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...

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Bibliographic Details
Main Authors: Hsun-Chiang Li, 李訓強
Other Authors: Chou-Wen Wang
Format: Others
Language:zh-TW
Published: 2011
Online Access:http://ndltd.ncl.edu.tw/handle/69721075326478656529

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