資產定價模型的非巢式檢定; Non-nested Tests of Asset Pricing Models

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/12257

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12257

Title:	資產定價模型的非巢式檢定;Non-nested Tests of Asset Pricing Models
Authors:	黃進鵬;Jin-pon Huang
Contributors:	財務金融研究所
Keywords:	非巢式;資產定價模型;non-nested;asset pricing models
Date:	2009-01-12
Issue Date:	2009-09-22 14:43:37 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	在財務領域中有許多配適資產報酬率的訂價模型, 但是很少有將數個模型放在一起比較的相關討論。非巢式的模型定式檢定提供我們比較這許多模型的計量工具。在許多的資產定價模型中, 我們選擇了較常見的四個模型做為比較的標的, 分別是Fama-French三因子模型、Ferguson and Shockley 的模型、Liu’s 流動性二因子模型以及Petkova 的模型。檢定的結果因不同的投組報酬而異。當使用以 size 及B/M 排序而得的二十五投組報酬時, 結果呈現出愈晚被提出來的模型其解釋報酬率的能力也愈高。當使用十二個產業別的投組報酬時,Liu’s 流動性二因子模型則較為弱勢。 Many asset pricing models have been proposed to fit the asset returns in the literature, but few studies discuss the relative performance between them. Non-nested model specification tests provide the econometric tools to compare the performance of many models. Of many asset pricing models, we choose popular Fama-French three factor model, Ferguson and Shockley’s model, Liu’s liquidity-augmented model and Petkova’s model as competing models. The results are different with 25 size- and B/M- sorted returns and 12 industry returns. When using 25 portfolio returns, the result has the pattern that the later proposed model has the better ability to explain the variation on returns. While the 12 industry returns is used, Liu’s liquidityaugmented model tends to be the worst model to fit the returns.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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