The Analysis of the Source of the Value Premium in Taiwan Stock Market
碩士 === 銘傳大學 === 國際企業學系碩士班 === 96 === This paper analyze the phenomenon of value premium in Taiwan stock market. We consider the results of value premium are a rational phenomenon or an irrational investor behavior. We use multiple variance ratio tests to test whether the series of value premium is r...
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ndltd-TW-096MCU053210182018-04-10T17:12:10Z http://ndltd.ncl.edu.tw/handle/snhc53 The Analysis of the Source of the Value Premium in Taiwan Stock Market 臺灣股市價值溢酬形成原因之分析 Yung-Yu Chen 陳詠渝 碩士 銘傳大學 國際企業學系碩士班 96 This paper analyze the phenomenon of value premium in Taiwan stock market. We consider the results of value premium are a rational phenomenon or an irrational investor behavior. We use multiple variance ratio tests to test whether the series of value premium is random walk. To improve variance ratio tests in small sample may have bias, we use wild bootstrap to rebuild the sampling distribution of multiple variance ratio tests to prevent the size distortion from type I error. Overall, the results from this study indicate that the value premium in Taiwan is not because of rational or irrational investor behavior, but because of random occurrences. Tzu-Ping Ho 何祖平 2008 學位論文 ; thesis 43 zh-TW |
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碩士 === 銘傳大學 === 國際企業學系碩士班 === 96 === This paper analyze the phenomenon of value premium in Taiwan stock market. We consider the results of value premium are a rational phenomenon or an irrational investor behavior. We use multiple variance ratio tests to test whether the series of value premium is random walk. To improve variance ratio tests in small sample may have bias, we use wild bootstrap to rebuild the sampling distribution of multiple variance ratio tests to prevent the size distortion from type I error. Overall, the results from this study indicate that the value premium in Taiwan is not because of rational or irrational investor behavior, but because of random occurrences.
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author2 |
Tzu-Ping Ho |
author_facet |
Tzu-Ping Ho Yung-Yu Chen 陳詠渝 |
author |
Yung-Yu Chen 陳詠渝 |
spellingShingle |
Yung-Yu Chen 陳詠渝 The Analysis of the Source of the Value Premium in Taiwan Stock Market |
author_sort |
Yung-Yu Chen |
title |
The Analysis of the Source of the Value Premium in Taiwan Stock Market |
title_short |
The Analysis of the Source of the Value Premium in Taiwan Stock Market |
title_full |
The Analysis of the Source of the Value Premium in Taiwan Stock Market |
title_fullStr |
The Analysis of the Source of the Value Premium in Taiwan Stock Market |
title_full_unstemmed |
The Analysis of the Source of the Value Premium in Taiwan Stock Market |
title_sort |
analysis of the source of the value premium in taiwan stock market |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/snhc53 |
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