| dc.contributor.advisor | 翁久幸 | zh_TW |
| dc.contributor.author (Authors) | 陳繼舜 | zh_TW |
| dc.creator (作者) | 陳繼舜 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-Sep-2009 20:09:42 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 20:09:42 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 20:09:42 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094354015 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36921 | - |
| 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) | 94354015 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 分量迴歸在近幾年來的應用相當廣泛，但透過貝氏方法估計分量迴歸參數，是由Yu & Moyeed（2001）所提出，拜電腦運算發達之賜而生的新估計方法，因此在實證應用上的研究，貝氏分量迴歸仍在起步的狀態。並且應用馬可夫鍊蒙地卡羅方法的貝氏分量迴歸，在後驗分配的收斂上並沒有類似的探討文獻。因此本研究嘗試以馬可夫鍊蒙地卡羅方法的應用觀點出發，研究運用貝氏方法的分量迴歸估計是否達到馬可夫鍊所重視的收斂至穩態分配，也就是利用模擬資料，探討使用馬可夫鍊蒙地卡羅方法的貝氏分量迴歸在何種情況下，具有較好的收斂情形，以及選擇適當的提議分配。接著以台灣上市公司為例，依電子、紡織以及塑膠產業為別，利用貝氏分量迴歸，觀察民國86~90年，以及91~95年兩區間，股價報酬率在各分量下與財務比率的關連性，並依產業分別進行探討。本論文研究結果指出，貝氏分量迴歸在使用時仍須注意馬可夫鍊的收斂情形，將馬可夫鍊的接受頻率定在約20%~30%為佳，且估計結果與Koenker & Bassett（1978）所提出的無母數方法相當一致。在實證資料的分析上，以電子、紡織以及塑膠產業各別的配適結果來看，都依產業別的不同而具有合理的解釋，但貝氏分量迴歸容易因自變數值域的問題，造成馬可夫鍊接受頻率不理想，以及收斂速度過慢的情形，因此在應用貝氏分量迴歸時，自變數值域的影響需要納入考慮，並仍須選擇適當的提議分配、馬可夫鍊重複次數，所得到的結果才會較佳。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究背景及動機 1第二節 研究目的 3第三節 研究架構 4第二章 文獻探討 5第一節 股價報酬率的影響因素 5第二節 分量迴歸的文獻探討 6第三節 馬可夫鍊蒙地卡羅方法之相關文獻 8第三章 研究方法 10第一節 分量迴歸 10第二節 貝氏分量迴歸 14第三節 馬可夫鍊蒙地卡羅方法 17第四章 模擬與實證分析 24第一節 模擬資料之非線性分量迴歸 24第二節 實證資料描述及來源 29第三節 變數選取與說明 31第四節 基本統計量分析 37第五節 分量迴歸結果 41第五章 結論與建議 47參考文獻 49附 錄 52 | zh_TW |
| dc.format.extent | 47233 bytes | - |
| dc.format.extent | 76171 bytes | - |
| dc.format.extent | 73058 bytes | - |
| dc.format.extent | 80301 bytes | - |
| dc.format.extent | 325211 bytes | - |
| dc.format.extent | 314777 bytes | - |
| dc.format.extent | 342093 bytes | - |
| dc.format.extent | 605715 bytes | - |
| dc.format.extent | 201965 bytes | - |
| dc.format.extent | 76752 bytes | - |
| dc.format.extent | 173970 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/#G0094354015 | en_US |
| dc.subject (關鍵詞) | 分量迴歸 | zh_TW |
| dc.subject (關鍵詞) | 貝氏分量迴歸 | zh_TW |
| dc.subject (關鍵詞) | 馬可夫鍊蒙地卡羅方法 | zh_TW |
| dc.subject (關鍵詞) | 股價報酬率 | zh_TW |
| dc.title (題名) | 貝氏分量迴歸的探討與應用-以台灣股價報酬率資料為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 徐美珍（2003），企業財務危機之預測，政治大學統計研究所碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | 鄭瑞美（2001）股票報酬與財務比率關係之研究--總體經濟因素與產業別之影響，政治大學會計研究所碩士論文 | zh_TW |
| dc.relation.reference (參考文獻) | Bassett, G. & Chen H. L.（2001）”Return-Based Attribution Using Regression Quantiles”, Empirical Economics, Vol. 26, 293-305 | zh_TW |
| dc.relation.reference (參考文獻) | Buchinsky, M.（1995）”Quantile regression, Box-Cox transformation model, and the U.S. wage structure, 1963-1987”, Journal of Econometrics, Volume 65, 109-154 | zh_TW |
| dc.relation.reference (參考文獻) | Bhandari, L. C.（1988）”Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence”, Journal of Finance, Vol. 43, 507-528 | zh_TW |
| dc.relation.reference (參考文獻) | Diaconis, P. & Sturmfels, B.（1998）”Algebraic algorithms for sampling from conditional distributions”, Ann. Statist., Vol 26, 363-397 | zh_TW |
| dc.relation.reference (參考文獻) | Eide, E. & Showalter, M. H.（1998）” The Effect of School Quality on Student Performance: A Quantile Regression Approach”, Economics Letters, Vol. 58, 345-350 | zh_TW |
| dc.relation.reference (參考文獻) | Gelfand, A. E., Hills, S. E., Racine-Poon, A. & Smith, A. F. M.（1990）”Illustration of Bayesian Inference in Normal Data Models Using Gibbs Sampling”, J. Am. Statist. Ass., Vol. 85, No. 412, 972-985 | zh_TW |
| dc.relation.reference (參考文獻) | Gelman A.（1995）”Inference and monitoring convergence.” Markov Chain Monte Carlo in Practice, London: Chapman & Hall, 131-143 | zh_TW |
| dc.relation.reference (參考文獻) | Gelman, A., Roberts, G.. O. & Gilks, W. R.（1996）”Efficient Metropolis jumping rules”, Bayesian Statistics, Vol. 5, 599-607 | zh_TW |
| dc.relation.reference (參考文獻) | Gelman, A. & Rubin, D. B.（1992）”Inference from iterative simulation using multiple sequences” Statist. Sci., Vol. 7, 457-472 | zh_TW |
| dc.relation.reference (參考文獻) | Geyer, C. J. & Thompson, E. A.（1995） ” Annealing Markov Chain Monte Carlo with Applications to Ancestral Inference”, J. Am. Statist. Ass., Vol. 90, No. 431, 909-920 | zh_TW |
| dc.relation.reference (參考文獻) | Hastings, W. K.（1970）” Monte Carlo sampling methods using Markov chains and their applications”, Biometrika, Vol. 57(1), 97-109 | zh_TW |
| dc.relation.reference (參考文獻) | Hendricks, W. & Koenker, R.（1992）” Hierarchical Spline Models for Conditional Quantiles and the Demand for Electricity”, J. Am. Statist. Ass., Vol. 87, No. 417, | zh_TW |
| dc.relation.reference (參考文獻) | Holthausen, R. W. & Lacker, D. F.（1992）”The Prediction of Stock Returns Using Financial Statement Information”, Journal of Accounting and Economics 15, 373-411 | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J. & White, A.（1998）” Value at risk when daily changes in market variables are not normally distributed”, J. Deriv., Vol. 5, No. 3, 9-19 | zh_TW |
| dc.relation.reference (參考文獻) | Hobert, J. P. & Jones, G. L.（2001）”Honest Exploration of Intractable Probability Distributions via Markov Chain Monte Carlo”, Statist. Sci., Vol. 16, 312-334 | zh_TW |
| dc.relation.reference (參考文獻) | Koenker, R. & Bassett Jr., G.（1978）”Regression Quantiles”, Econometrica, Vol. 46, No.1, 33-50 | zh_TW |
| dc.relation.reference (參考文獻) | Koenker & Xiao（2006）”Quantile Autoregression”, J. Am. Statist. Ass., Vol. 101, No. 475, 980-1002 | zh_TW |
| dc.relation.reference (參考文獻) | Martikainen, T.（1993）”Stock returns and classification pattern of firm-specific financial variables: empirical evidence with finnish data”, Journal of Business Finance & Accounting, vol. 20, No. 4, 537-557 | zh_TW |
| dc.relation.reference (參考文獻) | McCulloch, C. E.（1997）” Maximum Likelihood Algorithms for Generalized Linear Mixed Models”, J. Am. Statist. Ass., Vol. 92, 162-170 | zh_TW |
| dc.relation.reference (參考文獻) | Metropolis, N., Rosenbluth, A. W., Rosenbluth, M. N., Teller, A. H. & Teller, E.（1953）”Equation of state calculations by fast computing machines”, J. Chem. Phys. 21, 1087-1092 | zh_TW |
| dc.relation.reference (參考文獻) | Meyn & Tweedie（1993）Markov Chains and Stochastic Stability, London: Springer-Verlag | zh_TW |
| dc.relation.reference (參考文獻) | Muller, P.（1993）”A generic approach to posterior integration and Gibbs sampling”, Tech. Rep., ISDS, Duke University | zh_TW |
| dc.relation.reference (參考文獻) | Ou, J. A. & Penman S. H.（1989）”Financial Statement Analysis and the Prediction of Stock Return”, Journal of Accounting and Economics 11, 295-329 | zh_TW |
| dc.relation.reference (參考文獻) | Pandey, G. R. & Nguyen, V. T. V.（1999）” A comparative study of regression based methods in regional flood frequency analysis”, Journal of Hydrology, Vol. 225,92-101 | zh_TW |
| dc.relation.reference (參考文獻) | Raftery, A. E. & Lewis, S. M.（1995）” Implementing MCMC” Markov Chain Monte Carlo in Practice, London: Chapman & Hall, 115-130 | zh_TW |
| dc.relation.reference (參考文獻) | Spiegelhalter, Thomas & Best（1999）” WinBUGS-A Bayesian modelling framework: Concepts, structure, and extensibility”, Statistics and Computing, Vol. 10, 325-337 | zh_TW |
| dc.relation.reference (參考文獻) | Taylor（1999）”A quantile regression approach to estimating the distribution of multiperiod returns”, J. Deriv., Vol. 24, 64-78 | zh_TW |
| dc.relation.reference (參考文獻) | Tierney, L.（1994）” Markov Chains for Exploring Posterior Distributions”, Ann. Statist., Vol. 22, No. 4, 1701-1762 | zh_TW |
| dc.relation.reference (參考文獻) | Yu, K. & Moyeed, R. A.（2001）”Bayesian Quantile Regression”, Statistics and Probability Letters, Vol. 54, Issue 4, 437-447 | zh_TW |
| dc.relation.reference (參考文獻) | Yu, K. & Stander, J.（2007）”Bayesian Analysis of a Tobit Quantile Regression Model ” | zh_TW |
| dc.relation.reference (參考文獻) | Yu, K., Lu, Z. & Stander, J.（2003)” Quantile Regression: Applications and Current Research Areas”, J. Roy. Statist. Soc. D, Vol. 55, 3-23 | zh_TW |
