On Factor- and Characteristic- Based Explanations of Size and BM Anomalies
碩士 === 國立中央大學 === 財務金融研究所 === 94 === We show a CAPM framework and use different sorting ways to derive implied returns. We take advantage of Fama-MacBeth (1973) cross-section regression to test whether size and BM are included into this implied return. The results display that the implied return onl...
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2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89209579466859647834 |
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ndltd-TW-094NCU053040102015-10-13T16:31:35Z http://ndltd.ncl.edu.tw/handle/89209579466859647834 On Factor- and Characteristic- Based Explanations of Size and BM Anomalies 規模和帳面市值比之探究:因子與特徵觀點 Chiu-Fen Lee 李秋芬 碩士 國立中央大學 財務金融研究所 94 We show a CAPM framework and use different sorting ways to derive implied returns. We take advantage of Fama-MacBeth (1973) cross-section regression to test whether size and BM are included into this implied return. The results display that the implied return only has significantly explaining power under some sorting ways in post-1981 period. However, it can not subsume size and BM effects. In addition, we also make use of the expected return which is derived from Characteristic model and three-factor loadings to run cross-section regression. We find that the characteristic model has greater explaining power than three-factor model. Nevertheless, size and BM effects cannot be absorbed by the factor or characteristic model. Pin-Huang Chou 周賓凰 2006 學位論文 ; thesis 29 en_US |
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NDLTD |
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en_US |
| format |
Others
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| sources |
NDLTD |
| description |
碩士 === 國立中央大學 === 財務金融研究所 === 94 === We show a CAPM framework and use different sorting ways to derive implied returns. We take advantage of Fama-MacBeth (1973) cross-section regression to test whether size and BM are included into this implied return. The results display that the implied return only has significantly explaining power under some sorting ways in post-1981 period. However, it can not subsume size and BM effects. In addition, we also make use of the expected return which is derived from Characteristic model and three-factor loadings to run cross-section regression. We find that the characteristic model has greater explaining power than three-factor model. Nevertheless, size and BM effects cannot be absorbed by the factor or characteristic model.
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| author2 |
Pin-Huang Chou |
| author_facet |
Pin-Huang Chou Chiu-Fen Lee 李秋芬 |
| author |
Chiu-Fen Lee 李秋芬 |
| spellingShingle |
Chiu-Fen Lee 李秋芬 On Factor- and Characteristic- Based Explanations of Size and BM Anomalies |
| author_sort |
Chiu-Fen Lee |
| title |
On Factor- and Characteristic- Based Explanations of Size and BM Anomalies |
| title_short |
On Factor- and Characteristic- Based Explanations of Size and BM Anomalies |
| title_full |
On Factor- and Characteristic- Based Explanations of Size and BM Anomalies |
| title_fullStr |
On Factor- and Characteristic- Based Explanations of Size and BM Anomalies |
| title_full_unstemmed |
On Factor- and Characteristic- Based Explanations of Size and BM Anomalies |
| title_sort |
on factor- and characteristic- based explanations of size and bm anomalies |
| publishDate |
2006 |
| url |
http://ndltd.ncl.edu.tw/handle/89209579466859647834 |
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