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| 研究生： |
王裕群 Wang, Yu Chun |
|---|---|
| 論文名稱： |
The Empirical Study on Beta Decomposition - Evidence from Cross-section Industries of Taiwan Stock Market 台灣股票市場貝他係數分解之實證 |
| 指導教授： |
郭維裕
Kuo, Weiyu |
| 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： | 2006 |
| 畢業學年度： | 94 |
| 語文別： | 英文 |
| 論文頁數： | 40 |
| 外文關鍵詞： | Beta Decomposition |
| 相關次數： | 點閱：96 下載：100 |
| 分享至: |
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This paper surveys the method of beta decomposition and the evolution of different type betas in Taiwan stock market. We break the unexpected market return into two different types of news term, which are the discount-rate news about the expected change of discount rate and the cash-flow news about the expected change of future cash dividends, and then, estimate the relationship between these two market news and the return of different cross-section industries. The traditional beta used in financial market is broken into two different betas with different risk price. Our study finds out some evidence about the change in the attitude of investors for our two news term that affect market return.
1. Introduction
2. Methodology
3. Data Construction and News Terms Estimation
4. Beta Decomposition for Industry Portfolios
5. Robust Checks
6. Conclusion
Reference
Appendix
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