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題名:價格與產業動量策略之投資績效--臺灣證券市場實證
書刊名:企業管理學報
作者:羅庚辛 引用關係朱孝恩林書賢鄭燁隆
作者(外文):Lo, Keng-hsinJu, Shiaw-enLin, Shu-shianZheng, Ye-long
出版日期:2009
卷期:82
頁次:頁25-48
主題關鍵詞:價格動量產業動量短期動量投資策略投資績效Price momentumIndustry momentumShort-term momentumInvestment strategiesInvestment performance
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:53
  • 點閱點閱:44
期刊論文
1.Chan, W. S.(2003)。Stock price reaction to news and no-news: drift and reversal after headlines。Journal of Financial Economics,70(2),223-260。  new window
2.池祥萱、林煜恩、周賓凰(20070600)。基金績效持續與聰明錢效果:臺灣實證。管理學報,24(3),307-330。new window  延伸查詢new window
3.Chan, Kakeung C.(1988)。On the Contrarian Investment Strategy。The Journal of Business,61(2),147-163。  new window
4.Daniel, Kent D.、Hirshleifer, David、Subrahmanyam, Avanidhar(2001)。Overconfidence, arbitrage, and equilibrium asset pricing。Journal of Finance,56(3),921-965。  new window
5.陳正佑、徐守德、王毓敏(20020600)。產業別動量投資策略與投資績效--臺灣股票型共同基金之實證研究。中山管理評論,10(2),203-230。new window  延伸查詢new window
6.Jegadeesh, Narasimhan、Titman, Sheridan(1995)。Overreaction, delayed reaction and contrarian profits。The Review of Financial Studies,8(4),973-993。  new window
7.Givoly, D.、Lakonishok, J.(1979)。The information content of financial analysts’ forecasts of earnings。Journal of Accounting & Economics,1,165-185。  new window
8.Antoniou, Antonios、Lam, Herbert Y. T.、Paudyal, Krishna(2007)。Profitability of Momentum Strategies in International Markets: The Role of Business Cycle Variables and Behavioural Biases。Journal of Banking & Finance,31(3),955-972。  new window
9.Conrad, Jennifer、Kaul, Gautam(1993)。Long-term Market Overreaction or Biases in Computed Returns?。The Journal of Finance,48(1),39-63。  new window
10.Schiereck, Dirk、De Bondt, Werner、Weber, Martin(1999)。Contrarian and momentum strategies in Germany。Financial Analysts Journal,55(6),104-116。  new window
11.Gutierrez, Roberto C. Jr.、Kelley, Eric K.(2008)。The Long-Lasting Momentum in Weekly Returns。Journal of Finance,63(1),415-447。  new window
12.Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance,55(5),2017-2069。  new window
13.Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance,54(4),1249-1290。  new window
14.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research,6(2),159-178。  new window
15.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
16.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
17.Zhang, X. Frank(2006)。Information uncertainty and stock returns。The Journal of Finance,61(1),105-137。  new window
18.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance,51(5),1681-1713。  new window
19.Rouwenhorst, K. Geert(1998)。International Momentum Strategies。The Journal of Finance,53(1),267-284。  new window
20.Levy, Robert A.(1967)。Relative Strength as a Criterion for Investment Selection。Journal of Finance,22(4),595-610。  new window
21.Griffin, John M.、Ji, Xiuqing、Martin, J. Spencer(2003)。Momentum investing and business cycle risk: Evidence from pole to pole。Journal of Finance,58(6),2515-2547。  new window
22.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance,49(5),1541-1578。  new window
23.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
24.李春安、羅進水、蘇永裕(20060600)。動能策略報酬、投資人情緒與景氣循環之研究。財務金融學刊,14(2),73-109。new window  延伸查詢new window
25.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
26.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
其他
1.高蘭芬、陳安琳、湯惠雯、曹美蘭(2005)。共同基金績效之衡量--模擬分析法之應用。  延伸查詢new window
2.曾家齊、丁碧惠(2005)。市場狀態與動量投資策略績效關聯性之硏究。  延伸查詢new window
3.蔡秋田、蔡玉琴、黃美珠、王媛慧(2006)。淨値市價比、經營效率與股票報酬--股價反應不足現象。  延伸查詢new window
4.蕭朝興、尤靜華、簡靖萱(2008)。台灣股市的動量效應投資人的下單策略。  延伸查詢new window
5.Conrad, J. and G. Kaul,(1998)。An anatomy of trading strategies。  new window
6.Chui, A., S. Titman, and K. C. J. Wei,(2000)。Momentum, ownership structure, and financial crises: An analysis of Asian stock markets。  new window
7.Chordia, T. and L. Shivakumar(2002)。Momentum , business cycle and time-varing expected returns。  new window
8.Cooper, M. J., R. C. Gutierrez JR., and A. Hameed,(2004)。Market state and momentum。  new window
9.DeBondt, F. M., and R. Thaler,(1987)。Further evidence of investor overreaction and stock market seasonality。  new window
10.Daniel, K., D. Hirshleifer, and A. Subrahmanyam,(1998)。Investor psychology and security market over- and under-reactions。  new window
11.Jegadeesh, N. and S. Titman,(1993)。Return to buying winers and selling losers: implications for stock market efficiency。  new window
12.Latane , H. A. and C. P. Jones,(1979)。Standardized unexpected earnings--1971-77。  new window
 
 
 
 
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