Time variation in systematic risk for value, growth, big and small stocks: Evidence from global stock markets
碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 101 === This study uses DCC-GARCH model to examine time variation in systematic risk and defensive characteristics for value, growth, big and small portfolios in G7 and in non-G7stock markets. The study period is from January 1, 1993 to December 31, 2010. Moreover...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/3q64ky |