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題名 條件式資產訂價模型在新興市場之實證研究
Empirical Analysis of Conditional Asset Pricing Model in Emerging Markets
作者 何裕傑
Ho, Yu-Chieh
貢獻者 郭維裕
Kuo,Weiyu
何裕傑
Ho, Yu-Chieh
關鍵詞 新興市場
條件式
資產訂價模型
Asset Pricing Model
Conditional
Emerging Markets
日期 2005
上傳時間 11-九月-2009 17:12:36 (UTC+8)
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.
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Ando, A., Auerbach, A.J. 1990. Cost of capital in Japan. Journal of the Japanese and International Economics 4, 323-350.
Basu, S., 1977. The investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. Journal of Finance 32, 663-682.
Berk, J.B., 1995, A critique of size-related anomalies. Review of Financial Studies 8, 275-286.
Black, F., 1993. Beta and return. Journal of Portfolio Management 20, 8-18.
Bodurtha, J.N., Cho, D.C., Senbet, L.W., 1989. Economic forces and the stock market: An international perspective. Global Finance Journal 1, 21-46.
Bollerslev, T.P., Engle, R.F., Wooldridge, J.M., 1988. A capital asset pricing model with time-varying covariances. Journal of Political Economy 96, 116-131.
Brennan, M.J., Chordia, T., Subrahmanyam, A., 1996. Cross-sectional Determinants of Expected Returns, Working Paper. University of California, Los Angeles.
Breen, W.J., Korajczyk, R.A., 1994. On selection biases in book-to-market based tests of asset pricing models. Working Paper, Northwestern University.
Brown, S.J., Otsuki, T., 1990a. Macroeconomics factors and the Japanese equity markets: The CAPMD project, In: Elton, E.J., Gruber, M.J. (Eds.), Ch. 8, Japanese Capital Markets. Harper and Row, New York, pp. 175-192.
Brown, S.J., Otuski, T., 1990b. A global asset pricing model. Working Paper, New York University.
Capaul, C., Rowley, I., Sharpe, W., 1993. International value and growth stock returns. Financial Analysts Journal, 27-36.
Chan, L.K.C., Hamao, Y., Lakonishok, J., 1991. Fundamentals and stock returns in Japan. Journal of Finance 46 (5), 1739-1764.
Chan, L.K.C., Jegadeesh, N., Lakonishok, J., 1995. Evaluating the performance of value versus glamour stocks: The impact of selection bias. Journal of Financial Economics 38, 269-296.
Chen, N.-F., Richard, R.R., Stephen, R.A., 1986. Economic forces and the stock market. Journal of Business 59, 383-403.
Christopherson, J.A., Tritton, D.Y., 1995. Equity style classification system, In: Coggin, T.D., Fabozzi, F.J. (Eds.), The Handbook of Equity Style Management, Frank J. Fabozzi Associates, New Hope, PA.
Conrad, J. Kaul, G., 1996. An anatomy of trading strategies. Working Paper, University of North California.
Dumas, B., Solnik, B., 1995. The world price of foreign exchange rate risk. Journal of Finance 50, 445-480.
Engel, C., Rodrigues, A., 1989. Tests of international CAPM with time-varying covariances.
Fama, E.F., French, K.R., 1992. The cross-section of expected returns. Journal of Finance 47, 427-465.
Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
Fama, E.F., French, K.R., 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance 51, 55-87.
Fama, E.F., MacBeth, J.D., 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy 81, 607-636.
Ferson, W.E., 1990. Are the latent variables in time-varying expected returns compensation for consumption risk? Journal of Finance 45, 397-430.
Ferson, W.E., 1996. Warning: Attribute-sorted portfolios can be hazardous to your research, 1996. In: Saitou, S., Sawaki, K., Kubota, K. (Eds.), Modern Portfolio Theory and its Applications, Center for Academic Societies, Osaka Japan ISBN 4-906417-10-2 c3033 p6000E, pp.21-32.
Ferson, W.E., Harvey, C.R., 1991. The variation of economic risk premiums. Journal of Political Economy 99, 385-415.
Ferson, W.E., Harvey, C.R., 1993. The risk and predictability of international equity returns. Review of Financial Studies 6, 527-566.
Ferson, W.E., Harvey, C.R., 1994a. Sources of risk and expected returns in international equity markets. Journal of Banking and Finance 18, 775-803.
Ferson, W.E, Harvey, C.R., 1994b. An exploratory investigation of the fundamental determinants of international equity market returns. In: Frankel, J.A. Internationalization of Equity Markets, University of Chicago Press (ISBN 0-226-26001-1), pp. 59-148.
Ferson, W.E., Harvey, C.R., 1995. Predictability and time-varying risk in world equity markets. Research in Finance 13, 25-88.
Ferson, W.E., Harvey, C.R., 1998. Fundamental determinants of national equity market returns: A perspective on conditional asset pricing. Journal of Banking and Finance 21, 1625-1665.
Ferson, W.E., Harvey, C.R., 1999. Conditioning Variables and the Cross Section of Stock Returns. Journal of Finance vol. liv, no. 4, 1325-1360.
Ferson, W.E., Kandel, S., Stambaugh, R.F., 1987. Tests of asset pricing with time-varying expected risk premiums and market beta. Journal of Finance 42, 201-220.
Frankel, J., 1982. In search of the exchange risk premium: A six currency test assuming mean variance optimization. Journal of International Money and Finance 1, 255-274.
Gibbons, M.R., Ferson, W.E., 1985. Tests of asset pricing models with changing expectations and an unobservable market portfolio. Journal of Financial Economics 14, 217-236.
Giovannini, A., Jorion, P., 1987. Interest rates and risk premia in the stock market and in the foreign exchange market. Journal of International Money and Finance 6, 107-123.
Giovannini, A., Jorion, P., 1989. Time variation of risk and return in the foreign exchange and stock markets. Journal of Finance 44, 307-325.
Graham, B., Dodd, D., 1934. Security analysis. McGraw-Hill, New York.
Guerard, J.B., Takano, M., 1990. Composite modeling in the Japanese equity markets. Working paper presented at the Berkeley program in Finance.
Hamao, Y., 1988. An empirical examination of arbitrage pricing theory: Using Japanese data. Japan and the World Economy 1, 45-61.
Hansen, L.P., 1982. Large sample properties of the generalized method of moments estimators. Econometrica 50, 1029-1054.
Hansen, L.P., Hordrick, R.J., 1983. Risk averse speculation in forward foreign exchange markets: An econometric analysis of linear models. In: Frenkel, J.A. (Ed.), Exchange Rates and International Macroeconomics. University of Chicago Press, Chicago, IL, pp. 113-152.
Hansen, L.P., Singleton, K., 1983. Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of Political Economy 91, 249-265.
Harris, T.C., Opler, T.C., 1990. Stock market returns and real activity. Working paper, University of Chicago Press, UCLA.
Haugen, R.A., Baker, N.L., 1996. Commonality in the determinants of expected stock returns. Journal of Financial Economics 4, 401-440.
Harvey, C.R., 1988. The real term structure and consumption growth. Journal of Financial Economics 22, 305-334.
Harvey, C.R., 1989. Time-varying conditional covariances in tests of asset pricing models. Journal of Financial Economics 24, 289-318.
Harvey, C.R., 1990. Equity style indexes: Tools for better performance evaluation and plan management. Frank Russel Company white paper.
Harvey, C.R., 1991a. The term structure and world economic growth. Journal of Fixed Income 1, 4-17.
Harvey, C.R., 1991b. The world price of covariance risk. Journal of Finance 46, 111-157.
Harvey, C.R., 1993. Global risk exposure to a trade-weighted foreign currency index. Working paper, Duke University.
Jegadeesh, N., Titman, S., 1993. Returns of buying winners and selling losers. Journal of Finance 48, 65-91.
Kester, C.W., Luehrman, T.A., 1989. Real interest rates and the cost of capital. Japan and the World Economy 1, 279-301.
Kim, D., 1995. The errors in the variables problem in the cross-section of expected stock returns. Journal of Finance 50, 1605-1634.
King, M., Sentana, E., Wadhwani, S., 1994. Volatility and links between national markets. Econometrica 62, 901-934.
Kothari, S.P., Shanken, J., Sloan, R.G., 1995. Another look at the cross-section of expected stock returns. Journal of Finance 50, 185-224.
Lakonishok, J., Shliefer, A., Vishny, R.W., 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49, 1541-1578.
Lintner, J., 1965. The valuation of assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47, 13-37.
Mandelker, G., Tandon, K., 1985. Common stock returns, real activity and inflation: Some international evidence. Journal of International Money and Finance 4, 267-286.
Mark, N.C., 1985. On time-varying risk premia in the foreign exchange market: An econometric analysis. Journal of Monetary Economics 16, 3-18.
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描述 碩士
國立政治大學
國際經營與貿易研究所
92351040
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923510401
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo,Weiyuen_US
dc.contributor.author (作者) 何裕傑zh_TW
dc.contributor.author (作者) Ho, Yu-Chiehen_US
dc.creator (作者) 何裕傑zh_TW
dc.creator (作者) Ho, Yu-Chiehen_US
dc.date (日期) 2005en_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) G0923510401en_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) 92351040zh_TW
dc.description (描述) 94zh_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/#G0923510401en_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 Modelen_US
dc.subject (關鍵詞) Conditionalen_US
dc.subject (關鍵詞) Emerging Marketsen_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 Marketsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Adler, M., Dumas, B., 1983. International portfolio selection and corporation finance: A synthesis. Journal of Finance 38, 925-984.zh_TW
dc.relation.reference (參考文獻) Ando, A., Auerbach, A.J. 1990. Cost of capital in Japan. Journal of the Japanese and International Economics 4, 323-350.zh_TW
dc.relation.reference (參考文獻) Basu, S., 1977. The investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. Journal of Finance 32, 663-682.zh_TW
dc.relation.reference (參考文獻) Berk, J.B., 1995, A critique of size-related anomalies. Review of Financial Studies 8, 275-286.zh_TW
dc.relation.reference (參考文獻) Black, F., 1993. Beta and return. Journal of Portfolio Management 20, 8-18.zh_TW
dc.relation.reference (參考文獻) Bodurtha, J.N., Cho, D.C., Senbet, L.W., 1989. Economic forces and the stock market: An international perspective. Global Finance Journal 1, 21-46.zh_TW
dc.relation.reference (參考文獻) Bollerslev, T.P., Engle, R.F., Wooldridge, J.M., 1988. A capital asset pricing model with time-varying covariances. Journal of Political Economy 96, 116-131.zh_TW
dc.relation.reference (參考文獻) Brennan, M.J., Chordia, T., Subrahmanyam, A., 1996. Cross-sectional Determinants of Expected Returns, Working Paper. University of California, Los Angeles.zh_TW
dc.relation.reference (參考文獻) Breen, W.J., Korajczyk, R.A., 1994. On selection biases in book-to-market based tests of asset pricing models. Working Paper, Northwestern University.zh_TW
dc.relation.reference (參考文獻) Brown, S.J., Otsuki, T., 1990a. Macroeconomics factors and the Japanese equity markets: The CAPMD project, In: Elton, E.J., Gruber, M.J. (Eds.), Ch. 8, Japanese Capital Markets. Harper and Row, New York, pp. 175-192.zh_TW
dc.relation.reference (參考文獻) Brown, S.J., Otuski, T., 1990b. A global asset pricing model. Working Paper, New York University.zh_TW
dc.relation.reference (參考文獻) Capaul, C., Rowley, I., Sharpe, W., 1993. International value and growth stock returns. Financial Analysts Journal, 27-36.zh_TW
dc.relation.reference (參考文獻) Chan, L.K.C., Hamao, Y., Lakonishok, J., 1991. Fundamentals and stock returns in Japan. Journal of Finance 46 (5), 1739-1764.zh_TW
dc.relation.reference (參考文獻) Chan, L.K.C., Jegadeesh, N., Lakonishok, J., 1995. Evaluating the performance of value versus glamour stocks: The impact of selection bias. Journal of Financial Economics 38, 269-296.zh_TW
dc.relation.reference (參考文獻) Chen, N.-F., Richard, R.R., Stephen, R.A., 1986. Economic forces and the stock market. Journal of Business 59, 383-403.zh_TW
dc.relation.reference (參考文獻) Christopherson, J.A., Tritton, D.Y., 1995. Equity style classification system, In: Coggin, T.D., Fabozzi, F.J. (Eds.), The Handbook of Equity Style Management, Frank J. Fabozzi Associates, New Hope, PA.zh_TW
dc.relation.reference (參考文獻) Conrad, J. Kaul, G., 1996. An anatomy of trading strategies. Working Paper, University of North California.zh_TW
dc.relation.reference (參考文獻) Dumas, B., Solnik, B., 1995. The world price of foreign exchange rate risk. Journal of Finance 50, 445-480.zh_TW
dc.relation.reference (參考文獻) Engel, C., Rodrigues, A., 1989. Tests of international CAPM with time-varying covariances.zh_TW
dc.relation.reference (參考文獻) Fama, E.F., French, K.R., 1992. The cross-section of expected returns. Journal of Finance 47, 427-465.zh_TW
dc.relation.reference (參考文獻) Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.zh_TW
dc.relation.reference (參考文獻) Fama, E.F., French, K.R., 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance 51, 55-87.zh_TW
dc.relation.reference (參考文獻) Fama, E.F., MacBeth, J.D., 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy 81, 607-636.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., 1990. Are the latent variables in time-varying expected returns compensation for consumption risk? Journal of Finance 45, 397-430.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., 1996. Warning: Attribute-sorted portfolios can be hazardous to your research, 1996. In: Saitou, S., Sawaki, K., Kubota, K. (Eds.), Modern Portfolio Theory and its Applications, Center for Academic Societies, Osaka Japan ISBN 4-906417-10-2 c3033 p6000E, pp.21-32.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., Harvey, C.R., 1991. The variation of economic risk premiums. Journal of Political Economy 99, 385-415.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., Harvey, C.R., 1993. The risk and predictability of international equity returns. Review of Financial Studies 6, 527-566.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., Harvey, C.R., 1994a. Sources of risk and expected returns in international equity markets. Journal of Banking and Finance 18, 775-803.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E, Harvey, C.R., 1994b. An exploratory investigation of the fundamental determinants of international equity market returns. In: Frankel, J.A. Internationalization of Equity Markets, University of Chicago Press (ISBN 0-226-26001-1), pp. 59-148.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., Harvey, C.R., 1995. Predictability and time-varying risk in world equity markets. Research in Finance 13, 25-88.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., Harvey, C.R., 1998. Fundamental determinants of national equity market returns: A perspective on conditional asset pricing. Journal of Banking and Finance 21, 1625-1665.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., Harvey, C.R., 1999. Conditioning Variables and the Cross Section of Stock Returns. Journal of Finance vol. liv, no. 4, 1325-1360.zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., Kandel, S., Stambaugh, R.F., 1987. Tests of asset pricing with time-varying expected risk premiums and market beta. Journal of Finance 42, 201-220.zh_TW
dc.relation.reference (參考文獻) Frankel, J., 1982. In search of the exchange risk premium: A six currency test assuming mean variance optimization. Journal of International Money and Finance 1, 255-274.zh_TW
dc.relation.reference (參考文獻) Gibbons, M.R., Ferson, W.E., 1985. Tests of asset pricing models with changing expectations and an unobservable market portfolio. Journal of Financial Economics 14, 217-236.zh_TW
dc.relation.reference (參考文獻) Giovannini, A., Jorion, P., 1987. Interest rates and risk premia in the stock market and in the foreign exchange market. Journal of International Money and Finance 6, 107-123.zh_TW
dc.relation.reference (參考文獻) Giovannini, A., Jorion, P., 1989. Time variation of risk and return in the foreign exchange and stock markets. Journal of Finance 44, 307-325.zh_TW
dc.relation.reference (參考文獻) Graham, B., Dodd, D., 1934. Security analysis. McGraw-Hill, New York.zh_TW
dc.relation.reference (參考文獻) Guerard, J.B., Takano, M., 1990. Composite modeling in the Japanese equity markets. Working paper presented at the Berkeley program in Finance.zh_TW
dc.relation.reference (參考文獻) Hamao, Y., 1988. An empirical examination of arbitrage pricing theory: Using Japanese data. Japan and the World Economy 1, 45-61.zh_TW
dc.relation.reference (參考文獻) Hansen, L.P., 1982. Large sample properties of the generalized method of moments estimators. Econometrica 50, 1029-1054.zh_TW
dc.relation.reference (參考文獻) Hansen, L.P., Hordrick, R.J., 1983. Risk averse speculation in forward foreign exchange markets: An econometric analysis of linear models. In: Frenkel, J.A. (Ed.), Exchange Rates and International Macroeconomics. University of Chicago Press, Chicago, IL, pp. 113-152.zh_TW
dc.relation.reference (參考文獻) Hansen, L.P., Singleton, K., 1983. Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of Political Economy 91, 249-265.zh_TW
dc.relation.reference (參考文獻) Harris, T.C., Opler, T.C., 1990. Stock market returns and real activity. Working paper, University of Chicago Press, UCLA.zh_TW
dc.relation.reference (參考文獻) Haugen, R.A., Baker, N.L., 1996. Commonality in the determinants of expected stock returns. Journal of Financial Economics 4, 401-440.zh_TW
dc.relation.reference (參考文獻) Harvey, C.R., 1988. The real term structure and consumption growth. Journal of Financial Economics 22, 305-334.zh_TW
dc.relation.reference (參考文獻) Harvey, C.R., 1989. Time-varying conditional covariances in tests of asset pricing models. Journal of Financial Economics 24, 289-318.zh_TW
dc.relation.reference (參考文獻) Harvey, C.R., 1990. Equity style indexes: Tools for better performance evaluation and plan management. Frank Russel Company white paper.zh_TW
dc.relation.reference (參考文獻) Harvey, C.R., 1991a. The term structure and world economic growth. Journal of Fixed Income 1, 4-17.zh_TW
dc.relation.reference (參考文獻) Harvey, C.R., 1991b. The world price of covariance risk. Journal of Finance 46, 111-157.zh_TW
dc.relation.reference (參考文獻) Harvey, C.R., 1993. Global risk exposure to a trade-weighted foreign currency index. Working paper, Duke University.zh_TW
dc.relation.reference (參考文獻) Jegadeesh, N., Titman, S., 1993. Returns of buying winners and selling losers. Journal of Finance 48, 65-91.zh_TW
dc.relation.reference (參考文獻) Kester, C.W., Luehrman, T.A., 1989. Real interest rates and the cost of capital. Japan and the World Economy 1, 279-301.zh_TW
dc.relation.reference (參考文獻) Kim, D., 1995. The errors in the variables problem in the cross-section of expected stock returns. Journal of Finance 50, 1605-1634.zh_TW
dc.relation.reference (參考文獻) King, M., Sentana, E., Wadhwani, S., 1994. Volatility and links between national markets. Econometrica 62, 901-934.zh_TW
dc.relation.reference (參考文獻) Kothari, S.P., Shanken, J., Sloan, R.G., 1995. Another look at the cross-section of expected stock returns. Journal of Finance 50, 185-224.zh_TW
dc.relation.reference (參考文獻) Lakonishok, J., Shliefer, A., Vishny, R.W., 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49, 1541-1578.zh_TW
dc.relation.reference (參考文獻) Lintner, J., 1965. The valuation of assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47, 13-37.zh_TW
dc.relation.reference (參考文獻) Mandelker, G., Tandon, K., 1985. Common stock returns, real activity and inflation: Some international evidence. Journal of International Money and Finance 4, 267-286.zh_TW
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