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| 研究生： |
黃怡仁 Huang, Yi Jen |
|---|---|
| 論文名稱： |
台灣公司特徵對未來經濟活動的預測能力 The Predictive Power of Firm Characteristics on Real Economic Activities in Taiwan |
| 指導教授： | 郭維裕 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2002 |
| 畢業學年度： | 90 |
| 語文別： | 英文 |
| 論文頁數： | 47 |
| 相關次數： | 點閱：96 下載：4 |
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In this article we examine whether the profitability of trading strategies based on size, book-to-market ratio, momentum, and liquidity can be linked to future GDP growth in Taiwan. Using data from Taiwan Stock Exchange, we find that strategies based on size and book-to-market ratio contain significant information about future economic growth. The predictive ability of these two strategies remains significant after taking the domestic market factor into account. Even in the presence of popular business cycle variables, the strategy based on book-to-market ratio maintains its strong power of predicting future GDP growth. In contrast, there is little evidence to support the hypothesis that the strategies based on momentum and liquidity can predict future GDP growth.
謝辭
Abstract-----1
1.Introduction-----2
2.Data description-----8
2.1 Data description-----8
2.2 portfolio construction-----10
2.3 Characteristics and performance of the HML, SMB, WML, VOL ,DVOL, and TURN strategies-----11
2.4 Country business cycle variables-----12
2.5 Returns on these trading strategies at different states of the real economy-----13
3.Empirical Methodology-----15
4.Empirical Results-----15
4.1 Univariate regression-----16
4.2 Bivariate regression including the market factor-----19
4.3 Multivariate regression including the market factor and two of six factors based on the market anomaly-----21
4.4 Multiple regression including the market factor and business cycle variables-----22
5.Summaries conclusion-----25
References-----27
Table-----30
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