QFII Shareholdings, Time- and Firm-Varying Risk Premiums and Stock Return: An Application of Nonlinear Four-Factor Model
碩士 === 中原大學 === 國際經營與貿易研究所 === 103 === This study reconstruct the Carhart four-factor model as the panel smooth transition regression (PSTR) framework. We use the change rate of QFII shareholding as the transition variable to investigate the threshold effects on stuck returns. In empirical, we use 4...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/kc4ekm |