1 |
條件式資產訂價模型在新興市場之實證研究 / Empirical Analysis of Conditional Asset Pricing Model in Emerging Markets何裕傑, Ho, Yu-Chieh Unknown Date (has links)
The task of this paper is to employ the global asset pricing theory suggested by Ferson and Harvey (1995) to study the stock markets in the devoloping countries. Ferson and Harvey (1998) clarified the relationship in the developed countries under the global asset pricing model between mispricing and risks to cross-sectional explanatory power of conditional beta constructed by predetermined lagged variable such as book-to-market-value, cash-flow, P/E ratios and other determinants. There is also significant evidence of conditional betas in the three-factor model by Fama and French (1993), and the four-factor model by Elton, Gruber, and Blake (1995), and in the following research by Ferson and Harvey (1999). This paper focuses on the recently fast growing emerging markets to provide analysis of the debate on explanatory power coming from risk exposure or mispricing, and also tries to provide evidence for the global conditional asset pricing model, identifying other patterns of conditional asset pricing model for emerging markets.
|
2 |
金融控股公司之資本配置與績效評估胡涵棻 Unknown Date (has links)
本研究引用Myers and Read(2001)邊際違約價值相等原則進行資本配置。以金融控股公司為對象,考慮市場資產及負債,將金融控股公司各子公司資產負債之加總。利用Margrabe(1978)交換選擇權評價模型計算違約價值,推導各子公司邊際違約價值公式,利用邊際違約價值相等計算資本配置。由Cummins and Phillips(2005)估計產險公司各個險種之資本成本,利用CAPM及Fama-French三因子模型估算beta值,估計充分資訊下各子公司beta值與資本成本,最終利用風險調整報酬(RAROC)比較配置資本報酬與資本成本,進行績效評估。
|
3 |
一般化動差估計分析方法資產訂價模型之應用李沃牆, LI, WO-QIANG Unknown Date (has links)
Lucas(1976) 批評當時總體時間序列的計量分析方法,且主張傳統計量模型參數會隨體制及政策而改變,基於這些評論,於是許多對。嗜好(Taste)"及"技術"(Technology)" 結構參數估計的進論方法偭開始使用動態模型中的尤拉最適化條件(Euler Optimality Conditios)來進行估計。
然而,其中以Hansen(1982)所提出來的一般化動差估計法(Generalized Method of Moments)(簡稱GMM)最受矚目。此法乃源於一般化工具變數(GIVE),在不需強烈假設下進行估計。其估計過程大致可分為下列三個階段:
1.建立正交化條件え建立目標函數最小化2.過度確認限制(overidentifying restriction) 之檢定問題因其本身即涵蓋許多估計式,如GIVE,MLE,2SLS, 且能滿足有限樣本性質,快速數斂。此法目前已用於總體計量,非線性理性預期實證及財務金融計量上。而本文應用台灣總體時間序列於資產訂價模型的GMM參數估計過程,證明了資料的適用性。另外,蒙地卡羅(Monte Carlo) 實驗設計模擬亦應用在本文研究,來探討有限樣本下的統計量之行為,並獲致適當的推論。 / Lucas(1976) criticized the existing strategies for econometricic analysis of macroeconomic time series and argues that papameters of traditional econometric models are not invariant with respect to shifts in policy regimes. In response to that criticism, several inference strategies for "taste and technology" structural parameter models using Euler optimality conditions in dynamic models were suggested.
Hansen's(1982) Generalized Method of Moments(henceforth GMM) instrumental
variables procedure is among the most notable inference strrategies
for structural parameters.
The procedure of GMM may consist three steps: (l)Set-up of the orthogonality
conditions (2).Minimizing the objective function. (3)Test
of the overidentifying restrictions
In this paper we can understand the statistical properties of GMM
estimator of Consumption-Based structural parameters obtained from
Capital Asset Pricing Model by the use of Monte Carlo Simualtion .
|
4 |
股價評估模式的選擇--以台灣科技公司台達電為例 / A case study of how to choose the fittest model to value a company--Delta electronic company胡華盛, Hu, John Unknown Date (has links)
本研究從了解台達電公司的背景,整體環境,產品的前景與市場獲利,公司結構和近來動向,技術合作生產方面,重要轉投資活動,達電與上下游廠商之間的關係和在產業中的優劣勢分析出發,對公司的背景有了透澈的了解後,開始以既有的財務報表 (民國76~87年) 為基礎對達電預估民國88~92年的財務報表,並且以學術的評估公司價值理論套用進來,如資產評價模型 (CAPM),競爭優勢期間 (Competitive advantage period),股利折現模型 (Gordon model),附加經濟價值模型 (EVA),修正附加經濟價值模型 (REVA),自由現金流量法 (Free cash flow),指標盈餘法 (indexed earnings),本益比 (P/E)、市價淨值比 (P/B) 和市價銷售比法 (P/S) 等,以了解這些模型對達電的適用性,並對上述的模型提出其是否適用的原因,作為日後評價類似台灣科技產業的參考。
此實例研究重點仍在如何將公司預估的財務報表作一系性地連結,並且建立在對其基本面的理解,完成此紮實的基礎再套用不同的評價理論,結論是以自由現金流量和相對價值模型: 本益比 (P/E)、市價淨值比 (P/B) 和市價銷售比法 (P/S),這些模型較能和市場價值近似。解釋原因: 自由現金流量和科技產業的特性有關,能對其大量的折舊稅值現金流入和儘量發放股票股利代替現金分配的因素加以考量,本益比 (P/E)、市價淨值比 (P/B) 和市價銷售比法 (P/S) 則因台灣有不少性質近似的同業和本身的歷史報表作為比較基礎,故使用起來亦方便且有效。
第一章 緒論
第一節 研究動機與目的
第二節 研究範圍與限制
第三節 研究架構
第二章 文獻探討
第三章 研究達電公司
第一節 達電簡介
第二節 整體環境
第三節 產品的前景與市場獲利
第四節 公司結構和近來動向
第五節 技術合作生產方面
第六節 重要轉投資活動
第七節 達電與上下游廠商之間的關係
第八節 達電經營團隊的領導作風與政府和勞資的關係
第九節 達電在產業中的優劣勢分析
第四章 研究設計
第一節 研究假說
第二節 資料描述
第五章 實證結果
利用競爭優勢期間求算達電股價
以對權益的自由現金流量法
利用現金股利折現模型
以投資機會方法 (investment opportunities approach)
運用q (盈餘保留率) 的價格
指標盈餘 (indexed earnings) 方法
以EVA和REVA法求算達電經營績效
以本益比、市價淨值比和市價銷售比法
敏感性分析
第六章 結論與建議
參考文獻:
附錄 / There are many valuation models, such as CAPM, competitive advantage period model, Gordon dividend discount model, economic value added model, revised economic value added model, free cash flow model, and relative pricing models such as P/E, P/B and P/S, etc… But what is the fittest model for the high-tech stocks in Taiwan? In my thesis I picked Delta electronic company for my case study because it is one of the fastest growing corporations that is representative of the industry on this island. I started with understanding the fundamentals, strategy, strength, weakness, opportunity and the threat of Delta by analyzing its industry, structure, products and its affiliates domestically and abroad. On the basis of the existing financial statements of the past 12 years (1987~1998), I built the next 5-year ones (1999~2003). Then I applied the valuation models to find out the intrinsic value of Delta based on the information from my analysis, magazines, the internet, the library and other resources.
To sum up, this study pointed that the free cash flow model and the relative pricing models including P/E, P/B and P/S could fit the market well. Others are a little away from the quotes of the market. After all, the conclusion is not decisive that other models will never capture the value of the high-tech company like Delta electronic. However the main contribution of this research is the consistence of Delta's projected financial statements. They all connect all together. And all is based on the fundamentals of the company and the industry. Their relationship is what this case study accounts.
With this maneuver in the company's accounting numbers step by step, the market participants can apply to other similar companies in Taiwan high-tech industry as well. Or this can contribute to the academics for the scholars to study further on similar issues down the road.
|
5 |
一般均衡利率期限結構理論─台灣公債市場之實證研究廖志峰 Unknown Date (has links)
利率是影響金融市場中金融工具的主要因素,對經濟體系而言,是貨幣面與實質面的橋樑,代表使用負債資金所需支付的成本;對法人機構、投資個人而言,利率是進行任何融資、投資活動的重要參考指標。近年來,利用一般均衡、無套利評價理論來研究利率期限結構和利率或有請求權(Contingent Claims)訂價的文獻有如雨後春筍一般;另一方面,由於時間序列(Time Series)於1980年代的快速發展,諸如:ARCH家族、GARCH家族、隨機變異性(Stochastic Volatility),兩套方法互相結合運用,有愈來愈多文獻顯示,其對現實的利率期限結構具有一定水準的解釋能力。
隨著國際金融市場的多元化、自由化與無國界化,金融創新與金融商品的大量問世,如何合理估計利率期限結構,以運用於投資決策、或預測未來利率走勢,及對利率風險的管理,這都隱含利率期限結構的重要性。本文擬針對著一般均衡利率期限結構模型加以分析,並驗證在我國公債市場應用的可行性。
一般均衡利率期限結構模型,由Cox、Ingersoll and Ross(1985a、b)正式提出,其為單因子一般均衡利率期限結構模型;Longstaff and Schwartz(1992)提出二因子一般均衡利率期限結構模型,因其利率期限結構隱含一個限制式,故LS兩因子實證模型以差分形式進行,故將損失兩個參數(gamma、eta);基於此點,本文試圖採用Gibbons and Ramaswamy(1993)的實質報酬率觀念,希望經由調整物價因素後的殖利率樣本資料,可消除時間趨勢不穩定的因子,藉以判斷包含(gamma、eta)的完整兩因子一般均衡模型是否能更充分解釋利率期限結構;另一方面,亦可透過Gibbons and Ramaswamy(1993)的實質報酬率觀念,觀察二因子一般均衡利率期限結構模型所獲得的名目利率期限結構與實質利率期限結構的差異。
本文實證結果並不令人滿意,調整物價因素後的殖利率樣本資料,仍存在不穩定的情況;本文以差分與模擬的方式,建構出台灣公債市場利率期限結構。另一方面,亦發現本文調整物價因素的方法,在較長的樣本期間下並不適宜。
|
Page generated in 0.1684 seconds