Li, Nasha. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 28-30). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / ACKNOWLEDGEMENTS --- p.iii / Tables and Figures --- p.v / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.2 / Chapter 3. --- Factor-Augmented Regression Framework --- p.6 / Chapter 3.1 --- Estimation of latent factors --- p.8 / Chapter 3.2 --- Number of factors --- p.9 / Chapter 3.3 --- Interpretation of the factors --- p.11 / Chapter 4. --- Data --- p.12 / Chapter 5. --- Empirical Results --- p.13 / Chapter 5.1 --- Common factors --- p.13 / Chapter 5.2 --- Descriptive analysis --- p.16 / Chapter 5.3 --- Macroeconomic factors and excess returns predictability --- p.18 / Chapter 5.3.1 --- In-sample specifications --- p.18 / Chapter 5.3.2 --- Out-of-sample prediction performance --- p.24 / Chapter 6. --- Conclusion --- p.26 / Reference --- p.28 / Appendixes --- p.31 / Appendix I: Tables and Figures --- p.31 / Appendix II: Data --- p.52 / Appendix III: Calculation of the Fama-French three factors --- p.59
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327241 |
| Date | January 2010 |
| Contributors | Li, Nasha., Chinese University of Hong Kong Graduate School. Division of Economics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, v, 60 leaves : ill. ; 30 cm. |
| Coverage | China, China |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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