| dc.contributor | 國貿系 | |
| dc.creator (作者) | 郭維裕 | |
| dc.date (日期) | 2022-01 | |
| dc.date.accessioned | 7-四月-2026 13:29:07 (UTC+8) | - |
| dc.date.available | 7-四月-2026 13:29:07 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-四月-2026 13:29:07 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181967 | - |
| dc.description.abstract (摘要) | 本三年期的研究計畫主要針對未受到財務學界重視，但卻是金融實務界常用的一類下方風險指標，連續跌幅與最大跌幅，進行時間序列與橫斷面的全面性實證分析，並與目前有關股票市場下方風險與市場崩跌風險之文獻相連結。於計畫的第一年內，我們將進行連續跌幅，最大跌幅以及風險時間維度等三指標的詳細統計特性分析，包括機率分配的配適，autoregressive conditional duration模型的估計以及全球市場之下方風險的共動性(comovement)探討。在計畫的第二年間，我們將嘗試結合這些指標與財務學界之下方風險的相關文獻。更明確地說，我們進行文獻中的下方貝他(downside beta)與連續跌幅貝他(Drawdown-based beta)對橫斷面股票報酬率的解釋能力，然後進一步檢驗其是否具有顯著的正風險溢酬。最後，我們嘗試在第三年的研究期間內，建構一個新的連續跌幅市場崩跌風險指標，並與相關文獻上的幾個市場崩跌風險指標進行比較，然後建立且估計一個預測未來市場崩跌風險的計量模型。 | |
| dc.description.abstract (摘要) | This three-year project attemps to thoroughly investigate a family of drawdown-based risk measures, including drawdowns, maximum drawdown, and the temporal Dimension of risk, which is very popular in the financial Industry for risk management and performance evaluation, but largely ignored by financial researchers. In particular, we will focus on the time series and cross sectional analyses of statistical properties of the drawdown-based risk measures. Besides, we will fit several probability distributions to the maximum drawdown and estimate the autoregressive conditional duration model for the duration of maximum drawdown as well as the recovery time. We will also study the potential comovement among the drawdow-based risk measures. We will compare the power of the drawdown-based beta in explaining the cross section of stock returns with that of the downside beta in the literature in the second year of this project. In the final year, we will construct a new market crash risk indicator based on the maximum drawdown and run a horse race between this indicator and the commonly used market crash risk measures in the literature. Such analysis will hopefully lead us to build a more efficient market crash forecasting model. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST108-2410-H004-073-MY2, 108.08-110.07 | |
| dc.subject (關鍵詞) | 連續跌幅; 最大跌幅; 風險時間維度; 下方風險; 市場崩跌風險 | |
| dc.subject (關鍵詞) | drawdowns; maximum drawdown; temporal dimension of risk; downside risk; market crash risk | |
| dc.title (題名) | 最大跌幅，下方風險與市場崩跌風險 | |
| dc.title (題名) | Maximum Drawdown, Downside Risk, and Market Crash Risk | |
| dc.type (資料類型) | report | |
