定價模型實證分析
Empirical Analyses of Asset Pricing
| 節 | 週三 |
|---|---|
7 15:30–16:20 | 定價模型實證分析 M102（光復） 3 節連堂 |
8 16:30–17:20 | |
9 17:30–18:20 |
* 根據陽明交大上課時間表所列
課程設定於探討定價模型實務研究中,相關財務經濟理論、可得研究資料與計量方法間之聯繫與互動。課程將介紹多種資產價格參數敘述模型與估計量,以為討論動態定價模型相關計量分析的基礎,包含討論藉由限制代理人偏好或加諸分配假設於定價核心與資產報酬之聯合分配而得之線性定價關係。另外,課程也將進一步討論債劵等資產的動態時間結構模型之相關設定與其合適性。
資產評價理論或相關領域知識基礎
無備註
相關研究論文講解與討論為主。
評量方法:課堂參與 (40%)、學期報告 (60%)
Econometric Methods for Analyzing DAPMs
1. Model Specification and Estimation Strategies 2. Large-Sample Properties of Extremum Estimators 3. Goodness-of-Fit and Hypothesis Testing 4. Simulation-Based Estimators of DAPMs
- 其他：
- 100%
Pricing Kernels, Preferences, and DAPMs
1. Pricing Kernals and DAPMs 2. Evidence on Stock-Return Predictability 3. Consumption-Based DAPMs 4. Pricing Kernels and Factor Models
- 其他：
- 100%
No-Arbitrage DAPMs
1. Empirical Analyses of Dynamic Term Structure Models 2. Term Structures of Corporate Bond Spreads 3. Econometric Analysis of Option Prices
- 其他：
- 100%
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction |
| 第 2 週 | Model Specification and Estimation Strategies |
| 第 3 週 | Large-Sample Properties of Extremum Estimators |
| 第 4 週 | Goodness-of-Fit and Hypothesis Testing |
| 第 5 週 | GMM and ML Estimations of Affine Processes |
| 第 6 週 | Simulation-Based Estimators of DAPMs |
| 第 7 週 | Term Structures of Conditional Skewness and Kurtosis |
| 第 8 週 | Marginal Rates of Substitution as q* |
| 第 9 週 | Economic Motivations for Examining Asset Return Predictability |
| 第 10 週 | Empirical Challenges Facing DAPMs |
| 第 11 週 | Beta Representations of Excess Returns |
| 第 12 週 | Models of the Term Structure of Bond Yields |
| 第 13 週 | Empirical Analyses of Dynamic Term Structure Models |
| 第 14 週 | Empirical Studies of Corporate Bonds |
| 第 15 週 | Estimation of Option Pricing Models |
| 第 16 週 | Econometric Analysis of Option Prices |
| 第 17 週 | Econometric Analysis of Option Prices |
| 第 18 週 | 學期報告 |
Selected Papers Reference Books:“Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment” by Kenneth J. Singleton.
- 地點
- 管一館411室
- 時間
- (三)XEF
- 聯絡方式
- Appointment by Email jiahau@faculty.nctu.edu.tw 03-5712121#57078