Market and Behavioral Factors on Stock Returns-The Application of Markov Regime-Switching Models
碩士 === 國立中山大學 === 財務管理學系研究所 === 99 === In this paper, we use a Fama-French model and Markov regime-switching model to capture time series behavior of many financial variable. Alternatively, classification by cluster analysis help to learn the different characteristics of the sample between stock ret...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69721075326478656529 |