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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/79211

    Title: 極端風險及極端風險報酬的共同變動─以全球市場為例;Tail Risk and Common Variation in Tail Risk Premia around the World
    Authors: 王樹鳳
    Contributors: 國立中央大學財務金融學系
    Keywords: 國際股票市場;極端風險;極端風險溢酬;共同性;International stock Market;Tail risk;Tail risk premium;commonality
    Date: 2019-02-21
    Issue Date: 2019-02-21 15:03:24 (UTC+8)
    Publisher: 科技部
    Abstract: 本篇的計劃在探討全球50國的極端風險及股票的預期報酬率。我們藉由個別股票的極端風險來探討極端風險是否可以被評價,並且探討不同國家的極端風險是否不同,如果有不同則什麼因素造成差異。我們預期極端風險與股票的預期報酬率為正的。另外我們也探討不同國家的極端風險的溢酬是否有共同性以及共同性的來源。我們預期不同國家的極端風險有共同的變動並且此共同的變動來自於美國的景氣風險、全球股票市場報酬率及區域股票市場的報酬率。 ;This proposal investigates the relationship between tail risk and cross-sectional expected stock return for 50 countries. We explore firm-level tail risk pricing as well as the differences in tail risk pricing by country characteristics. We expect that tail risk have positive and significant relation with expected stock return. We also examine commonality in tail risk premium and the source of commonality in tail risk premium. We expect there is a common variation in the tail risk premium across countries and the source of commonality is from US business cycle and global, region stock market return.
    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:[財務金融學系] 研究計畫

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