A Comprehensive Study to Out-of-Sample Equity Premium Prediction

Thesis

Liao, Fang-I

Masters, 國立清華大學, 計量財務金融學系

2014

Abstract

虛假迴歸

不平衡迴歸

AR近似估計

緩長記憶

LAD估計

股價報酬預測偏誤

追蹤資料

Spurious regression

Imbalanced regression

AR approximation

Long memory processes

Least Absolute Deviation (LAD)

Equity premium puzzle

Panel data

因申請專利緣故，資料延後公開

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Title: A Comprehensive Study to Out-of-Sample Equity Premium Prediction
Translated title: A Comprehensive Study to Out-of-Sample Equity Premium Prediction
Creators: Liao, Fang-I
Contributors: Wang, Shin-Huei (Advisor)
Awarding Institution: 國立清華大學, 計量財務金融學系; Masters
Theses and Dissertations: Masters, 國立清華大學, 計量財務金融學系
Language: English
Resource Type: Thesis
Date published: 2015