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題名:Predicting Market Regimes and Stock Returns Using Investor Sentiment
書刊名:證券市場發展季刊
作者:張森林 引用關係葉宗穎 引用關係
作者(外文):Chung, San-linYeh, Chung-ying
出版日期:2011
卷期:23:2=90
頁次:頁1-28
主題關鍵詞:投資人情緒馬可夫轉換Investor sentimentVIXMarkov switchingQualitative vector autoregressive model
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:0
  • 點閱點閱:19
期刊論文
1.Guidolin, M.、Timmermann, A.(2007)。Asset Allocation under Multivariate Regime Switching。Journal of Economic Dynamics and Control,31,3503-3544。  new window
2.Keim, Donald B.、Stambaugh, Robert F.(1986)。Predicting Returns in the Stock and Bond Markets。Journal of Financial Economics,17,357-390。  new window
3.Maheu, John M.、McCurdy, Tomas H.(2000)。Identifying bull and bear markets in stock returns。Journal of Business and Economic Statistics,18(1),100-112。  new window
4.Campbell, John Y.(1987)。Stock Returns and the Term Structure。Journal of Financial Economics,18(2),373-399。  new window
5.Fama, E.、French, K.(1989)。Business conditions and expected returns on stocks and bonds。Journal of Financial Economics,25(1),23-49。  new window
6.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance,61(5),2451-2486。  new window
7.Ang, Andrew、Chen, Joseph(2002)。Asymmetric Correlations of Equity Portfolios。Journal of Financial Economics,63(3),443-494。  new window
8.Kandel, S.、Stambaugh, R. F.(1996)。On the predictability of stock returns: An asset allocation perspective。Journal of Finance,51,385-424。  new window
9.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。  new window
10.Lee, Charles M. C.、Shleifer, Andrei、Thaler, Richard H.(1991)。Investor Sentiment and the Closed-End Fund Puzzle。The Journal of Finance,46(1),75-109。  new window
11.Ang, Andrew、Bekaert, Geert(20021001)。International Asset Allocation with Regime Shifts。Review of Financial Studies,15(4),1137-1187。  new window
12.Bai, Jushan、Perron, Pierre(1998)。Estimating and Testing Linear Models with Multiple Structural Changes。Econometrica,66(1),47-78。  new window
13.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
14.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics,22(1),3-25。  new window
15.Ait-Sahalia, A.、Brandt, M.(2001)。Variable Selection for Portfolio Choice。Journal of Finance,56,1297-1351。  new window
16.Perez-Quiros, G.、Timmermann, A.(2000)。Firm Size and Cyclical Variation in Stock Returns。Journal of Finance,55,1229-1262。  new window
17.Baker, M.、Wurgler, J.(2006)。Investment Sentiment and the Cross-Section of Stock Returns,。Journal of Finance,61,1645-1680。  new window
18.Brandt, M.、Zeng, Q.、Zhang, L.(2004)。Equilibrium Stock Return Dynamics under Alternative Rules of Learning about Hidden States。Journal of Economic Dynamics and Control,28,1925-1954。  new window
19.Stambaugh, R(1999)。Predictive Regressions。Journal of Financial Economics,54,375-421。  new window
20.Timmermann, A.(2000)。Moments of Markov Switching Model。Journal of Econometrics,96,75-111。  new window
21.Chou, P.、Ko, K.(2008)。Characteristics, Covariances, and Structural breaks。Economic Letters,100,31-34。  new window
22.Dueker, M.(2005)。Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions。Journal of Business and Economic Statistics,23,96-104。  new window
23.Gray, S.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Precess。Journal of Financial Economics,42,27-62。  new window
24.Guidolin, M.、Timmermann, A.(2008)。Size and Value Anomalies under Regime Shiftt。Journal of Financial Econometrics,6,1-48。  new window
25.Hamilton, J.(1989)。A New Approach to Economic Analysis to Nonstationary Time Series and the Business Cycle。Econometrica,57,557-590。  new window
圖書
1.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
 
 
 
 
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