Searching for Excessively Underpricing Stocks by Cox Model
碩士 === 國立彰化師範大學 === 商業教育學系 === 99 === Survival analysis focuses on the distribution of survival times and models the time it takes for events to occur. A Cox model is a well-recognized statistical technique for exploring the relationship between the survival of a patient and several explanatory vari...
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| Format: | Others |
| Language: | zh-TW |
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2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37277805709985398016 |
| Summary: | 碩士 === 國立彰化師範大學 === 商業教育學系 === 99 === Survival analysis focuses on the distribution of survival times and models the time it takes for events to occur. A Cox model is a well-recognized statistical technique for exploring the relationship between the survival of a patient and several explanatory variables. By regarding underpricing stock as a patient, we apply Cox model to determine whether or not the underpricing stock will be unlisted in the near future. Empirical evidences show that Cox model has remarkable ability to recognize the events that the underpricing stocks will be unlisted or not. Hence, we can find out excessively underpricing stocks through Cox regression model.
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