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來源文獻資料
外文摘要
引文資料
題名:
退休基金投資策略與股票市場發展
書刊名:
財務金融學刊
作者:
毛治文
/
沈中華
作者(外文):
Mao, Chih-wen
/
Shen, Chung-hua
出版日期:
2009
卷期:
17:3
頁次:
頁37-72
主題關鍵詞:
退休基金
;
股票市場
;
穩健門檻迴歸模型
;
M估計子
;
Pension funds
;
Stock markets
;
Robust panel threshold model
;
ROPTM
;
M-estimators
原始連結:
連回原系統網址
相關次數:
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:0
共同引用:
8
點閱:47
This paper analyzes the impact of pension fund investment management on stock markets using a robust panel threshold model (ROPTM) which combines a panel threshold model with a robust regression model. We use panel data for some OECD countries and Taiwan to test the validity of our propositions. The data is divided into low and high investment regions based on the value of stocks as a percentage of total financial assets of the pension fund. In the high investment region, pension funds have a positive impact on stock markets. Whereas, in the low investment region, the positive impact seems to disappear.
以文找文
期刊論文
1.
Hansen, Bruce E.(1999)。Threshold effects in non-dynamic panels: Estimation, testing, and inference。Journal of Econometrics,93(2),345-368。
2.
Rousseeuw, P. J.(1984)。Least median of squares regression。Journal of the American Statistical Association,79(388),871-880。
3.
Rousseeuw, P. J.(1983)。Regression techniques with high breakdown point。The Institute of Mathematical Statistics Bulletin,12,155。
4.
沈中華、林公韻(20051200)。違約機率預測與極端值。財務金融學刊,13(3),1-32。
延伸查詢
5.
Hansen, B. E.(2000)。Sample splitting and threshold estimation。Econometrica,68(3),575-604。
6.
Levine, Ross、Zervos, Sara(1998)。Stock Markets, Banks and Economic Growth。The American Economic Review,88(3),537-558。
7.
Feldstein, Martin S.(1974)。Social Security, Induced Retirement, and Aggregate Capital Accumulation。Journal of Political Economy,82(5),905-926。
8.
Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。
9.
黃介良。退休基金的投資策略及其資產配置。公務人員退撫基金季刊,5,2-28。
延伸查詢
10.
Arnott, R. D.(1985)。The Pension Sponsor's View of Asset Allocation。Financial Analysts Journal,41(5),17-19+22-23。
11.
Barro, R. J.。Are Government Bonds Net Wealth。Journal of Political Economy,82,1095-1117。
12.
Barro, R. J.、MacDonald, G. M.。Social Security and Consumer Spending in an International Cross Section。Journal of Public Economics,11,275-289。
13.
Black, F.。The Tax Consequences of Long Run Pension Policy。Financial Analysis Journal,25-31。
14.
Bodie, Z.。Pensions as Retirement Insurance。Journal of Economic Literature,28(1),28-49。
15.
Boyd, J. H.、Ross L.、Smith, B. D.。The Impact of Inflation on Financial Sector Performance。Journal of Monetary Economics,47(2),221-248。
16.
Catalan, M.、Impavido G.、Musalem, A. R.。Contractual Savings or Stock Market Development: Which Leads?。Journal of Applied Social Science Studies,120(3),445-487。
17.
Connolly, R. A.。An Examination of the Robustness of the Weekend Effect。Journal of Financial and Quantitative Analysis,24(2),133-169。
18.
Cornell, B.、Dietrich, J. K.。Mean-absolute-Deviation Versus Least-squares Regression Estimation of Beta Coefficients。Journal of Financial and Quantitative Analysis,13,123-131。
19.
Demirguc-Kunt, A.、Levine, R.。Stock Market Development and Financial Intermediaries: Stylized Facts。World Bank Economic Review,10,291-321。
20.
Feldstein, M.(1982)。Social Security and Private Saving: Reply。Journal of Political Economy,90(3),630-642。
21.
Feldstein, M.、Ranguelova, E.。Individual Risk in an Investment-based Social Security System。The American Economic Review,91(4),1116-1125。
22.
Huber, P. J.(1973)。Robust Regression: Asymptotics, Conjectures and Monte Carlo。Annual of Statistics,1(5),799-821。
23.
Sharpe, W. F.。Corporate Pension Funding Policy。Journal of Financial Economics,183-193。
24.
Sharpe, W. F.、Lawrence, G. T.。Liabilities - A New Approach。Journal of Portfolio Management,16,5-10。
25.
Tepper, I.。Taxation and Corporate Pension Policy。Journal of Finance,1-13。
26.
Treynor, J.。The Principles of Corporate Pension Finance。Journal of Finance,627-638。
會議論文
1.
邱顯比。我國退休基金委託經營方式之研究。
延伸查詢
研究報告
1.
Demirguc-Kunt, A.、Levine, R.(1999)。Bank-Based and Market-Based Financial Systems: Cross-Country Comparisons。World Bank。
2.
余雪明、何憲章。軍公教退撫基金如何有效管理運用之研究。
延伸查詢
3.
Feldstein, M.。Social Security and Saving: New Time Evidence。
4.
Holzman, R.。The World Bank Approach to Pension Reform。
5.
Impavido, G.、Musalem, A. R.。Contractual Savings, Stock and Asset Markets。
6.
Impavido, G.、Musalem, A. R.、Tressel, T.。Contractual Savings Institutions and Banks' Stability and Efficiency。
7.
Impavido, G.、Musalem, A. R.、Tressel, T.。The Impact of Contractual Savings on Security Markets。
8.
Martin, R. D.、Simin, T.。Estimates of Small-Stock Betas Are Often Very Distorted by Outliers。
9.
Vittas, D.(1998)。Regulatory Controversies of Private Pension Funds。
10.
Vittas, D.(1998)。Institutional Investors and Securities Markets: Which Comes First。
11.
Vittas, D.(1999)。Pension Reform and Financial Markets, Central America Reform Project。Cambridge, MA。
12.
Vittas, D.(2000)。Pension Reform and Capital Market Development。
13.
Vittas, D.、Skully, M.(1991)。Overview of Contractual Savings Institutions。
14.
Zhu, A.、Ash, M.、Pollin, R.(2002)。Stock Market Liquidity and Economic Growth: A Critical Appraisal of The Levine/Zervos Model。
圖書
1.
Rousseeuw, P. J.、Leroy, A.。Robust Regression and Outlier Detection。Robust Regression and Outlier Detection。New York, NY:John Wiley & Sons。
2.
Davis, E. P.。Pension Funds-retirement Income Security and Capital Markets-An International Perspective。Pension Funds-retirement Income Security and Capital Markets-An International Perspective。Oxford, UK。
3.
Diamond, P.、Valdes-Prieto, S.。Social Security Reforms。The Chilean Economy: Policy Lessons and Challenges。
4.
Logue, D. E.。Managing Corporate Plans。Managing Corporate Plans。
5.
Monks, R. A. G.、Minow, N.。Corporate Governance。Corporate Governance。Cambridge, MA。
6.
Rousseuw, P. J.、Yohai, V. J.。Robust Regression by Means of S-estimators。Robust and Nonlinear Time Series Analysis。New York, NY。
7.
Taylor, L. D.。Estimating by Minimizing the Sum of Absolute Errors。Frontiers in Econometrics。New York, NY。
其他
1.
Walker, E.,Lefort, F.(1999)。Pension Reform and Capital Markets: Are There Any (Hard)Links?,Washington, DC。
圖書論文
1.
Impavido, G.、Musalem, A. R.、Tressel, T.(2002)。Contractual Savings, Capital Markets, and Firms' Financing Choices。World Bank Economist' Forum。World Bank。
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