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題名 台灣股市貝它值之研究
The partial adaptive estimation of CAPM with censorship in an emerging market
作者 林則君
Lin, Che-Chun
貢獻者 郭維裕
林則君
Lin, Che-Chun
日期 2001
上傳時間 18-Sep-2009 18:57:16 (UTC+8)
摘要 
The Partial Adaptive Estimation of CAPM with Censorship in an Emerging Market
     Che-Chun Lin
     The Department of International Trade National Chengchi University
     
     Abstract
      The daily data of stock returns in Taiwan stock market suffer from thin trading, price limits and non-normality that either cause specific estimation problems due to the daily characteristic or violate the assumption of traditional CAPM. These violations of the traditional market model could cause serious biases in estimation of beta. This paper takes use of the Aggregate Model, Partial Adaptive Model, and Two-limit Logit Model to tackle the problems resulting from the violations. The empirical results are consistent with previous literatures, and indicating that the partial adaptive estimator with censorship has the highest likelihood value. Meanwhile, the result also reveals that size and liquidity do play important roles in affecting the behaviors of stock returns in different ways.
描述 碩士
國立政治大學
國際經營與貿易研究所
89351031
90
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCU2662012
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 林則君zh_TW
dc.contributor.author (Authors) Lin, Che-Chunen_US
dc.creator (作者) 林則君zh_TW
dc.creator (作者) Lin, Che-Chunen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Sep-2009 18:57:16 (UTC+8)-
dc.date.available 18-Sep-2009 18:57:16 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 18:57:16 (UTC+8)-
dc.identifier (Other Identifiers) G91NCCU2662012en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/36604-
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) 89351031zh_TW
dc.description (描述) 90zh_TW
dc.description.abstract (摘要) zh_TW
dc.description.abstract (摘要) The Partial Adaptive Estimation of CAPM with Censorship in an Emerging Market
     Che-Chun Lin
     The Department of International Trade National Chengchi University
     
     Abstract
      The daily data of stock returns in Taiwan stock market suffer from thin trading, price limits and non-normality that either cause specific estimation problems due to the daily characteristic or violate the assumption of traditional CAPM. These violations of the traditional market model could cause serious biases in estimation of beta. This paper takes use of the Aggregate Model, Partial Adaptive Model, and Two-limit Logit Model to tackle the problems resulting from the violations. The empirical results are consistent with previous literatures, and indicating that the partial adaptive estimator with censorship has the highest likelihood value. Meanwhile, the result also reveals that size and liquidity do play important roles in affecting the behaviors of stock returns in different ways.
en_US
dc.description.tableofcontents 1. Introduction-----2
     2. The data-----6
     3. Methodology-----10
     4. Empirical results-----16
     5. Conclusion-----22
     Reference-----24
     Appendix-----26
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCU2662012en_US
dc.title (題名) 台灣股市貝它值之研究zh_TW
dc.title (題名) The partial adaptive estimation of CAPM with censorship in an emerging marketen_US
dc.type (資料類型) thesisen