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題名：人力所得、條件資本資產評價模式、及橫斷面股票報酬
書刊名：財務金融學刊
作者：黃一祥 引用關係
作者(外文)：Huang, I-hsiang
出版日期：2009
卷期：17:1
頁次：頁41-74
主題關鍵詞：資本資產訂價模式；人力所得風險；系統性風險；條件變數；定價誤差；CAPM；Labor income risk；Systematic risk；Conditioning variable；Pricing error
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(3) 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:0
  • 共同引用共同引用:79
  • 點閱點閱:49
Using Taiwanese stock data, this paper shows that the explanatory power of static CAPM for cross-sectional stock portfolio return is enhanced when return on human capital is considered in measuring aggregate wealth. Unlike the evidence from the U.S. market that the performance of conditional CAPM is considerably better than static CAPM, the evidence from Taiwan stock market indicates that the conditional CAPM performs slightly better than the statistic CAPM and the static CAPM with the consideration of labor income risk. The result can be explained by the fact that the small-growth firms and the big-value firms have significantly positive pricing errors and negative pricing errors respectively. The result does not change substantially after taking various important factor sensitivities and portfolio characteristics into account.
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圖書
1.Cochrane, John. H.。Asset Pricing。Asset Pricing。Princeton, NJ。  new window
圖書論文
1.Mayers, D.(1972)。Nonmarketable assets and capital market equilibrium under uncertainty。Studies in the Theory of Capital Markets。New York, NY：Praeger。  new window
 
 
 
 
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