國家報酬風險、國家報酬偏態與國際資產定價;The Pricing Effect of Country-Specific Risk and Skewness on International Stock Market Returns

NCUIR > School of Management at National Central University > Department of Economics > Research Project > Item 987654321/49748

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/49748

Title:	國家報酬風險、國家報酬偏態與國際資產定價;The Pricing Effect of Country-Specific Risk and Skewness on International Stock Market Returns
Authors:	姚睿
Contributors:	經濟學系
Keywords:	個別報酬風險;個別報酬偏態;資產定價;研究領域：經濟學
Date:	2011-08-01
Issue Date:	2012-01-17 19:14:57 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	In this research, we propose to explore the empirical implications from international asset pricing models. In the existing literature, the mean-return and mean-skewness relations have been heavily tested. We instead investigate these issues from a global portfolio perspective. A parametric model that allows for time-varying idiosyncratic volatility and idiosyncratic skewness is proposed. Furthermore, we assess the pricing implication of the idiosyncratic volatility and idiosyncratic skewness on the expected market index returns. The conclusions drawn from this research will provide insights to the international portfolio decision. 研究期間：10008 ~ 10107
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Economics] Research Project

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