16, 80-86. 17.Grossman, S.J. and Laroque, G.(1990)" Asset Pricing and Optimal Portfolio Choice in the Pressnce of Illiquid Durable Consumption Goods ", Econometrica, 58, 25-51. 18.Grossman, S.J. Melino, A. and Shiller, R.J.(1987) " Estimating the Continuous-Time Consumption-Based Asset-Pricing Model", Journal of Business & Economic Statistics,5, 315-327. 19.Grossman, S.J. and Shiller, R.J.(1982)" Consumption Correlatedness and Risk Measurement In Economies with Non-Traded Asset and Heterogeneous Information " Journal of Financial Economics, 10, 195-210. 20.Hansen, L.P and Singleton, K.J.(1983)" Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Return N, Journal of Political Economy, 91, 249-265. 21.Harvey, C.R.(1988)" The Real Term Structure and Consumption Growth", Journal of Financial Economics , 22, 305-333. 22.Harvey, C.R.(1989)" Forecasts of Econonic Growth from the Bond and Stock Markets ", Financial Analysts Journal, 45, 38-45. 23.Kazemi, H.B.(1988)" An Alternative Testable Form of the Consumption CAPM H, The Journal of Finance, 43, 61-70. 24.Keppe, H.J. and Weber, M.(1990)" Stochastic Dominance with Incomplete Information on Probabilities ", European Journal of Operational Research, 43, 350-355. 25.Long, J.B.(1974) "Stock Prices, Inflation, and the term Structure of Interest Rates", Journal of Financial Economics, 1, 131-170. 26.Merton(1969) "Lifetime Portfolio selection under uncertainty: The Continuous-Time Case ", Review of Economics and Statistics, 51, 247-257. 27.Merton, R,C.(1971) " Optimum Consumption and Portfolio Rules in a Continuous-Time Model", Journal of Economic Theory, 3, 373-413. 28.Merton, R.C.(1973) " An Intertemporal Capital Pricing Model ", Econometrica, 41, 867-887. 29.Mankiw, N.G. and` Shapiro, M.D.(1986) " Risk and Return: Consumption Beta Versus Market Beta ", The Review of Economics and Statistics, 452-459. 30.0bstfeld, M(1986) " Capital Controls, The Dual Exchange Rate, and Devaluation v, Journal of International Economics, 20, 1-20. 31.Roll, R.(1977) " A Critique of the Asset Pricing Theory`s Test v, Journal of Financial Economics, 4, 129-176. 32.Rubinstein(1976) " The Valuation of Uncertain Incone Streams and the Pricing of options ", Bell Journal of Economics, 7, 407-425. 33.Wheatley, S.(1988) "Some Tests of the Consumption-Based Asset Pricing Model", Journal of Monetary Economics, 22, 193-215. 34.William, J.T.(1977) " Capital Asset Prices with Heterogeneous Beliefs", Journal of Finace, 5 , 219-239. (二)時間數列方面的參考文獻 35.Akaike, H.(1976) "Canonical Correlations Analysis of Time Series and the Use of an Information Criterion" in Mehra, R. and Lainiotis, D.G. (eds.), Advance and Case Studies in System Identification, New York: Academic Press, 27-95. 36.Cameron, A.V. (1982) " Interest Rate Forecasting and Portfolio Analysis Using the State Space Forecasting System" in Anderson, O.D. and Perryman, M.R. (eds.), Applied Time Series Analysis ,43-52. 37.Artis, M.J. and Zhang,W.(1990) "BVAR Forecasts for the G-7", International Journal of Forecasting, 6, 349-362. 38.Bessler, D.A. and Kling, J.L.(1986) " Forecasting Vector Autoregressions with Bayesian Prior", Amercan Agricutural Economics Association, 144-151. 39.Boero, G.(1990) " Comparing Ex-ante Forecasts from a SEM and VAR Model: an Application to the Italian Economy?, Journal of Forecasting, 9,13-24. 40.Chen, Liu, Lon-Mu and Hudak, G.B.(1990) " Outlier Detection and Adjustment in Time Series Modeling and Forecasting ?,Working Paper. 41.Doan, T.A. and Litterman, R.B.(1987) User`s Manual: RATS, Version 2.10 42.Doan, T.A.(1988) User`s Manual: RATS, Version 3.00 43.Doan, T.A., Litterrnan, R.B. and Sims, C.(1984)" Forecasting and Conditional Projection Using Realistic Prior Distribution", Econometric Review,l-100. 44.Funke, M.(1990) " Assessing the Forecasting Accuracy of Monthly Vector Autoregressive Models ", International Journal of Forecasting, 6, 363-378. 45.Harvey(1981), Time Series Models ,101-119, 9-17. 46.Holden, K and Broomhead, A.(1990) "An Examination of Vector Autoregressive Forecasts for the U.K. Economy " ,International Journal of Forecasting, 6, 11-23. 47.Jonathan D. Cryer(1986), Time Series Analysis, 234-240. 48.Jones, R.H.(1985)~ Time Series Analysis with Unequally Spaced Data "in Hannan, E.J.,Krishnaiah , P.R. and Rao, M.M.(eds.l, Handbook of Statistics 5,157-177. 49.Koehler,A.B. and Murphrese,S.(1988) " A Comparison of Result State Space Forecasting with Forecasts from the Makridakis Competition " ,International Journal of Forecasting, 4, 45-55. 50.Lesage, J.P.(1989) " Incorating Regional Wage Relations in Local Forecasting Models with a Bayesian Prior " ,International Journal of Forecasting, 5,37-47. 51.Litterrnan, R.B.(1979) "Technique of Forecasting Using Vector Autoregressions ", Doctoral Thsis. University of Minnesota. 52.Litterrnan, R.B.(1984) " Forecasting and Policy Analysis with Bayesian Vector Autoregression Model ",Federal Reserve Bank of Minneapolis Quarterly Review, 30-41. 53.Litterrnan, R.B.(1986a) " Specifying Vector Auto-regressions for Macroeconomics Forecasting "in Goel, P. and Zellner, A.(eds.), Bayesian Inference and Decision Techniques, ch.6 ,79-94. 54.Litterman, R.B.(1986b) " Forecasting with Bayesian Vector Autoregressions-Five Years of Experience ",Journl of Business & Economic Statistics, 4, 25-38. 55.Liu,Lon-Mu and Hudak, G.(1985) " Unified Econometric Model Building Using Simultaneous Transfer Function Equations " in Anderson, O.D.(eds. Time Series Analysis: Theory and Practice, 7, 277-288. 56.Liu,Lon-Mu and Hanssens, D.H.(1982)" Identification of Multiple Input Transfer Function Models" ,Communications in Statistics-Theory and Method 11, 297-314. 57.Liu,Lon-Mu(1987)" Sales Forecasting Using Multi-Equation Transfer Function Models ",Journal of Forecasting,6,223-238. 58.Liu,Lon-Mu(1983)" An Integrated Time Series Analysis Computer Program: The SCA Statistical System ",in Anderson, O.D.(eds.), Time Series Analysis: Theory and Practice 4,291-309. 59.Narayan,J.Y. and Aksu,C.(1985)" Causality Testing Based on Ex Ante Forecasts ",in Anderson, O.D.(eds.), Time Series Analysis: Theory and _Practice 7,263-275. 60.SAS/ETS User`s Guide, Version 6,1988. 61.Theil,H.(1963)" On the Use of Incomplete Prior Information In Regression Analysis ",American Statistical Association Journal, 401-414. 62.Todd, R.M.(1984)" Improving Economic Forecasting with Bayesian Vector Autoregression ", Federal Reserve Bank of Minneapolis Quarterly Review, 18-29. 63.Tsay,R.S.(1990) Multivariate Time Series Analysis. 64.Vinod,H.D. and Hui, B.S.(1983)" A Canonical Correlations Approach to State Vector Analysis of Capital Approptiations and Expenditure "in Anderson, O.D.(eds.), Time Series Analysis: Theory and Practice 4,229-236. 描述 碩士
國立政治大學
經濟學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005076 資料類型 thesis dc.contributor.advisor 林祖嘉 zh_TW dc.contributor.author (Authors) 楊晶雯 zh_TW dc.creator (作者) 楊晶雯 zh_TW dc.date (日期) 1991 en_US dc.date (日期) 1990 en_US dc.date.accessioned 2-May-2016 17:11:49 (UTC+8) - dc.date.available 2-May-2016 17:11:49 (UTC+8) - dc.date.issued (上傳時間) 2-May-2016 17:11:49 (UTC+8) - dc.identifier (Other Identifiers) B2002005076 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89875 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description.tableofcontents 第一章 緒論....................1 第一節 研究動機及目的....................1 第二節 研究方法及架構....................4 第二章 消費基礎的資產定價模式....................6 第一節 理論起源....................6 第二節 消費基礎的資產定價模式(CCAPM)....................8 第三節 CCAPM 之理論文獻回顧....................14 第四節 CCAPM 之實證文獻回顧....................20 第五節 CAPM 與CCAPM 之實證分析....................23 第三章 資產定價理論之模型推導....................26 第四章 多變量時間數列理論....................43 第一節 狀況空間模型(State Space Model)....................44 第二節 貝氏向量自我迴歸模型(BVAR)....................54 第三節 平均數一變異數分析及隨機優勢之應用.................... 64 第五章 台灣地區股價之實證分析....................70 第一節 資料說明....................70 第二節 動態CCAPM 及聯立轉移函數之實證分析....................74 第三節 State Space 模型之實證分析....................79 第四節 BVAR 模型之實證分析....................84 第五節 預測模型之比較....................88 第六章 結論及未來發展方向....................97 第一節 結論....................97 第二節 對未來發展方向之建議....................99 參考文獻....................101 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005076 en_US dc.title (題名) 消費基礎的資產定價模式 : 台灣地區之實證分析 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) (一)財務理論方面的參考文獻 1.Bergman, Y.Z.(1985)" Time Preference and Capital Asset Pricing Models ?, Journal of Financial Economics, 14, 145-159. 2.Breeden , P.T.(1979)" An Intertemporal Asset Pricing Model With Stochastic Consumption and Investmen?t Opportunities", Journal of Financial Economics, 7, 265-296. 3. Breeden , O. T., `Gibbons, M. R., and Litzenberger, R.H(1989)" Empirical Tests of the Consumption-Oriented CAPM ", The Journal of Finance, 44,231-262. 4.Brennan, M.J. and Solnik, B.(1989)" International Risk Sharing and Capital Mobility?, Journal of International Money and Finance, 8, 359-373. 5.Brown, O.P(1988)" The Implications of Nonmarketable Income for Consumption-Based Models of Asset Pricing", The Journal of Finance, 43, 867-880. 6.Brown, D.P. and Gibbons, M.R.(1985) " A Simple Econometric Approach for Utility-Based Asset Pricing Models", The Journal of Finance, 40, 359-381. 7.Chen, Son-Nan(1986) " An Intertemporal Capital Asset Pricing Model Under Heterogeneoue Beliefs ", Journal of Economics and Business, 38, 317-330. 8.Chen, Nai-Fu, Roll, R and Ross, S.A.(1986) "Economic Forces and the Stock Market u, Journal of Business, 59, 383-403. 9.Copeland, T.E. and Weston, J.F.(1988) " Financial Theory and Corporate Policy u, 3rd ed. 10.Cornell, B(1981) " The Consumption Based Asset Pricing Model u, Journal of Financial Economics " , 9, 103-108. 11.Duffie, D. and Zame, W.(1989) " The Consumption-Based Capital Asset Pricing Model ", Econometrica , 57, 1279-1297. 12.Ehrbar, H.(1990) " Mean-Variance Efficiency When Investors Are Not Required to Invest All Their Money", Journal of Economic Theory, 50, 214-218. 13.Elton, E.J. and Gruber, M.J.(1987)" Modern Portfolio Theory and Investment Analysis", 3rd ed. 14.Epstein, L.G. and Zin, S.E.(1989)" Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework v, Econometric, 57, 937-969. 15.Ferson, W.E. and Merrick, J.J.(1987)" Non-Stationarity and Stage-of-the-Business-Cycle Effects In Consumption-Based Asset Pricing Relations ", Journal of Financial Economics, 18, 127-146. 16.Gaudet, G and Howitt, P.(1989)" A Note on Uncertainty and the Hotelling Rule ",Journal of Environmental Economics and Management, 16, 80-86. 17.Grossman, S.J. and Laroque, G.(1990)" Asset Pricing and Optimal Portfolio Choice in the Pressnce of Illiquid Durable Consumption Goods ", Econometrica, 58, 25-51. 18.Grossman, S.J. Melino, A. and Shiller, R.J.(1987) " Estimating the Continuous-Time Consumption-Based Asset-Pricing Model", Journal of Business & Economic Statistics,5, 315-327. 19.Grossman, S.J. and Shiller, R.J.(1982)" Consumption Correlatedness and Risk Measurement In Economies with Non-Traded Asset and Heterogeneous Information " Journal of Financial Economics, 10, 195-210. 20.Hansen, L.P and Singleton, K.J.(1983)" Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Return N, Journal of Political Economy, 91, 249-265. 21.Harvey, C.R.(1988)" The Real Term Structure and Consumption Growth", Journal of Financial Economics , 22, 305-333. 22.Harvey, C.R.(1989)" Forecasts of Econonic Growth from the Bond and Stock Markets ", Financial Analysts Journal, 45, 38-45. 23.Kazemi, H.B.(1988)" An Alternative Testable Form of the Consumption CAPM H, The Journal of Finance, 43, 61-70. 24.Keppe, H.J. and Weber, M.(1990)" Stochastic Dominance with Incomplete Information on Probabilities ", European Journal of Operational Research, 43, 350-355. 25.Long, J.B.(1974) "Stock Prices, Inflation, and the term Structure of Interest Rates", Journal of Financial Economics, 1, 131-170. 26.Merton(1969) "Lifetime Portfolio selection under uncertainty: The Continuous-Time Case ", Review of Economics and Statistics, 51, 247-257. 27.Merton, R,C.(1971) " Optimum Consumption and Portfolio Rules in a Continuous-Time Model", Journal of Economic Theory, 3, 373-413. 28.Merton, R.C.(1973) " An Intertemporal Capital Pricing Model ", Econometrica, 41, 867-887. 29.Mankiw, N.G. and` Shapiro, M.D.(1986) " Risk and Return: Consumption Beta Versus Market Beta ", The Review of Economics and Statistics, 452-459. 30.0bstfeld, M(1986) " Capital Controls, The Dual Exchange Rate, and Devaluation v, Journal of International Economics, 20, 1-20. 31.Roll, R.(1977) " A Critique of the Asset Pricing Theory`s Test v, Journal of Financial Economics, 4, 129-176. 32.Rubinstein(1976) " The Valuation of Uncertain Incone Streams and the Pricing of options ", Bell Journal of Economics, 7, 407-425. 33.Wheatley, S.(1988) "Some Tests of the Consumption-Based Asset Pricing Model", Journal of Monetary Economics, 22, 193-215. 34.William, J.T.(1977) " Capital Asset Prices with Heterogeneous Beliefs", Journal of Finace, 5 , 219-239. (二)時間數列方面的參考文獻 35.Akaike, H.(1976) "Canonical Correlations Analysis of Time Series and the Use of an Information Criterion" in Mehra, R. and Lainiotis, D.G. (eds.), Advance and Case Studies in System Identification, New York: Academic Press, 27-95. 36.Cameron, A.V. (1982) " Interest Rate Forecasting and Portfolio Analysis Using the State Space Forecasting System" in Anderson, O.D. and Perryman, M.R. (eds.), Applied Time Series Analysis ,43-52. 37.Artis, M.J. and Zhang,W.(1990) "BVAR Forecasts for the G-7", International Journal of Forecasting, 6, 349-362. 38.Bessler, D.A. and Kling, J.L.(1986) " Forecasting Vector Autoregressions with Bayesian Prior", Amercan Agricutural Economics Association, 144-151. 39.Boero, G.(1990) " Comparing Ex-ante Forecasts from a SEM and VAR Model: an Application to the Italian Economy?, Journal of Forecasting, 9,13-24. 40.Chen, Liu, Lon-Mu and Hudak, G.B.(1990) " Outlier Detection and Adjustment in Time Series Modeling and Forecasting ?,Working Paper. 41.Doan, T.A. and Litterman, R.B.(1987) User`s Manual: RATS, Version 2.10 42.Doan, T.A.(1988) User`s Manual: RATS, Version 3.00 43.Doan, T.A., Litterrnan, R.B. and Sims, C.(1984)" Forecasting and Conditional Projection Using Realistic Prior Distribution", Econometric Review,l-100. 44.Funke, M.(1990) " Assessing the Forecasting Accuracy of Monthly Vector Autoregressive Models ", International Journal of Forecasting, 6, 363-378. 45.Harvey(1981), Time Series Models ,101-119, 9-17. 46.Holden, K and Broomhead, A.(1990) "An Examination of Vector Autoregressive Forecasts for the U.K. Economy " ,International Journal of Forecasting, 6, 11-23. 47.Jonathan D. Cryer(1986), Time Series Analysis, 234-240. 48.Jones, R.H.(1985)~ Time Series Analysis with Unequally Spaced Data "in Hannan, E.J.,Krishnaiah , P.R. and Rao, M.M.(eds.l, Handbook of Statistics 5,157-177. 49.Koehler,A.B. and Murphrese,S.(1988) " A Comparison of Result State Space Forecasting with Forecasts from the Makridakis Competition " ,International Journal of Forecasting, 4, 45-55. 50.Lesage, J.P.(1989) " Incorating Regional Wage Relations in Local Forecasting Models with a Bayesian Prior " ,International Journal of Forecasting, 5,37-47. 51.Litterrnan, R.B.(1979) "Technique of Forecasting Using Vector Autoregressions ", Doctoral Thsis. University of Minnesota. 52.Litterrnan, R.B.(1984) " Forecasting and Policy Analysis with Bayesian Vector Autoregression Model ",Federal Reserve Bank of Minneapolis Quarterly Review, 30-41. 53.Litterrnan, R.B.(1986a) " Specifying Vector Auto-regressions for Macroeconomics Forecasting "in Goel, P. and Zellner, A.(eds.), Bayesian Inference and Decision Techniques, ch.6 ,79-94. 54.Litterman, R.B.(1986b) " Forecasting with Bayesian Vector Autoregressions-Five Years of Experience ",Journl of Business & Economic Statistics, 4, 25-38. 55.Liu,Lon-Mu and Hudak, G.(1985) " Unified Econometric Model Building Using Simultaneous Transfer Function Equations " in Anderson, O.D.(eds. Time Series Analysis: Theory and Practice, 7, 277-288. 56.Liu,Lon-Mu and Hanssens, D.H.(1982)" Identification of Multiple Input Transfer Function Models" ,Communications in Statistics-Theory and Method 11, 297-314. 57.Liu,Lon-Mu(1987)" Sales Forecasting Using Multi-Equation Transfer Function Models ",Journal of Forecasting,6,223-238. 58.Liu,Lon-Mu(1983)" An Integrated Time Series Analysis Computer Program: The SCA Statistical System ",in Anderson, O.D.(eds.), Time Series Analysis: Theory and Practice 4,291-309. 59.Narayan,J.Y. and Aksu,C.(1985)" Causality Testing Based on Ex Ante Forecasts ",in Anderson, O.D.(eds.), Time Series Analysis: Theory and _Practice 7,263-275. 60.SAS/ETS User`s Guide, Version 6,1988. 61.Theil,H.(1963)" On the Use of Incomplete Prior Information In Regression Analysis ",American Statistical Association Journal, 401-414. 62.Todd, R.M.(1984)" Improving Economic Forecasting with Bayesian Vector Autoregression ", Federal Reserve Bank of Minneapolis Quarterly Review, 18-29. 63.Tsay,R.S.(1990) Multivariate Time Series Analysis. 64.Vinod,H.D. and Hui, B.S.(1983)" A Canonical Correlations Approach to State Vector Analysis of Capital Approptiations and Expenditure "in Anderson, O.D.(eds.), Time Series Analysis: Theory and Practice 4,229-236. zh_TW
