| dc.contributor.advisor | 謝淑貞 | zh_TW |
| dc.contributor.author (Authors) | 黃詠嵐 | zh_TW |
| dc.creator (作者) | 黃詠嵐 | zh_TW |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 8-Dec-2010 13:35:23 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 13:35:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 13:35:23 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095351025 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49548 | - |
| 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) | 95351025 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | This article examines the possibility of an unusual change of the security returns, which is defined as 10% changes, by applying recurrent event data technique in survival analysis. The empirical evidences obtained from S&P 500 firms show that the momentum effect has a significantly positive relation with the probability of the acute fluctuations to occur. And the book-to-market factor, which can be seen as a value/growth indicator, is always negatively related to probability of the events. However, the market factor, the size factor, and the liquidity factor provide no additional information to predict the probability. Based on the estimated hazard rate for the market, we find an interesting result that during the bull market, the stock prices rise gradually over time while collapse acutely, and the converse is true when the market is bad. | zh_TW |
| dc.description.tableofcontents | I INTRODUCTION - 1 -II RELATED RESEARCH - 3 -III METHODOLOGY - 6 -3.1 Cox Proportional Hazard Model - 7 -3.2 Semiparametric General Model - 11 -3.3 The Five-Factor Model - 13 -IV EMPIRICAL RESULTS - 16 -4.1 Data Overview - 16 -4.2 Model Estimations - 17 -4.3 Survival & Hazard Functions - 26 -V CONCLUSIONS - 33 -REFERENCES - 35 - | zh_TW |
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| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
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| 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/#G0095351025 | en_US |
| dc.subject (關鍵詞) | 重複事件模型 | zh_TW |
| dc.title (題名) | 以重複事件模型分析股價報酬 | zh_TW |
| dc.title (題名) | Recurrent Event Analysis of Security Returns | en_US |
| dc.type (資料類型) | thesis | en |
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