R&;D Expenditures, Time-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 thesis rewrites the four-factor model, developed by Carhart(1997), as a panel smooth transition regression(PSTR) framework, and uses R&;D expenditures as the transition variable in the framework, to evaluate the nonlinear path of stock returns and four...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/h96am7 |