淡江大學機構典藏:Item 987654321/67299
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    Title: 單因子、三因子或四因子模式? (One-Factor, Three-Factor or Four-Factor Models)
    Other Titles: One-Factor, Three-Factor or Four-Factor Models
    Authors: 顧廣平
    Contributors: 淡江大學財務系
    Keywords: 股票報酬;超額報酬;多因子模式;報酬共通時間序列變異;平均報酬橫斷面變異;Stock Return;Abnormal Return;Multiple Factor Model
    Date: 2002-12-20
    Issue Date: 2011-10-22 22:51:23 (UTC+8)
    Abstract: 本研究評估多種因子模式在解釋台灣股票報酬變異的適用性,這些模式包括 Black, Jensen and Scholes的單因子模式、Fama and French的三因子模式和 Carhart的四因子模式,以及由本研究所建構之市場、成交量、營收市價比三因子模式與市場、成交量、營收市價比、動能四因子模式。結果顯示Black, Jensen and Scholes、Fama and French與Carhart等三種因子模式似乎不太適用於台灣股市,而結果建議市場、成交量、營收市價比、動能四因子模式是一個較佳的選擇。
    Relation: 第一屆北商學術論壇研討會論文集,12頁
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Proceeding

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