- 期刊
FACTOR ANALYSIS OF EXPECTED HOLDING PERIOD RETURNS: A PRESENT VALUE APPROACH
並列摘要
The paper build a simple model basing on a present value approach to analyze stock returns by using two firm-level elements: book-to-market ratio (BM)and return on equity (ROE).The result shows that the stock returns can be expressed as a linear combination of the BM and ROE. And not only on all industries of the CSRC, but also the results can be tested on the cross section. Further, the paper estimates the stock expected holding period returns. By panel regression of using quarterly data, we find that expected holding returns are time-varying but highly persistent. For all industries of the CSRC, the slope of the mode is 0.2787.
參考文獻
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延伸閱讀
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- Dugan, M. T., Turner, E. H., & Wheatley, C. M. (2017). THE MARKET VALUATION IMPLICATIONS OF PENSION ASSET ALLOCATION AND PENSION ACCOUNTING REFORM. Advances in Quantitative Analysis of Finance and Accounting, (15), 245-272. https://doi.org/10.6293/AQAFA.201712_15.0009
- Taniguchi, M., Chen, C. W. S., Hirukawa, J., Shiraishi, H., Tamaki, K., & Veredas, D. (2012). Statistical Estimation of Portfolios for Dependent Financial Returns. Advances in Decision Sciences, 2012(), 1-3-029. https://doi.org/10.1155/2012/681490
- 朱家慧（2011）。The Investigation of the Tradeoff between Value-at-Risk and Excess Returns〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-1506201113344200
- 魏巧宜、馬麗菁（2017）。Using Hybrid Models to Predict Domestic Equity Fund Performance and Multi-Year Trajectory。資訊管理學報，24(1)，69-95。https://www.airitilibrary.com/Article/Detail?DocID=16085752-201701-201703020015-201703020015-69-95