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題名:修正隨機優勢理論—以台灣股票市場進行實證
作者:陳政德
作者(外文):Cheng-Te Chen
校院名稱:國立成功大學
系所名稱:企業管理學系碩博士班
指導教授:張海青
學位類別:博士
出版日期:2009
主題關鍵詞:月份效應規模效應平均數-變異數隨機優勢January EffectStochastic DominanceSize EffectMonthly EffectMean-Variance Theory
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:42
本研究提出「標準化隨機優勢法」及「上下方報酬分離法」來修正隨機優勢理論,並以台灣上市股票市場進行實證,比較修正的隨機優勢方法是否表現較佳,且同時測試台灣上市股票市場是否存在規模效應(Size Effect)或月份效應(Monthly Effect)。
本研究實證方法包括「累加機率均勻分配法」、「累加報酬均勻分配法」、「上下方報酬分離法」及「標準化隨機優勢法」等,實證結果「標準化隨機優勢法」表現較佳,而「上下方報酬分離法」表現較差。在研究期間實證結果台灣上市股票市場存在小規模公司效應、元月及農曆春節效應,且加入無風險利率之隨機優勢計算中,可更加凸顯小規模公司效應,當考慮交易成本後仍然呈現相同的結果。
因此建議投資者可將「標準化隨機優勢法」運用於投資組合決策之參考,以期獲得較佳的投資績效。
This study proposes the standardized stochastic dominance method as well as lower and upper return separation method for modifying the stochastic dominance theory; and the empirical investigation on Taiwan stock markets to test which method is better. Furthermore, the study examines whether the size effect and monthly effect exist in the Taiwan stock market.
This study adopts the numerous methods for empirical discussion. They include the cumulative probability uniform distribution, cumulative return uniform distribution, lower and upper return separation and standardized stochastic dominance method. The empirical result mainly shows that the standardized stochastic dominance method demonstrates the better performance, but lower and upper return separation method show the worst. Also, the result demonstrate that the small size effect, the January effect and the lunar year effect exist in the Taiwan stock market, when risk-free asset is considered in stochastic dominance method, the small size effect is more obvious.
Therefore, this study suggests that the investor can use standardized stochastic dominance in decision on investment portfolio to obtain the better investment performance.
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