勤益科大機構典藏:Item 987654321/1899
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    Please use this identifier to cite or link to this item: http://ir.lib.ncut.edu.tw/handle/987654321/1899


    Title: Stochastic Discount Factor and Size Effect in the Taiwan Stock Exchange
    Authors: Jan, Yin-Ching
    Contributors: 工業工程與管理系
    Department of Industrial Engineering and Management
    Keywords: Size effect;Stochastic discount factor
    Date: 2000-12
    Issue Date: 2008-12-01 15:21:57 (UTC+8)
    Publisher: 勤益科技大學
    Abstract: To avoid the ambiguity of joint-hypothesis problem, this study employs the th d norm lower
    bound of stochastic discount factor developed by Snow (1991) to examine the size effect in the Taiwan
    Stock Exchange. The tests significantly reject the hypotheses that the small size portfolios contain no
    more additional information over those contained by the market portfolio. This implies that only use of
    the market portfolio is not enough to correctly price the small size portfolios or firms.
    Relation: 勤益學報 No.18 p.115-126
    Appears in Collections:[National CHIN-YI University of Technology] 勤益學報

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