博碩士論文 106428002 完整後設資料紀錄

DC 欄位 語言
DC.contributor財務金融學系zh_TW
DC.creator范世揚zh_TW
DC.creatorSHIH-YANG FANen_US
dc.date.accessioned2019-7-26T07:39:07Z
dc.date.available2019-7-26T07:39:07Z
dc.date.issued2019
dc.identifier.urihttp://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=106428002
dc.contributor.department財務金融學系zh_TW
DC.description國立中央大學zh_TW
DC.descriptionNational Central Universityen_US
dc.description.abstract對於台灣一個如此依賴進出口的國家,匯率可能直接影響公司獲利而間接影響股價報酬。利用VAR模型搭配Return decomposition方法估計出現金流影響因子和折現率影響因子,再用不同分類的投資組合分別估計出現金流的貝它值和折現率的貝它值作實證分析。從結果中發現,台灣股票市場中,匯率對股價的報酬似乎沒有直接的影響,這樣的結果或許顯示台灣的公司對於匯率的影響十分重視,因此預先於遠期市場利用衍生性金融商品消除匯率風險。zh_TW
dc.description.abstractTaiwan is a country which relies on import and export. Foreign exchange may affect profitability directly and stock returns indirectly. Make use of VAR model and Return decomposition to estimate cash flow factor and discount rate factor, and then estimate the cash flow beta and discount rate beta as an empirical test through different types portfolios. From the result, we find that foreign exchange has no impact on stock returns directly. It may indicate that many companies in Taiwan focus on effect of foreign exchange, so they use derivative financial products in the forward market in advance to eliminate foreign exposure.en_US
DC.subject匯率zh_TW
DC.subject股價報酬zh_TW
DC.subject台灣股票市場zh_TW
DC.subjectForeign Exchangeen_US
DC.subjectStock Returnsen_US
DC.subjectTaiwan Stock Marketen_US
DC.titleThe Beta Decomposition: Foreign Exchange Effect on Returns in Taiwan Stock Marketen_US
dc.language.isoen_USen_US
DC.type博碩士論文zh_TW
DC.typethesisen_US
DC.publisherNational Central Universityen_US

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