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題名:Conditional Heteroscedasticity, Dual Time-Varying Betas in Bull and Bear Months of the Three-Factor Model
書刊名:證券市場發展季刊
作者:陳家彬 引用關係劉映興楊踐為 引用關係
作者(外文):Chen, Chia-pinLiu, Ying-singYang, Jack J. W.
出版日期:2010
卷期:22:1=85
頁次:頁1-27
主題關鍵詞:雙重時間變動貝他值條件異質性多因子資產定價Dual time-varying betasConditional heteroscedasticityMultifactor asset pricing
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:1
  • 共同引用共同引用:29
  • 點閱點閱:27
期刊論文
1.Ferson, W. E.、Harvey, C. R.(1999)。Conditioning variables and the cross section of stock returns。Journal of Finance,54(4),1325-1360。  new window
2.Brailsford, T. J.、Faff, R. W.(1996)。An evaluation of volatility forecasting techniques。Journal of Banking & Finance,20(3),419-438。  new window
3.Schwert, G. W.、Seguin, P. J.(1990)。Heteroskedasticity in Stock Return。Journal of Finance,45(4),1129-1156。  new window
4.Pettengill, Glenn N.、Sundaram, Sridhar、Mathur, Ike(1995)。The conditional relation between beta and returns。Journal of Financial and Quantitative Analysis,30(1),101-116。  new window
5.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics,6(2),461-464。  new window
6.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
7.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
8.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
9.Reyes, Mario G.(1999)。Size, Time-Varying Beta, and Conditional Heteroscedasticity in UK Stock Returns。Review of Financial Economics,8(1),1-10。  new window
10.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
11.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
12.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
13.顧廣平(20050700)。單因子、三因子或四因子模式?。證券市場發展季刊,17(2)=66,101-146。new window  延伸查詢new window
14.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
15.Bhardwaj, R. K.、Brooks, L. D.(1993)。Dual Betas from Bull and Bear Markets: Reversal of the Size Effect。Journal of Financial Research,16,269-283。  new window
16.Diebold, F. X.、Lim, S. C.、Lee, C. J.(1993)。A Note on Conditional Heteroskedasticity in the Market Model。Journal of Accounting, Auditing & Finance,8,141-150。  new window
17.Fletcher, J.(2000)。On the Conditional Relationship between Beta and Return in International Stock Returns。International Review of Financial Analysis,9,235-245。  new window
18.Johansson, A.、Rolseth, L.(2001)。The Effects of Firm-Specific Variables and Consensus Forecast Data on the Pricing of Large Swedish Firms' Stocks。Applied Financial Economics,11,373-384。  new window
19.Lin, B. H.、Wang, J. M. C.(2003)。Systematic Skewness in Asset Pricing: an Empirical Examination of the Taiwan Stock Market。Applied Economics,35,1877-1887。  new window
20.Lintner, J.(1965)。Security Price, Risk and Maximal Gain from Diversification。Journal of Finance,20,587-615。  new window
21.Wang, K. Q.(2005)。Multifactor Evaluation of Style Rotation。Journal of Financial and Quantitative Analysis,40,349-372。  new window
22.Wells, C.(1994)。Variable Betas on the Stockholm Exchange 1971-1989。Applied Financial Economics,4,75-92。  new window
23.Wu, X.(2002)。A Conditional Multifactor Analysis of Return Momentum。Journal of Banking & Finance,26,1675-1696。  new window
學位論文
1.王明傳(2003)。台灣證券市場高階動差系統風險資產定價之研究(博士論文)。國立臺灣科技大學。new window  延伸查詢new window
 
 
 
 
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