1. NCCU Academic Hub
  2. Publications
  3. College of Social Science
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 馬可夫轉換模型在投資策略上的應用
作者 馬毓駿
貢獻者 毛維凌
馬毓駿
關鍵詞 馬可夫轉換
投資策略
Capital Asset Pricing Model
Value portfolio Growth portfolio
日期 2000
上傳時間 31-Mar-2016 16:45:17 (UTC+8)
摘要 馬可夫轉換模型是Hamilton(1989)所提出，他應用此模型的非線性特性研究美國的景氣循環。本文將此模型應用到財務領域當中，希望能從財務報表所揭露的某些訊息來掌握該公司在不同期間的報酬率變化，本文選用價值資產效果及公司規模效果，這兩各種效果對資產報酬率的解釋能力最為顯著，假使運用的得宜，模型的預測能力高，則投資者根據不同的資產特性轉換投資策略，長期間能獲得較佳的投資報酬率。同時，應用平滑過程使模型對狀態的認定更為精確，但在公司規模效果得到的成效明顯優於價值型資產效果，離群值的影響明顯對模型的推論造成嚴重的影響，最後，本文也就補救方法的可行性與否做為結論。
參考文獻 Andrew, J. Filardo (1994), “Business-Cycle Phases and Their Transition Dynamics,” Journal of Business & Economic Statistic, 12, 299-308
Banz, R. (1981), “The Relationship between Return and Market Value of Common Stock,”Journal of Financial Economics, 9, 3-18
Capaul, C. , I. Rowley, and W. Sharpe (1993), “International Value and Growth Stock Return,”Financial Analysts Journal, 49, 27-36
Eugene, F. Fama & Kenneth, R. French (1992), “The Cross-Section of Expected Stock Returns, ”The Journal of Finance, 46, 427-465
Eugene, F. Fama & Kenneth, R. French (1998), “Value versus Growth: The International Evidence, ” The Journal of Finance, LIII, 1975-1999
Gabriel Hawawini & Donald B. Keim (1998), “The Cross Section Stock Returns: A Review of the Evidence and Some New Findings, ”Working Paper
Geroge W. Kuo (1997), “Nonlinears Modelling of the Book-to-Market Effect in the UK Stock Market:Some Exploratory Results, ” Working Paper
James, D. Hamilton (1989), “A New Approach to The Economic Analysis of Nonstationary Time Series and The Business Cycle,” Econometrica, 57, 357-384
Louis K. C. Chen, Yasushi Hamao, And Josef Lakonishok (1991), “Fundamentals and Stock Return, ” The Journal of Finance, XLVL, 1739-1764
Rosenberg, B. , K. Reid, and R. Lanstein (1995), “Persuasive Evidence of Market Inefficiency, ”Journal of Portfolio Management, 11, 9-17
Soosung Hwang & Stephen E. Satchell (1999), “The Death of Style in the US Equity Market, ”Working Paper
Thomas, H. Goodwin (1993), “Business-Cycle Analysis With a Markov-Switching Model,”Journal of Business & Economic Statistics, 11, 331-339
描述 碩士
國立政治大學
經濟學系
87258012
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001800
資料類型 thesis
dc.contributor.advisor 毛維凌zh_TW
dc.contributor.author (Authors) 馬毓駿zh_TW
dc.creator (作者) 馬毓駿zh_TW
dc.date (日期) 2000en_US
dc.date.accessioned 31-Mar-2016 16:45:17 (UTC+8)-
dc.date.available 31-Mar-2016 16:45:17 (UTC+8)-
dc.date.issued (上傳時間) 31-Mar-2016 16:45:17 (UTC+8)-
dc.identifier (Other Identifiers) A2002001800en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83469-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 87258012zh_TW
dc.description.abstract (摘要) 馬可夫轉換模型是Hamilton(1989)所提出，他應用此模型的非線性特性研究美國的景氣循環。本文將此模型應用到財務領域當中，希望能從財務報表所揭露的某些訊息來掌握該公司在不同期間的報酬率變化，本文選用價值資產效果及公司規模效果，這兩各種效果對資產報酬率的解釋能力最為顯著，假使運用的得宜，模型的預測能力高，則投資者根據不同的資產特性轉換投資策略，長期間能獲得較佳的投資報酬率。同時，應用平滑過程使模型對狀態的認定更為精確，但在公司規模效果得到的成效明顯優於價值型資產效果，離群值的影響明顯對模型的推論造成嚴重的影響，最後，本文也就補救方法的可行性與否做為結論。zh_TW
dc.description.tableofcontents 封面頁
證明書
論文摘要
壹　緒論
貳　研究方法
參　資料說明與實證結果
肆　結論
參考文獻
附表 & 圖
Appendix		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001800en_US
dc.subject (關鍵詞) 馬可夫轉換zh_TW
dc.subject (關鍵詞) 投資策略zh_TW
dc.subject (關鍵詞) Capital Asset Pricing Modelen_US
dc.subject (關鍵詞) Value portfolio Growth portfolioen_US
dc.title (題名) 馬可夫轉換模型在投資策略上的應用zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Andrew, J. Filardo (1994), “Business-Cycle Phases and Their Transition Dynamics,” Journal of Business & Economic Statistic, 12, 299-308
Banz, R. (1981), “The Relationship between Return and Market Value of Common Stock,”Journal of Financial Economics, 9, 3-18
Capaul, C. , I. Rowley, and W. Sharpe (1993), “International Value and Growth Stock Return,”Financial Analysts Journal, 49, 27-36
Eugene, F. Fama & Kenneth, R. French (1992), “The Cross-Section of Expected Stock Returns, ”The Journal of Finance, 46, 427-465
Eugene, F. Fama & Kenneth, R. French (1998), “Value versus Growth: The International Evidence, ” The Journal of Finance, LIII, 1975-1999
Gabriel Hawawini & Donald B. Keim (1998), “The Cross Section Stock Returns: A Review of the Evidence and Some New Findings, ”Working Paper
Geroge W. Kuo (1997), “Nonlinears Modelling of the Book-to-Market Effect in the UK Stock Market:Some Exploratory Results, ” Working Paper
James, D. Hamilton (1989), “A New Approach to The Economic Analysis of Nonstationary Time Series and The Business Cycle,” Econometrica, 57, 357-384
Louis K. C. Chen, Yasushi Hamao, And Josef Lakonishok (1991), “Fundamentals and Stock Return, ” The Journal of Finance, XLVL, 1739-1764
Rosenberg, B. , K. Reid, and R. Lanstein (1995), “Persuasive Evidence of Market Inefficiency, ”Journal of Portfolio Management, 11, 9-17
Soosung Hwang & Stephen E. Satchell (1999), “The Death of Style in the US Equity Market, ”Working Paper
Thomas, H. Goodwin (1993), “Business-Cycle Analysis With a Markov-Switching Model,”Journal of Business & Economic Statistics, 11, 331-339		zh_TW