中國大陸A股溢價率對橫斷面報酬率之影響分析

• Main Author: 連文俐
• Other Authors: 李存修
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/38444304487461420766

碩士 === 國立臺灣大學 === 財務金融學研究所 === 88 === Abstract Many international investors trying to seek for high return and diversification in their portfolio would put their concentration on emerging markets。However，some emerging country often put some restrictions to make sure local ownership. This work is base on the framework of Fama-Frech(1992)，and empirically studies how the price premium of A shares and the volatility of the price premium affect the return of A shares and B shares. This work indicates that three factor model can''t explain the return significantly and implies that the political risk has more influence on the returns on A shares or B shares. The new variable ,the price premium of A shares over B shares is in positive proportion to the return of A shares but in negative proportion to the return of B shares. Besides，it is especially significant in the return of B shares in Shenzhen. When it comes to the volatility of the price premium ，the study demonstrates that the uncertainty in the price ration of A shares is a priced risk for the returns of A shares and B shares ，especially fo