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    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/26183

    Title: 國家主權評等變動對國家基金溢價之影響
    Authors: 陳獻儀
    Contributors: 管理學院;財務金融學系??
    Keywords: 指數股票型基金;國家風險;國家主權信用評
    Date: 2011
    Issue Date: 2013-07-18 15:37:00 (UTC+8)
    Abstract: 本計畫預計以實證方式探討在處於國際投資障礙之下,國家風險因素如何影 響國家基金的定價與溢價表現。更明確的說,本計畫將採用國家主權信用評等變 動事件,檢視國家基金的價格、淨資產價值和溢價程度,在評等變動期間的變化 情形。以往文獻對於「國家基金溢價迷思」的討論,多數經由國際投資直接和間 接障礙之代理變數進行和詮釋,如國際資金流量、流動性和投資人情緒反應等。 然而,依據國際資產定價模式的論點,在國際資產市場處於某種程度區隔性之 下,證券的預期報酬理應同時受到國際風險溢酬和國家風險溢酬等兩項因素的影 響。因此,有別於以往文獻,本計畫將著眼於探討國家基金溢價與國家主權信用 評等變動兩者之間的關聯性,預期將會對現有的國家基金文獻提供額外的貢獻。

    The objective of this project is to empirically examine the impact of country risk on the pricing of country funds and their premiums under barriers to international investment. Specifically, this project expects to provide a comprehensive analysis of effects of sovereign rating changes on country fund premiums, prices, and NAVs using a broad set of country funds. Prior research on ‘country funds premiums puzzle’ has focused on direct and indirect investment barriers and employed some proxy measures for international capital flows, liquidity risk, and investors’ sentiment. However, based on the international asset pricing model, the expected returns of securities should determined jointly by both international and national risk premiums in mildly segmented international capital markets. Hence, unlike previous studies, this project purposes to explore the relationships between country funds premiums and sovereign credit ratings changes. This project should have some contributions to the literature on country funds.
    Appears in Collections:[財務金融學系] 科技部研究計畫

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