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    題名: MARGINAL CONDITIONAL STOCHASTIC DOMINANCE BETWEEN VALUE AND GROWTH
    作者: 黃碧香
    關鍵詞: Value, Size
    Stochastic Dominance
    Portfolio Selection
    日期: 2011-11-13
    上傳時間: 2011-11-13 09:21:21 (UTC+8)
    摘要: Marginal Conditional Stochastic Dominance (MCSD) is an extension of the second order stochastic
    dominance that considers the joint nature of return distributions. It is a useful tool for examining marginal
    dominance of one asset to another conditionally to a given market return distribution for all risk-averse
    investors. MCSD is superior to conventional market models in that it requires no modeling specification
    and is distributional free. Although the size and value effect of equity portfolio performance has been
    well documented, most of analysis relies on statistical regression description and/or linear factor models.
    This manuscript applies MCSD to re-exanimate the size/value effects for international equity markets.
    The empirical MCSD test reveals that U.S. value stocks outperformed the market and dominated growth
    stocks for the post 1975 period. However, the phenomenon of value over growth is generally
    insignificant in markets around the world, and it varies with different valuation criteria.
    顯示於類別:[保險金融管理系] 教師升等著作

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