Multi-factor model construction:Taiwan Weighted Stock Index enhanced index fund application
碩士 === 國立中山大學 === 財務管理學系研究所 === 96 === We construct the multi-factor model using fundamental cross-sectional approach in the thesis. We adopt the principal of BARRA’E3 for constructing our multi-factor model. In our study period, we finally obtain 34 significant explanatory factors including 7 risk...
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/9bt6f7 |