The relation between stock returns and fundamental factors
碩士 === 國立中正大學 === 國際經濟所 === 93 === The principal purpose of this thesis is to re-examine the relation between stock returns and fundamental factors. This thesis studies the period from 1984 to 2002 using accounting data collected from the COMPUSTAT data. This thesis finds following results：First, th...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/64524373622763766146 |
| Summary: | 碩士 === 國立中正大學 === 國際經濟所 === 93 === The principal purpose of this thesis is to re-examine the relation between stock returns and fundamental factors. This thesis studies the period from 1984 to 2002 using accounting data collected from the COMPUSTAT data. This thesis finds following results：First, the non-linear model can state the relation between the stock return and fundamental factors accurately even more than the linear model. Second, whether exclude financial companies from data have a little difference in linear model results but widely different to the non-linear model results. Third, the non-linear model results of pre-1990 (before America economic prosperity) is different to post-1990 (after America economic prosperity).
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