Analysis of Dynamic Risk-Return Relation by Cross-Sectional ICAPM in Taiwan Stock Market
碩士 === 銘傳大學 === 財務金融學系碩士班 === 95 === The purpose of this study is to obtain how the expected return and conditional volatility of the Taiwan stock market covary over time. We utilize a cross-sectional approach based on Merton’s (1973) ICAPM that can be implemented in a parsimonious GMM framework to...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/hgpemu |