NDLTD Global ETD Search
  • Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 1
  • 1
  • Tagged with
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

Search results

Showing 1 to 1 of 1 (0.07 seconds)
1

匯率報酬的三因子 / 3-factor in determinant of exchange rate return

黃祺真, Huang, Chi Chen Unknown Date (has links)
了解影響匯率報酬的因素不論在交易、避險或是投機方面，皆是非常備受關注的議題。本文研究目的是為探討同時運用市場超額報酬、利差交易和動能策略是否更能解釋外匯市場的超額報酬，即表示在實證分析上應用三因子模型有更佳的解釋力。 而本文中使用OLS迴歸及 Fama-Macbeth 兩步驟橫斷面迴歸分析，結果發現皆顯示相較於 Lustig, Roussanov, and Verdelhan (2011) 論文裡的兩因子模型，加入動能策略因子形成的三因子模型在未包含交易成本及考慮交易成本的情況下皆應該是較適切的模型。
匯率報酬
市場報酬
利差交易
動能策略

Page generated in 0.1509 seconds