| dc.contributor.advisor | 鄭宗記 | zh_TW |
| dc.contributor.author (作者) | 顏培俊 | zh_TW |
| dc.contributor.author (作者) | Yen, Pei-Chun | en_US |
| dc.creator (作者) | 顏培俊 | zh_TW |
| dc.creator (作者) | Yen, Pei-Chun | en_US |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 17-九月-2009 18:44:40 (UTC+8) | - |
| dc.date.available | 17-九月-2009 18:44:40 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 18:44:40 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0089354006 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33892 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 統計研究所 | zh_TW |
| dc.description (描述) | 89354006 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 長期性資料(longitudinal data)的最主要特徵是為對多個被觀測個體在不同的時間點上重複測量一個或多個反應變數。而在分析長期性資料的方法中，Laird & Ware(1982)建議以線性混合效果模型(linear mixed effects model，LME)來進行估計分析，此模型方法中，資料可以允許遺失值，並可將受測個體間與個體內的變異分開說明。 另在配適最小平方法(OLS)的迴歸模型中，係數估計經常會受到異常值的影響，而Rousseeuw & Leroy(1987)提出最小消去平方法(least trimmed squares，LTS)的穩健迴歸模型，即是解決最小平方法中對於異常值敏感的問題。 本研究主要針對台灣股票預期報酬之三種模型：資本資產定價模型、特徵模型、因子模型分別以OLS、LTS、LME三種估計方法做配適，並比較配適模型之適當與否，樣本資料為民國七十年七月至九十年六月共252個月516家上市公司股票報酬。實證結果顯示，不論是採用OLS、LTS、LME的估計方法，股票報酬解釋變數：系統風險、公司規模、帳面權益對市值比、SMB、HML皆為股票報酬的顯著解釋因子；而在模型比較方面，不論是配適資本資產定價模型、特徵模型或因子模型，LME都較OLS為較適當配適模型。這顯示了在分析長期性資料時，LME的確是一個較佳的統計分析模型。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論…………………………………………………………….1 第一節 研究動機與目的………………………………………….…1 第二節 研究架構與流程…………………………………………….3第二章 理論回顧……………………………………………………….5 第一節 資本資產定價模式………………………………………….5 第二節 長期性資料分析…………………………………………….7第三章 研究方法………………………………………………………10 第一節 變數定義……………………………………………………10 第二節 時間序列迴歸模型…………………………………………12 第三節 穩健估計分析………………………………………………16 第四節 線性混合效果模型…………………………………………18 第五節 統計資料分析應用軟體……………………………………22第四章 實證分析………………………………………………………24 第一節 資本資產定價模式驗證比較………………………………24 第二節 Fama & French(1992)特徵模型驗證比較……………… 31 第三節 Fama & French(1993)三因子模型驗證比較…………… 37第五章 結論與建議……………………………………………………44參考文獻……………………………………………………………….46 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0089354006 | en_US |
| dc.subject (關鍵詞) | 長期性資料 | zh_TW |
| dc.subject (關鍵詞) | 線性混合效果模型 | zh_TW |
| dc.subject (關鍵詞) | 穩健迴歸模型 | zh_TW |
| dc.subject (關鍵詞) | 資本資產定價模型 | zh_TW |
| dc.subject (關鍵詞) | 因子模型 | zh_TW |
| dc.subject (關鍵詞) | Longitudinal Data | en_US |
| dc.subject (關鍵詞) | Linear Mixed Effects Model | en_US |
| dc.subject (關鍵詞) | Robust Regression Model | en_US |
| dc.subject (關鍵詞) | CAPM | en_US |
| dc.subject (關鍵詞) | Factor Model | en_US |
| dc.title (題名) | 資本資產定價模型之穩健估計分析 | zh_TW |
| dc.type (資料類型) | thesis | en |
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