An Investigation on the Asset Allocation of Taiwan Stocks by Using Characteristic Model and Risk Factor Model — Application of Seemingly Unrelated Regressions Method
碩士 === 淡江大學 === 財務金融學系 === 92 === Because CAPM cannot explain extended anomalies, we attempt to introduce additional factors to shape the asset-pricing model and forecast the expected return. Using 471 stocks monthly data from July 1991 to June 2003, this study explores four models: chara...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/94509512053772377975 |