Four-factor model for the different performance between bullish and bearish market: analysis using Quantile Regression
碩士 === 義守大學 === 財務金融學系碩士班 === 96 === This paper tries to examine the excess returns of industry in U.S.A. through four-factor model proposed by Carhart in 1997. According to the definition of market states by Cooper in 2004, we try to understand the different effects of risk factors in the bullish m...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61762265258142116046 |