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| Field |
Value |
| Title: | 短期利率、股票風險貼水與市場擇時績效---台灣股市之探討 |
| Other Titles: | Short-Term Rates, Equity Risk Premium and Market Timing---The Case of Taiwan |
| Authors: | 徐燕山 |
| Contributors: | 財務管理學系 |
| Keywords: | 風險貼水;市場擇時;股票市場;短期利率;市場績效;台灣
Risk premium;Market timing;Stock market;Short-term rate;Market performance;Taiwan |
| Date: | 1999 |
| Issue Date: | 2014-09-10 17:47:49 (UTC+8) |
| Abstract: | 本文分別探討短期利率與預期權益證卷溢酬在市場擇時上的績效。研究結果顯示,短期利率或預期權益證卷溢酬均具有相當的市場變動預測能力,短期利率在短期投資期間(三個月、六個月或九個月)的預測表現較佳,而預期權益證卷溢酬則在一年投資期間的預測上表現較佳;然而,整合這兩種預測工具卻無法提高市場預測能力。
This paper examines the market timing abilities in terms of short-term interest rate and expected equity risk premium. The empirical results show that both the short-term rate and expected equity risk premium possess forecasting abilities. The expected equity risk premium has better forecasting abilities for one-year investment horizon, while the short-term rate has better performance in the short-term investment horizons. The combining index through integrating the short-term rate and expected equity risk premium does not outperform either the short-term rate or the expected equity risk premium in market forecasting. |
| Relation: | 行政院國家科學委員會
計畫編號NSC88-2416-H004-002 |
| Data Type: | report |
| DCField |
Value |
Language |
| dc.contributor (Contributor) | 財務管理學系 | en_US |
| dc.creator (Authors) | 徐燕山 | zh_TW |
| dc.date (Date) | 1999 | en_US |
| dc.date.accessioned | 2014-09-10 17:47:49 (UTC+8) | - |
| dc.date.available | 2014-09-10 17:47:49 (UTC+8) | - |
| dc.date.issued (Issue Date) | 2014-09-10 17:47:49 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/69772 | - |
| dc.description.abstract (Abstract) | 本文分別探討短期利率與預期權益證卷溢酬在市場擇時上的績效。研究結果顯示,短期利率或預期權益證卷溢酬均具有相當的市場變動預測能力,短期利率在短期投資期間(三個月、六個月或九個月)的預測表現較佳,而預期權益證卷溢酬則在一年投資期間的預測上表現較佳;然而,整合這兩種預測工具卻無法提高市場預測能力。 | en_US |
| dc.description.abstract (Abstract) | This paper examines the market timing abilities in terms of short-term interest rate and expected equity risk premium. The empirical results show that both the short-term rate and expected equity risk premium possess forecasting abilities. The expected equity risk premium has better forecasting abilities for one-year investment horizon, while the short-term rate has better performance in the short-term investment horizons. The combining index through integrating the short-term rate and expected equity risk premium does not outperform either the short-term rate or the expected equity risk premium in market forecasting. | en_US |
| dc.format.extent | 135 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (Relation) | 行政院國家科學委員會 | en_US |
| dc.relation (Relation) | 計畫編號NSC88-2416-H004-002 | en_US |
| dc.subject (Keywords) | 風險貼水;市場擇時;股票市場;短期利率;市場績效;台灣 | en_US |
| dc.subject (Keywords) | Risk premium;Market timing;Stock market;Short-term rate;Market performance;Taiwan | en_US |
| dc.title (Title) | 短期利率、股票風險貼水與市場擇時績效---台灣股市之探討 | zh_TW |
| dc.title.alternative (Other Titles) | Short-Term Rates, Equity Risk Premium and Market Timing---The Case of Taiwan | en_US |
| dc.type (Data Type) | report | en |
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