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題名:認購權證市場之過度反應現象探討
書刊名:風險管理學報
作者:郭文忠 引用關係許雅恩
作者(外文):Guo, Wen-chungSheu, Yaen
出版日期:2003
卷期:5:1
頁次:頁91-108
主題關鍵詞:過度反應贏家-輸家變異數比例檢定認購權證OverreactionWinner-loserVariance ratio testWarrants
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:18
  • 點閱點閱:31
期刊論文
1.Chan, Kakeung C.(1988)。On the Contrarian Investment Strategy。The Journal of Business,61(2),147-163。  new window
2.Liang, Y.、Mullineaux, D. J.(1994)。Overreaction and Reverse Anticipation: Two Related Puzzles?。Journal of Financial Research,17(1),31-43。  new window
3.Blume, M. E.、Stambaugh, R. F.(1983)。Biases in Computed Returns。Journal of Financial Economics,12(3),387-404。  new window
4.Conrad, J.、Kaul, G.(1993)。Long-term market overreaction or biases in computed return。The Journal of Finance,48(1),39-63。  new window
5.Diz, Fernando、Finucane, Thomas J.(1993)。Do the Options Markets Really Overreact?。The Journal of Future Market,13(3),229-312。  new window
6.Dreman, N. D.、Berry, M. A.(1995)。Overreaction, Underreaction, and the Low-P/E Effect。Financial Analysts Journal,51,21-30。  new window
7.Gaunt, C.(2000)。Overreaction in the Australian Equity Market: 1974-1999。Pacific-Basin Finance Journal,8,375-398。  new window
8.Veronesi, P.(1999)。Stock Market Overreaction to Bad News in Good Time: a Rational Expectations Equilibrium Model。The Review of Financial Studies,12(5),975-1007。  new window
9.Wiggins, J. B.(1987)。Option Values Under Stochastic Volatility。Journal of Financial Economics,19(2),351-372。  new window
10.絲文銘(19941000)。股票市場過度反應與風險變化關係之探討。證券市場發展,24,1-40。new window  延伸查詢new window
11.劉玉珍、劉維琪、謝政能(19930500)。臺灣股市過度反應之實證研究。臺大管理論叢,4(1),105-146。new window  延伸查詢new window
12.楊踐為(1997)。臺灣股市之過度反應現象探討。企銀季刊,21(1),46-53。  延伸查詢new window
13.Black, F.、Scholes, M. J.(1973)。The Pricing of Options and Corporate Liability。Journal of Political Economy,81(3),637-659。  new window
14.Fama, Eugene F.(19911200)。Efficient Capital Markets。Journal of Finance,46(5),1575-1617。  new window
15.French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics,17(1),5-26。  new window
16.Dissanaike, G.(1994)。On the computation of returns in tests of the stock market overreaction hypothesis。Journal of Banking & Finance,18(6),1083-1094。  new window
17.Fama, Eugene F.、French, Kenneth R.(1988)。Permanent and Temporary Components of Stock Prices。Journal of Political Economy,96(2),246-273。  new window
18.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
19.Stein, Jeremy(1989)。Overreactions in the Options Market。Journal of Finance,44(4),1011-1023。  new window
20.Baytas, Ahmet、Cakici, Nusret(1999)。Do Markets Overreact: International Evidence。Journal of Banking and Finance,23(7),1121-1144。  new window
21.Lo, Andrew W.、MacKinlay, A. Craig(1990)。When Are Contrarian Profits Due to Stock Market Overreaction?。The Review of Financial Studies,3(2),175-205。  new window
22.Chopra, Navin、Lakonishok, Josef、Ritter, Jay R.(1992)。Measuring Abnormal Performance: Do Stocks Overreact?。Journal of Financial Economics,31(2),235-268。  new window
23.Clare, A.、Thomas, S.(1995)。The Overreaction Hypothesis and the UK Stock Market。Journal of Business Finance and Accounting,22(7),961-973。  new window
24.De Bondt, Werner F. M.、Thaler, Richard H.(1987)。Further Evidence on Investor Overreaction and Stock Market Seasonality。The Journal of Finance,42(3),557-581。  new window
25.Amir, E.、Ganzach, Y.(1998)。Overreaction and Underreaction in Analysts' Forecasts。Journal of Economic Behavior and Organization,37(3),333-347。  new window
26.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。  new window
27.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
28.Lo, Andrew W.、MacKinlay, A. Craig(1988)。Stock market prices do not follow random walks: Evidence from a simple specification test。Review of Financial Studies,1(1),41-66。  new window
29.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
圖書
1.Keynes, John Maynard(1951)。The General Theory of Employment, Interest, and Money。London:Macmillan and Co. Ltd。  new window
 
 
 
 
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