三因子Sharpe-Lintner資本資產定價模型聯立體系之檢定

The Joint Test of the Three-Factor Sharpe-Lintner CAPM Model

王朝平(Chao-Ping Wang)

指導教授 ： 黃河泉

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00908

摘要

本篇摘要未授權

關鍵字

三因子模型 ； 最大概似法 ； 一般化動差法 ； 聯合檢定

並列摘要

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並列關鍵字

Three-Factor Model ； Maximum Likelihood Estimates ； Generalized Method of Moments ； Joint Test

參考文獻

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Chan, Louis K., Hamao, Y. and Lakonidhok, J. (1991), "Fundamentals and stock returns in Japan," Journal of Finance, 46, 1739-1789.

Fama, E. F. and French, K. R. (1992), "The cross-section of expected stock returns," Journal of Finance, 47, 427-465.