An Economic Cycle-based Multi-factor Alpha Model— with Application in the Taiwan Market
碩士 === 國立中山大學 === 財務管理學系研究所 === 100 === This study aims to find an effective linear combination of factors in different economic cycle periods and then construct two factor timing multi-factor alpha models, one each for the expansion and contraction periods. Then, we wish to examine a further two ef...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61012186653226652284 |