Investor Sentiment,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 === 104 === This thesis rewrite the four-factor model, developed by Carhart(1997), as a panel smooth transition regression(PSTR) framework, and uses margin balance/ financing balance ratio as the transition variable in the framework, to evaluate the nonlinear path of stock...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/dt5a94 |