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系統識別號 U0026-0812200914092669
論文名稱(中文) 多重比較方法運用在資本資產定價模型之研究
論文名稱(英文) Multiple Comparison Procedures for the Capital Asset Pricing Models
校院名稱 成功大學
系所名稱(中) 統計學系碩博士班
系所名稱(英) Department of Statistics
學年度 96
學期 2
出版年 97
研究生(中文) 沈銘玉
研究生(英文) Ming-Yuh Shen
學號 r2695407
學位類別 碩士
語文別 英文
論文頁數 80頁
口試委員 指導教授-陳占平
指導教授-溫敏杰
口試委員-杜宜軒
中文關鍵字 資本資產定價迴歸模型  學生化全距  聯合信賴區間  最大概似估計 
英文關鍵字 Maximum likelihood estimates  Capital Asset Pricing Model  Simultaneous intervals  Studentized range 
學科別分類
中文摘要 在資本資產定價迴歸模型下,假設資料具有共同且未知的變異數,以具有共同且為非負值的相關係數。本研究的目的在於建立多重比較程序方法來比較各資產間的風險績效是否完全相同、與將市場走勢視為標準進行比較或找出最佳的資產風險績效。並建立聯合信賴區間用來進行比較並建立統計表。最後,將本研究中的方法應用於美國及台灣的大型共同基金上,提供給投資者另一種投資參考的準則。
英文摘要 Under the system of the capital asset pricing regression models, it is assumed that the common variance is unknown and the common correlation is a given non-negative value. The propose is to develop multiple comparison procedures to compare the performance with each other, to find assets which are better than the standard, or to identify the best of the rest. Simultaneous confidence intervals approach is used for each type of comparison and statistical tables to implement these procedures are given. These methods are applied to financial data on large mutual funds in U.S. and Taiwan stock markets, respectively.
論文目次 1 Introduction 1
2 Model Construction and Parameters Estimation 3
3 Multiple Comparisons with Each Other 10
4 Multiple Comparison with a Control 13
5 Multiple Comparison with the Best of the Rest 16
6 Real Example 20
6.1 Mutual Funds in US 20
6.2 台灣股票基金 26
6.2.1 分散型股票基金 26
6.2.2 科技類股票基金 31
7 Conclusion and Discussion 37
References 38
Appendix A 39
Appendix B 51
Appendix C 79
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