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題名:總體經濟變數、景氣循環與盈餘動量策略績效之實證
書刊名:中原企管評論
作者:羅庚辛 引用關係林書賢羅耀宗鍾毓芬
作者(外文):Lo, Keng-hsinLin, Shu-shianLo, Yao-chungChung, Yu-fen
出版日期:2010
卷期:8:2
頁次:頁73-106
主題關鍵詞:盈餘動量景氣循環總體經濟投資策略股票市場Earnings momentumBusiness cycleMacroeconomic variablesStock markets
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:51
  • 點閱點閱:63
期刊論文
1.Chordia, T.、Shivakumar, L.(2002)。Momentum, Business Cycle, and Time-Varing Expected Returns。Journal of Finance,57(2),985-1019。  new window
2.Cooper, M.J.、Gutierrez JR., R.C.、Hameed, A.(2004)。Market state and momentum。Journal of Finance,59(3),1345-1365。  new window
3.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Return to buying winners and selling losers: Implications for stock market efficiency。The Journal of Finance,48(1),65-91。  new window
4.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
5.黃柏農、Granger, Clive William John、楊慶偉(2000)。A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。The Quarterly Review of Economics and Finance,40(3),337-354。  new window
6.Conrad, J.、Kaul, G.(1998)。An anatomy of trading strategies。Review of Financial Studies,11,489-519。  new window
7.Givoly, Dan、Lakonishok, Josef(1979)。The Information Content of Financial Analysts' Forecasts of Earnings: Some Evidence on Semi-strong Inefficiency。Journal of Accounting & Economics,1(3),165-185。  new window
8.蕭朝興、尤靜華、簡靖萱(20080600)。臺灣股市的動能效應與投資人的下單策略。交大管理學報,28(1),131-168。new window  延伸查詢new window
9.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
10.Foster, George、Olsen, Chris、Shevlin, Terry(1984)。Earnings Releases, Anomalies, and the Behavior of Security Returns。The Accounting Review,59(4),574-603。  new window
11.Schiereck, Dirk、De Bondt, Werner、Weber, Martin(1999)。Contrarian and momentum strategies in Germany。Financial Analysts Journal,55(6),104-116。  new window
12.Gutierrez, Roberto C. Jr.、Kelley, Eric K.(2008)。The Long-Lasting Momentum in Weekly Returns。Journal of Finance,63(1),415-447。  new window
13.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research,6(2),159-178。  new window
14.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business,59(3),383-403。  new window
15.Flannery, M. J.、Protopapadakis, A. A.(2002)。Macroeconomic Factors Do Influence Aggregate Stock Returns。The Review of Financial Studies,15(3),751-782。  new window
16.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
17.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  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.Abdullah, D. A. and S. C. Hayworth,(1993)。“Macroeconometrics of Stock Price Fluctuations,”。Quarterly Journal of Business and Economics,vol.32,no.1,pp.50-67。  new window
27.James, C., Koreisha, S. and M. Partch,(1985)。“A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates,”。Journal of Finance,vol.40,no.5,pp.1375-1384。  new window
28.Latane , H. A. and C. P. Jones,(1979)。“Standardized Unexpected Earnings--1971-77,”。Journal of Finance,vol.34,no.3,pp.717-724。  new window
29.Mukherjee, T. K. and A. Naka,(1995)。“Dynamic Relation Between Macroeconomic Variables and The Japanese Stock Market: An Application of a Vector Error Correction Model,”。Journal of Financial Research,vol.18,no.2,pp.223-237。  new window
30.Park, S.,(1997)。“Rationality of Negative Stock -Price Responses to Strong Economic Activity,”。Financial Analysts Journal,vol.53,no.5,pp.52-57。  new window
研究報告
1.Chui, A.、Titman, S.、Wei, K. C. J.(2000)。Momentum, ownership structure, and financial crises: An analysis of Asian stock markets。Austin:University of Texas。  new window
 
 
 
 
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