| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo,Weiyu | en_US |
| dc.contributor.author (作者) | 何裕傑 | zh_TW |
| dc.contributor.author (作者) | Ho, Yu-Chieh | en_US |
| dc.creator (作者) | 何裕傑 | zh_TW |
| dc.creator (作者) | Ho, Yu-Chieh | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 11-九月-2009 17:12:36 (UTC+8) | - |
| dc.date.available | 11-九月-2009 17:12:36 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-九月-2009 17:12:36 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0923510401 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30088 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 92351040 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 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. | zh_TW |
| dc.description.tableofcontents | 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 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923510401 | en_US |
| dc.subject (關鍵詞) | 新興市場 | zh_TW |
| dc.subject (關鍵詞) | 條件式 | zh_TW |
| dc.subject (關鍵詞) | 資產訂價模型 | zh_TW |
| dc.subject (關鍵詞) | Asset Pricing Model | en_US |
| dc.subject (關鍵詞) | Conditional | en_US |
| dc.subject (關鍵詞) | Emerging Markets | en_US |
| dc.title (題名) | 條件式資產訂價模型在新興市場之實證研究 | zh_TW |
| dc.title (題名) | Empirical Analysis of Conditional Asset Pricing Model in Emerging Markets | en_US |
| dc.type (資料類型) | thesis | en |
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