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題名：公司特有風險與橫斷面股票預期報酬--臺灣股市之實證
書刊名：經濟論文
作者：黃一祥 引用關係／呂耿光／黃旭輝 引用關係／張志向 引用關係
作者(外文)：Huang, I-hsiang／Lu, Ken-kuang／Huang, Hsu-huei／Chang, Chih-hsiang
出版日期：2010
卷期：38:3
頁次：頁503-542
主題關鍵詞：資本資產訂價模式；公司特有風險；系統性風險；橫斷面預期報酬；風險分散；CAPM；Idiosyncratic risk；Systematic risk；Expected stock returns；Diversification
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(2) 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:2
  • 共同引用共同引用:81
  • 點閱點閱:53
期刊論文
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3.Ang, A.、Hodrick, R. J.、Xing, Y.、Zhang, X.(2009)。High Idiosyncratic Volatility and Low Returns: International and Further U. S. Evidence。Journal of Financial Economics，91(1)，1-23。  new window
4.Chan, Louis K. C.、Hamao, Yasushi、Lakonishok, Josef。Fundamental and Stock Returns in Japan。Journal of Finance，46，1739-1764。  new window
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6.黃一祥、王元章、何加政、許嘉惠(20031200)。臺灣股市系統性風險之估計及橫斷面預期報酬之分析。財務金融學刊，11(3)，1-33。new window  延伸查詢new window
7.Jiang, X.、Lee, B. S.(2006)。The Dynamic Relation between Returns and Idiosyncratic Volatility。Financial Management，35，43-65。  new window
8.Lo, Andrew W.、MacKinlay, A. Craig(1990)。Data-snooping biases in tests of financial asset pricing models。Review of Financial Studies，3(3)，431-468。  new window
9.King, M.、Sentana, E.、Wadhwani, S.(1994)。Volatility and Links Between National tock Markets。Econometrica，62，901-933。  new window
10.Rozeff, Michael S.、Kinney, William R. Jr.(1976)。Capital Market Seasonality: The Case of Stock Returns。Journal of Financial Economics，3(4)，379-402。  new window
11.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
12.Campbell, John Y.、Lettau, Martin、Malkiel, Burton G.、Xu, Yexiao(2001)。Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk。Journal of Finance，56(1)，1-43。  new window
13.Xu, Y.、Malkiel, Burton G.(2003)。Investigating the Behavior of Idiosyncratic Volatility。Journal of Business，76(4)，613-645。  new window
14.Bali, Turan G.、Cakici, Nusret(2008)。Idiosyncratic volatility and the cross section of expected returns?。Journal of Financial and Quantitative Analysis，43(1)，29-58。  new window
15.Bali, Turan G.、Cakici, Nusret、Yan, Xuemin、Zhang, Zhe(2005)。Does idiosyncratic risk really matter?。Journal of Finance，60(2)，905-929。  new window
16.Goyal, Amit、Santa-Clara, Pedro(2003)。Idiosyncratic Risk Matters!。Journal of Finance，58(3)，975-1007。  new window
17.胡星陽(19980400)。流動性對臺灣股票報酬率的影響。中國財務學刊，5(4)，1-19。new window  延伸查詢new window
18.Harvey, Campbell R.、Siddique, Akhtar(2000)。Conditional skewness in asset pricing tests。The Journal of Finance，55(3)，1263-1295。  new window
19.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics，19(1)，3-29。  new window
20.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance，52(1)，57-82。  new window
21.Lemmon, Michael L.、Lins, Karl V.(2003)。Ownership structure, corporate governance, and firm value: Evidence from the East Asian financial crisis。The Journal of Finance，58(4)，1445-1468。  new window
22.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
23.顏吉利、史綱(19930500)。Chinese New Year Effect in Asian Stock Markets。臺大管理論叢，4(1)，417-436。new window  延伸查詢new window
24.Merton, Robert C.(1987)。A simple model of capital market equilibrium with incomplete information。The Journal of Finance，42(3)，483-510。  new window
25.Ang, Andrew、Hodrick, Robert J.、Xing, Yuhang、Zhang, Xiaoyan(2006)。The Cross-section of Volatility and Expected Returns。The Journal of Finance，61(1)，259-299。  new window
26.Black, Fischer(1972)。Capital Market Equilibrium with Restricted Borrowing。Journal of Business，45(3)，444-455。  new window
27.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy，81(3)，607-636。  new window
28.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
29.Malkiel, Burton G.、Xu, Yexiao(1997)。Risk and return revisited。The Journal of Portfolio Management，23(3)，9-14。  new window
30.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
31.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets，5(1)，31-56。  new window
32.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
33.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-91。  new window
34.方智強、姚明慶(19980900)。臺灣上市公司的淨值市價比現象。管理學報，15(3)，367-391。new window  延伸查詢new window
35.周賓凰、劉怡芬(20000400)。臺灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？。證券市場發展季刊，12(1)=45，1-32。new window  延伸查詢new window
36.Lehmann, B. N.(1990)。“Residual Risk Revisited,”。Journal of Econometrics，45，71–97。  new window
37.Levy, H.(1978)。“Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio,”。American Economic Review，68，643–658。  new window
38.Mayers, D.(1976)。“Nonmarketable Assets, Market Segmentation, and the Level of AssetPrices,”。Journal of Financial and Quantitative Analysis，11，1–12。  new window
39.Sheu, H.-J., S. Wu, and K.-P. Ku(1998)。“Cross-Sectional Relationships between Stock Returns and Market Beta, Trading Volume, and Sales-to-Price in Taiwan,”。International Review of Financial Analysis，7，1–18。  new window
40.Tinic, S. M. and R. R. West(1986)。“Risk, Return, and Equilibrium: A Revisit,”。Journal of Political Economy，94，126–147。  new window
41.Wei, S. X.、Zhang, C.(2005)。Idiosyncratic Risk Does Not Matter: A Re-Examination of the Relationship between Average Returns and Average Volatilities。Journal of Bankingand Finance，29，603-621。  new window
42.Yen, G., C.-F. Lee, C.-L. Chen, and W.-C. Lin(2001)。“On the Chinese Lunar New Year Effect in Six Asian Stock Markets: An Empirical Analysis (1991–2000),”。Review of Pacific Basin Financial Markets and Policies，4，463–478。  new window
43.Angelidis, T. and N. Tessaromatis(2008)。“Idiosyncratic Risk and Equity Return: UK Evidence,”。International Review of Financial Analysis，17，539–556。  new window
44.Bekaert, G.、C. R. Harvey(2000)。Foreign Speculators and Emerging Equity Market。Journal of Finance，55，565–613。  new window
45.Dimson, E.(1979)。“Risk Measure When Shares Are Subject to Infrequent Trading,”。Journalof Financial Economics，7，197–226。  new window
46.Douglas, G. W.(1969)。“Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency,”。Yale Economic Essays，9，3–45。  new window
47.Drew, M. E., A. Marsden, and M. Veeraraghavan(2007)。“Does Idiosyncratic Volatility Matter? New Zealand Evidence,”。Review of Pacific Basin Financial Markets and Policies，10，289–308。  new window
48.Drew, M. E., T. Naughton, and M. Veeraraghavan(2004)。“Is Idiosyncratic Volatility Priced?Evidence from the Shanghai Stock Exchange,”。International Review of Financial Analy-sis，13，349–366。  new window
49.Green, R. C. and K. Rydqvist(1997)。“The Valuation of Nonsystematic Risks and the Pricing of Swedish Lottery Bonds,”。Review of Financial Studies，10，447–480。  new window
50.Guo, H. and R. Savickas(2008)。“Average Idiosyncratic Volatility in G7 Countries,”。Review of Financial Studies，21，1259–1296。  new window
51.Hirshleifer, D.(1988)。Residual risk, trading costs, and commodity futures risk premia。Review of Financial Studies，1(2)，173-193。  new window
52.Huang, Y.-S.(1997)。“An Empirical Test of the Risk-Return Relationship on the Taiwan Stock Exchange,”。Applied Financial Economics，7，229–239。  new window
研究報告
1.Jones, C. M. and M. Rhodes-Kropf(2003)。“The Price of Diversifiable Risk in Venture Capitaland Private Equity,”。  new window
2.Malkiel, B. G. and Y. Xu(2002)。“Idiosyncratic Risk and Security Return,”。  new window
3.Spiegel, M. and X. Wang(2005)。“Cross-Sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk,”。  new window
圖書
1.Fuller, W. A.(1996)。Introduction to statistical time series。New York：Wiley & Sons。  new window
圖書論文
1.Miller, M. H.、Scholes, M.(1972)。Rate of return in relation to risk: A re-examination of some recent findings。Studies in the theory of capital markets。New York：Praeger。  new window
 
 
 
 
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