| dc.contributor | 財管系 | |
| dc.creator (作者) | Chang, Chun-Pin;Hsu, Yen-Shan | |
| dc.creator (作者) | 張俊評;徐燕山 | zh_TW |
| dc.date (日期) | 2013-07 | |
| dc.date.accessioned | 15-Sep-2015 14:52:06 (UTC+8) | - |
| dc.date.available | 15-Sep-2015 14:52:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 15-Sep-2015 14:52:06 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/78489 | - |
| dc.description.abstract (摘要) | 本文以抗通膨資產做為實質投資人評價實質超額報酬的基礎，推導出二因子實質消費資本資產訂價模型，均衡模型中的二個因子分別是通膨風險因子與消費成長風險因子。實證結果顯示，二因子實質消費資本資產訂價模型可以解釋30.23% 橫斷面股票報酬之變異。在本文架構下，本文導出S+2共同基金定理，這些基金可能為（1） 完全規避通膨風險債券資產；（2） 市場投資組合；（3） S個有高度相關性的投資組合。 | |
| dc.description.abstract (摘要) | This paper derives an inter-temporal asset pricing model in a real-term, continuous-time framework. When inflation-indexed securities are available, we are able to derive a two-factor asset pricing model in terms of consumption growth, and inflation rate change. Under the framework of this paper, we demonstrate that the theorem of S+2 funds separation applies. These funds may be chosen to be: (1) an instantaneously inflation-indexed bond, (2) a market portfolio, and (3) S portfolios having the highest correlations, respectively, with the S state variables. | |
| dc.format.extent | 4841832 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | 經濟研究, 49(2), 297-356 | |
| dc.subject (關鍵詞) | 實質消費;共同基金定理;完全規避通膨風險債券資產 | |
| dc.subject (關鍵詞) | Real Consumption;Mutual Fund Theorem;Inflation-indexed Securities | |
| dc.title (題名) | 二因子實質消費資本資產訂價模型 | zh_TW |
| dc.title.alternative (其他題名) | A Two-Factor Real Consumption CAPM | |
| dc.type (資料類型) | article | en |
