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dc.contributor.advisor郭晔
dc.contributor.author夏芳灵
dc.date.accessioned2016-02-14T03:32:24Z
dc.date.available2016-02-14T03:32:24Z
dc.date.issued2008-10-14 15:46:00.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/39687
dc.description.abstract股票收益率的影响因素一直是理论界所探索的问题,二十世纪八十年代以来,建立在有效市场假说基础上的资本资产定价理论日益受到来自实证的挑战。包括规模效应、账面市值比效应、收益率反转行为等等在内的证券市场“异象”的发现,为金融资产定价领域带来了一系列变革。学者们一边在探讨理论模型的设定问题,一面也在不断对模型进行实证研究,检验模型的有效性。传统的模拟与检验资本资产定价模型(CapitalAssetPricingModel,CAPM)及各种资产定价模型的方法都是检验模型在均值处的有效性,但是实证结果不同,带来了有很大的争议。 本文根据各种经典的理论研究成果,运用了分位点回归的方法,对股票收益率进行分位...
dc.description.abstractSince 1980s,the Capital Asset Pricing Theory based on Efficient Market Hypothesis has been challenged by much empirical evidence. The so called anomalies on the security market including Size Effect, Value Premium, Reversal Behavior and so on, has brought a serial of revolutions to the field of financial asset pricing theory. On one hand, the researchers seek for improving the theoretical model,...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=17061&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=17556
dc.subject股票收益率
dc.subject分位点回归
dc.subject风险因子
dc.subjectStock return
dc.subjectQuantile regression for panel data
dc.subjectRisk factor
dc.title我国上市公司股票收益率影响因素研究 ——基于面板数据的分位点回归方法
dc.title.alternativeA Study on Returns of Listed Companies in China:A Quantile Regression Analysis of Panel Data
dc.typethesis
dc.date.replied2008-05-24
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院财政金融系_金融学(含保险学)
dc.description.note学号:20051300886


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