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題名:臺股動量策略與反向策略投資績效之研究
書刊名:國立屏東商業技術學院學報
作者:陳正佑 引用關係
作者(外文):Chen, Cheng-yu
出版日期:2006
卷期:8
頁次:頁211-233
主題關鍵詞:動量策略反向策略臺灣股市Momentum strategiesContrarian strategiesTaiwan stock market
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(1) 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:12
  • 點閱點閱:24
期刊論文
1.楊踐為(19961200)。公司規模與一月效應之探討。臺灣經濟金融月刊,32(12)=383,22-29。  延伸查詢new window
2.Brock, W.、Lakonishok, J.、LeBaron, B.(1992)。Simple technical trading rules and stochastic properties of stock returns。Journal of Finance,47(5),1731-1764。  new window
3.Brown, S.、Goetzmann, W.、Ross, S.(1995)。Survival。Journal of Finance,50(3),853-873。  new window
4.Brown, S. J.、Goetzmann, W. N.、Kumar, A.(1998)。The Dow theory: William Peter Hamilton’s track record reconsidered。Journal of Finance,53(4),1311-1333。  new window
5.Claessens, S.、Dasgupta, S.、Glen, J.(1995)。Return behaviour in emerging stock markets。The World Bank Economic Review,9(1),131-151。  new window
6.Hansen, L. P.(1982)。Large sample properties of generalized method of moments estimator。Econometrica,50(4),1029-1054。  new window
7.Jegadeesh, N.、Titman, S.(1993)。Returns to buying winers and selling losers: implications for stock market efficiency。Journal of Finance,48(1),65-91。  new window
8.Jegadeesh, N.、Titman, S.(1995)。Short horizon return reversals and the bid-ask spread。Journal of Financial Intermediation,4(2),116-132。  new window
9.Lehman, B.(1990)。Fads, martingles, and market efficiency。Quarterly Journal of Economics,105(1),1-28。  new window
10.Lo, A. W.、MacKinlay, A. C.(1990)。When are contrarian profits due to overreation?。Review of Financial Studies,3(1),175-205。  new window
11.Rozeff, M. S.、William, K.(1976)。Capital market seasonality: the case of stock market return。Journal of Financial Economics,3(4),379-402。  new window
12.ShilIer, R. J.(1981)。The use of volitility measures in assesing market efficiency。Journal of Finance,36(2),291-304。  new window
13.Wilson, J.(1987)。Can tax loss selling explain the January effect?。Journal of Finance,42(1),291-304。  new window
14.Zarowin, P.(1990)。Size, seasonality and stock market overreaction。Journal of Financial and Quantitative Analysis,25(1),113-125。  new window
15.Chan, Kakeung C.(1988)。On the Contrarian Investment Strategy。The Journal of Business,61(2),147-163。  new window
16.Tinic, S. M.、West, R.(1984)。Risk and return: January v.s. the rest of the year。Journal of Financial Economics,13(4),561-574。  new window
17.Conrad, J.、Kaul, G.(1998)。An Anatomy of Trading Strategies。Review of Financial Studies,11(3),489-519。  new window
18.周賓凰、鍾惠民(19990800)。Formulation versus Holding Horizons, Time Series Predictability and the Performance of Contrarian Strategies。中國財務學刊,7(2),1-27。new window  new window
19.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
20.Bikhchandani, S.、Hirshleifer, D.、Welch, I.(1992)。A theory of fads, fashion, custom, and culture change as information cascades。Journal of Polotical Economy,100(5),992-1026。  new window
21.Jegadeesh, Narasimhan、Titman, Sheridan(1995)。Overreaction, delayed reaction and contrarian profits。The Review of Financial Studies,8(4),973-993。  new window
22.Lo, A. W.、MacKinlay, A. C.(1990)。An econometric analysis of nonsynchronous trading。Journal of Econometrics,45(2),181-211。  new window
23.楊踐為(19970700)。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
24.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance,45(2),379-395。  new window
25.Schiereck, Dirk、De Bondt, Werner、Weber, Martin(1999)。Contrarian and momentum strategies in Germany。Financial Analysts Journal,55(6),104-116。  new window
26.Hirshleifer, David、Subrahmanyam, Avanidhar、Titman, Sheridan(1994)。Security Analysis and Trading Patterns When Some Investors Receive Information Before Others。Journal of Finance,49(5),1665-1698。  new window
27.Scharfstein, David S.、Stein, Jeremy C.(1990)。Herd Behavior and Investment。The American Economic Review,80(3),465-479。  new window
28.Fama, Eugene F.、French, Kenneth R.(1995)。Size and Book-to-Market Factors in Earnings and Returns。The Journal of Finance,50(1),131-155。  new window
29.Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance,54(4),1249-1290。  new window
30.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
31.Ho, Y. K.(1990)。Stock Return Seasonalities in Asia Pacific Markets。Journal of International Financial Management and Accounting,2(1),47-77。  new window
32.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
33.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance,51(5),1681-1713。  new window
34.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
35.Rouwenhorst, K. Geert(1998)。International Momentum Strategies。The Journal of Finance,53(1),267-284。  new window
36.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
37.Jegadeesh, Narasimhan、Titman, Sheridan(2001)。Profitability of momentum strategies: An evaluation of alternative explanations。The Journal of Finance,56(2),699-720。  new window
38.Ahmad, Zamri、Hussain, Simon(2001)。KLSE Long Run Overreaction and the Chinese New-Year Effect。Journal of Business Finance and Accounting,28(1/2),63-105。  new window
39.Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1995)。Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior。The American Economic Review,85(5),1088-1105。  new window
40.Roll, Richard(1977)。A Critique of the Asset pricing Theory's Tests, Part I: On Past and Potential Testability of the Theory。Journal of Financial Economics,4(2),129-176。  new window
41.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
42.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance,49(5),1541-1578。  new window
43.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
44.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
45.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
46.Chan, Kalok、Hameed, Allaudeen、Tong, Wilson(2000)。Profitability of Momentum Strategies in the International Equity Markets。Journal of Financial and Quantitative Analysis,35(2),153-172。  new window
47.Grundy, Bruce D.、Martin, J. Spencer(2001)。Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing。The Review of Financial Studies,14(1),29-78。  new window
48.Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance,54(6),2143-2184。  new window
49.Jegadeesh, Narasimhan(1990)。Evidence of Predictable Behavior of Security Returns。The Journal of Finance,45(3),881-898。  new window
50.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
學位論文
1.劉麗瑜(1991)。臺灣股市之一月效果與其形成因素之探討(碩士論文)。國立臺灣大學。  延伸查詢new window
2.謝朝顯(1994)。追漲殺跌投資組合策略之實證研究--台灣股市效率性之再檢定(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Haugen, Robert A.、郭敏華(2001)。新財務--打破效率市場迷思。臺北:智勝文化。  延伸查詢new window
2.Haugen, R. A.(1999)。The New Finance: The Case Against Efficient Markets。Prentice Hall。  new window
3.White, H.(1984)。Asymptotic theory for Econometricians。Academic Press。  new window
4.Markowitz, H. M.(1959)。Portfolio Selection: Efficient Diversification of Investment。New Haven, CT:Yale University Press。  new window
5.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
 
 
 
 
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