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題名：Stock Returns and Changes in the Business Cycle
書刊名：Asia Pacific Management Review
作者：Chen, Ming-hsiang
出版日期：2005
卷期：10:5
頁次：頁321-327
主題關鍵詞：Production asset pricing model；Business cycle；Stock returns；Taiwan
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(1) 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:9
  • 點閱點閱:26
This study employs the production asset pricing model of Brock (1982) to examine whether changes in the business cycle can be predicted, and whether there exists a link between stock returns and forecasted changes in the business cycle. The gross domestic product (GDP) and industrial production (IP) are used as the proxies for the business cycle. The predictability of changes in the business cycle and the equilibrium relationship between stock returns and forecasted changes in the business cycle are illustrated by results using IP data in Taiwan over the period from 1972 to 2000. Nonetheless, empirical findings using GDP data show that changes in GDP are not predicable until recent period of time, and moreover, there is no link between stock returns and forecasted changes in GDP.
期刊論文
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3.Chen, Anlin、Chen, Roger C. Y.、Pan, Kuei-ling(20020600)。The Performance of Initial Public Offerings Conditioning on Issue Information: The Case of Taiwan。Asia Pacific Management Review，7(2)，167-189。new window  new window
4.Fama, Eugene F.、French, Kenneth R.(1989)。Business Conditions and Expected Returns on Stocks and Bonds。Journal of Financial Economics，25(1)，23-49。  new window
5.Jarque, Carlos M.、Bera, Anil K.(1980)。Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals。Economics Letters，6(3)，255-259。  new window
6.Titman, S.、John Wei, K. C.(1999)。Understanding Stock Market Volatility: The Case Of Korea And Taiwan。Pacific-Basin Finance Journal，7(1)，41-66。  new window
7.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica，53(2)，363-384。  new window
8.Fama, Eugene F.(1981)。Stock Returns, Real Activity, Inflation, and Money。The American Economic Review，71(4)，545-565。  new window
9.Chen, Nai-Fu(1991)。Financial Investment Opportunities and the Macroeconomy。Journal of Finance，46(2)，529-554。  new window
10.Estrella, Arturo、Hardouvelis, Gikas A.(1991)。The Term Structure as a Predictor of Real Economic Activity。The Journal of Finance，46(2)，555-576。  new window
11.Ferson, Wayne E.、Harvey, Campbell R.(1993)。The Risk and Predictability of International Equity Returns。Review of Financial Studies，6(3)，527-566。  new window
12.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
13.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica，41(5)，867-887。  new window
14.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
15.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics，22(1)，3-25。  new window
16.Fama, E. F.(1990)。Stock Returns, Expected Returns, and Real Activity。The Journal of Finance，45(4)，1089-1108。  new window
17.Breeden, Douglas T.(1979)。An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities。Journal of Financial Economics，7(3)，265-296。  new window
18.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics，47(1)，13-37。  new window
19.Lucas, Robert E. Jr.(1978)。Asset Prices in an Exchange Economy。Econometrica，46(6)，1429-1445。  new window
20.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory，13(3)，341-360。  new window
21.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
22.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
23.Lee, Bong-Soo(1992)。Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation。Journal of Finance，47(4)，1591-1603。  new window
24.McDonald, Bill、Cosimano, Thomas F.、Balvers, Ronald J.(1990)。Predicting Stock Returns in an Efficient Market。The Journal of Finance，45(4)，1109-1128。  new window
25.Geske, Robert、Roll, Richard(1983)。The Fiscal and Monetary Linkage between Stock Returns and Inflation。The Journal of Finance，38(1)，1-33。  new window
26.Rubinstein, Mark(1976)。The Valuation of Uncertain Income Streams and the Pricing of Options。The Bell Journal of Economics，7(2)，407-425。  new window
27.Abel, Andrew B.(1988)。Stock Prices Under Time-varying Dividend Risk: An Exact Solution In An Infinite-horizon General Equilibrium Model。Journal of Monetary Economics，22(3)，375-393。  new window
28.張紹基(2001)。Stock Market Development and Economic Growth: A Panel Data Approach。亞太管理評論（英文版），6(3)，357-376。  new window
29.許溪南、林秉均(2002)。The Kinetics of the Stock Markets。亞太管理評論（英文版），7(1)，1-24。  延伸查詢new window
30.Miffre, Joëlle(2001)。Economic Activity and Time Variation in Expected Futures Returns。Economics Letters，73(1)，73-79。  new window
31.Basu, Parantap、Vinod, Hrishikesh D.(1994)。Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model。Scandinavian Journal of Economics，96(1)，51-65。  new window
32.Basu, Parantap、Samanta, Prodyot(2001)。Volatility and Stock Prices: Implications from a Production Model of Asset Pricing。Economics Letters，70(2)，229-235。  new window
33.Timmermann, Allan(1994)。Why Do Dividend Yields Forecast Stock Returns?。Economics Letters，46(2)，149-158。  new window
研究報告
1.Chen, M. H.(2004)。An Comparative Analysis of the Asset Pricing Models。嘉義。  new window
圖書
1.Campbell, John Y.、Lo, Andrew W.-C.、MacKinlay, A. Craig(1997)。The Econometrics of Financial Markets。Princeton University Press。  new window
2.Brock, William A.(1982)。Asset Prices in a Production Economy。The Economics of Information and Uncertainty。沒有紀錄。  new window
3.Brock, W. A.、Green, J.、Scheinkman, J.(1979)。An Integration of Stochastic Growth Theory and the Theory of Finance - Part I: The Growth Model, in General Equilibrium。Growth, and Trade。0。  new window
圖書論文
1.Campbell, J. Y.(1999)。Asset Prices, Consumption and the Business Cycle。Handbook of Macroeconomics。Amsterdam：Elsevier。  new window
 
 
 
 
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