Investor sentiment, time-varying risk premiums and stock returns: An application of panel smooth transition regression model
碩士 === 中原大學 === 國際經營與貿易研究所 === 102 === This thesis reconstructs the Fama-French three-factor model as a panel smooth transition regression (PSTR) framework. We use three proxies of investor sentiment as the transition variable to investigate the threshold effects of the proxies on stock returns, and...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/h5g39t |