| dc.contributor.advisor | 饒秀華 | zh_TW |
| dc.contributor.author (Authors) | 林庭瑄 | zh_TW |
| dc.creator (作者) | 林庭瑄 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 01:52:24 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 01:52:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 01:52:24 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097351035 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/48889 | - |
| 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) | 97351035 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 投資學上，最重要的就是了解投資的「風險」與「報酬」，學界普遍認同風險和報酬之間應該有著正向關聯，投資人承受風險以換取超額報酬，然而在實證上，仍未能達成一致的共識。在近年的金融風暴中，各種投資標的物的報酬皆下降，似乎也提供了風險和報酬呈現負向關係的佐證。到底風險和報酬之間的關係為何？本文延續前人的討論，對台灣加權股價指數報酬率資料進行實證來探討風險和報酬之間的關聯性。本文利用從2000年4月至2010年3月，近十年的台灣加權股價指數報酬率資料，分別以每日超額報酬平方(MIDAS)、移動視窗(rolling window)以及GARCH-M三種估計方法計算出報酬的條件變異數後，做為風險的替代變數，加入連續時間的投資組合與資產定價模型(Intertemporal CAPM, ICAPM)中來估算出平均報酬係數以及代表性投資人的風險趨避係數以判斷風險和報酬之關係。我的實證結果則顯示最近十年來，台股加權股價指數的預期報酬和風險，確實呈現正相關的趨勢，而三種估計報酬的條件變異數方法中，以每日超額報酬平方(MIDAS)估計最顯著。另外金融風暴影響的期間，2008年4月到2010年3月的樣本中，無論是何種估計方法，都較難以解釋實質報酬的變化。 | zh_TW |
| dc.description.tableofcontents | 中文摘要 I 章節目錄 II 圖表目錄 III 第一章 序論 1 第一節 研究背景 1 第二節 研究動機與目的 3 第三節 研究架構 4 第二章 文獻探討 6 第三章 研究方法 20 第一節 MIDAS估計 20 第二節 移動視窗估計 24 第三節 GARCH-M估計 25 第四章 資料處理和分析實證結果 27 第一節 樣本敘述 27 第二節 MIDAS估計 29 第三節 移動視窗估計 35 第四節 GARCH-M估計 38 第五章 結論與建議 41 第一節 結論 41 第二節 後續研究建議 43 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097351035 | en_US |
| dc.subject (關鍵詞) | 風險 | zh_TW |
| dc.subject (關鍵詞) | 報酬 | zh_TW |
| dc.title (題名) | 風險報酬之關係─台灣加權股價指數實證 | zh_TW |
| dc.title (題名) | There is a risk-return trade-off－an empirical study of Taiwan | en_US |
| dc.type (資料類型) | thesis | en |
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