| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo, Wei-Yu | en_US |
| dc.contributor.author (Authors) | 張碧娟 | zh_TW |
| dc.contributor.author (Authors) | Chang, Bi-Juan | en_US |
| dc.creator (作者) | 張碧娟 | zh_TW |
| dc.creator (作者) | Chang, Bi-Juan | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:11:00 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:11:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:11:00 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093351024 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35108 | - |
| 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) | 93351024 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 聯邦模型（Fed Model）為一簡單股市報酬估計模型，認為股市之報酬率與政府十年期公債殖利率相近。本研究以此模型對亞太地區十個市場進行探討，並以反序累積平方和（Reversed Ordered Cusum squared，ROC）的方式偵測市場之結構變異，以做出更精確的預測與分析。所研究的市場包括澳洲、紐西蘭、日本、台灣、南韓、新加坡、香港、泰國、馬來西亞、以及菲律賓。我們得到的結論認為聯邦模型在澳洲、紐西蘭、日本、南韓、新加坡、及菲律賓的確有其效果存在，且在考量可能產生結構變異的時間點後，可使預測準確度提高。因此，我們可採用聯邦模型，做為資產在股市與債市間配置之參考工具。 | zh_TW |
| dc.description.abstract (摘要) | The Fed Model indicates that the stock market returns are very close to the long-term government bond yields. This article examines the Fed model in 10 main Asia-Pacific markets- Australia, New Zealand, Japan, Taiwan, Korea, Singapore, Hong Kong, Thailand, Malaysia, and Philippine. The Reversed Ordered Cusum squared (ROC) test is used to detect the structural changes, and improve the out-of-sample forecasting results. We conclude that the Fed Model has some prediction power in these 10 markets, and can be considered as a useful dynamic asset allocation tool. | en_US |
| dc.description.tableofcontents | List of Figures List of Tables Acknowledgements Abstract 1. Introduction2. Data3. Methodology 3.1 Regression 3.2 Reversed Ordered Cusum Squared (ROC) Structural Change Test4. Empirical Result 4.1 Regression Result 4.2 ROC Structural Change Test and Out-of-sample Forecasting Result5. Conclusion References | zh_TW |
| dc.format.extent | 45277 bytes | - |
| dc.format.extent | 48880 bytes | - |
| dc.format.extent | 12142 bytes | - |
| dc.format.extent | 26218 bytes | - |
| dc.format.extent | 19180 bytes | - |
| dc.format.extent | 143613 bytes | - |
| dc.format.extent | 114524 bytes | - |
| dc.format.extent | 443939 bytes | - |
| dc.format.extent | 13163 bytes | - |
| dc.format.extent | 18782 bytes | - |
| dc.format.extent | 56696 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093351024 | en_US |
| dc.subject (關鍵詞) | 聯邦模型 | zh_TW |
| dc.subject (關鍵詞) | 本益比 | zh_TW |
| dc.subject (關鍵詞) | 十年期政府公債報酬 | zh_TW |
| dc.subject (關鍵詞) | 反序累積平方和 | zh_TW |
| dc.subject (關鍵詞) | 結構變異 | zh_TW |
| dc.subject (關鍵詞) | Fed model | en_US |
| dc.subject (關鍵詞) | PE ratio | en_US |
| dc.subject (關鍵詞) | 10-year government bond yield | en_US |
| dc.subject (關鍵詞) | reversed ordered cumsum squared (ROC) | en_US |
| dc.subject (關鍵詞) | structural change | en_US |
| dc.title (題名) | 聯邦模型在亞太市場之實證研究 | zh_TW |
| dc.title (題名) | The Empirical Study on the Fed Model in Main Asia-Pacific Markets | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1. Asness, C., 2003, “Fight the Fed Model: The relationship between future returns and stock and bond market yields”, Journal of Portfolio Management, 30, 11-24. | zh_TW |
| dc.relation.reference (參考文獻) | 2. Baryshevsky, D., 2003a, “Playing on profits cycle?” Finance, Economics Working Paper Archive at WUSTL. | zh_TW |
| dc.relation.reference (參考文獻) | 3. Baryshevsky, D., 2003b, “What is hidden in the Fed`s model? The second approximation”, Finance, Economics Working Paper Archive at WUSTL. | zh_TW |
| dc.relation.reference (參考文獻) | 4. Baryshevsky, D., 2004, “Pay Attention to Valuation”, Working Paper, http://safehaven.com/showarticle.cfm?id=1408&pv=1. | zh_TW |
| dc.relation.reference (參考文獻) | 5. Berge, K. and Ziemba WT., 2003, “The Predictive Ability Of The Bond Stock Earnings Yield Differential”, Manuscript, University of British Columbia. | zh_TW |
| dc.relation.reference (參考文獻) | 6. Durre A., Giot P., 2004, “Endorse or fight the Fed model? An international analysis of earnings, stock prices and bond yields”, Working Paper, http://www.core.ucl.ac.be/econometrics/Giot/Papers/fedmodel16.pdf. | zh_TW |
| dc.relation.reference (參考文獻) | 7. Faugère, C and Van Erlach, J., “A General Theory of Stock Market Valuation and Return”, Finance Economics Working Paper Archive at WUSTL. | zh_TW |
| dc.relation.reference (參考文獻) | 8. Giot, P. and Petitjean, M., 2004a, “Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Modelling: An International Comparison”, Working Paper, http://www.solvay.edu/EN/Research/documents/GIOT_PETITJEAN.pdf. | zh_TW |
| dc.relation.reference (參考文獻) | 9. Giot, P. and Petitjean, M., 2004b, “Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio”, Working Paper, http://www.crest.fr/seminaires/lfa/BEYR5.pdf. | zh_TW |
| dc.relation.reference (參考文獻) | 10. Koivu, M., Pennanen, T. and Ziemba, WT., 2005, “Cointegration Analysis of the Fed Model”, Preprint submitted to Elsevier Science. | zh_TW |
| dc.relation.reference (參考文獻) | 11. Malkiel, BG, 2004, “Models of Stock Market Predictability”, Journal of Financial Research, 27, 449-459. | zh_TW |
| dc.relation.reference (參考文獻) | 12. Pesaran, HM. and Timmermann, A., 2002, “Market Timing and Return Prediction Under Model Instability”, Journal of Empirical Finance, 9, 495-510. | zh_TW |
| dc.relation.reference (參考文獻) | 13. Salomons, R., 2004, “A tactical implication of predictability: fighting the FED model”, University of Groningen, Research Institute SOM Research Report. | zh_TW |
| dc.relation.reference (參考文獻) | 14. Weigand, RA. and Irons, RR., 2004 “The Market P/E Ratio: Stock Returns, Earnings, and Mean Reversion”, Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | 15. “Outstanding Issues in Finance: A Critical View of the Field”, http://www.albany.edu/~faugere/Outstanding%20Issues%20in%20Finance.htm. Cited 26 May 2005. | zh_TW |
| dc.relation.reference (參考文獻) | 16. “Is the so-called Fed model on stocks broken? ”, CNN money, 13 February 2003, http://money.cnn.com/2003/02/13/markets/fedmodel/, Cited 26 May 2005. | zh_TW |
| dc.relation.reference (參考文獻) | 17. “The Fed Model: Fix It Before You Use It”, The Wall Street Journal, 1 May 2005, http://online.wsj.com/article/SB111491292409921442-search.html?KEYWORDS=%22fed+model%22&COLLECTION=wsjie/archive. | zh_TW |
