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題名：時變或固定折現因子--以訊息萃取架構探討股價變動的因素
書刊名：經濟論文
作者：陳禮潭 引用關係／呂仁廣 引用關係／李明煌 引用關係
作者(外文)：Chen, Lii-tarn／Lue, Ren-guang／Lee, Ming-huang
出版日期：2013
卷期：41:1
頁次：頁85-125
主題關鍵詞：訊息萃取；噪音比；時變折現因子；消費型資本資產定價模型；Signal extraction；Noise ratio；Time varying discount factor；Stochastic discount factor；Consumption capital asset pricing model
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:9
  • 點閱點閱:26
期刊論文
1.林建甫、陳禮潭、李明煌(19980900)。股票價格之模型誤設與投機泡沬: 一般化Kalman Filter的分析。人文及社會科學集刊，10(3)，361-397。new window  延伸查詢new window
2.Ahn, S. C.、Gadarowski, C.(2004)。Small Sample Properties of the GMM Specification Test Based on the Hansen-Jagannathan Distance。Journal of Empirical Finance，11，109-132。  new window
3.Amemiya, T.(1985)。Instrumental Variables Estimator for the Nonlinear Errors-in-Variables Model。Journal of Econometrics，28，273-289。  new window
4.Blanchard, O.、Watson, M.(1982)。Bubbles, Rational Expectations and Financial Markets。NBER Working Paper，945。  new window
5.Chen, X. and S. C. Ludvigson(2009)。Land of Addicts? An Empirical Investigation of Habit- Based Asset Pricing Behavior。Journal of Applied Econometrics，24，1057-1093。  new window
6.Chen, Y.-C.、Rogoff, K.、Rossi, B. S.(2010)。Can Exchange Rates Forecast Commodity Prices?。Quarterly Journal of Economics，125(3)，1145-1194。  new window
7.Cochrane, J. H.(1991)。Volatility Tests and Efficient Markets: A Review Essay。Journal of Monetary Economics，27，463-485。  new window
8.Conrad, Jennifer、Kaul, Gautara(1988)。Time-Variation in Expected Returns。Journal of Business，61(4)，409-425。  new window
9.Danthine, J.-P.、Donaldson, J. B.、Giannikos, C.、Guirguis, H.(2003)。On the Consequences of State Dependent Preferences for the Pricing of Financial Assets。CEPR Discussion Papers，3697。  new window
10.Davidson, R.、MacKinnon, J. G.(1982)。Some Non-Nested Hypothesis Tests and the Relations among Them。Review of Economic Studies，49(4)，551-565。  new window
11.Durlauf, S. N.、Maccini, L. J.(1995)。Measuring Noise in Inventory Models。Journal of Monetary Economics，36，65-89。  new window
12.Engsted, T.、Moller, S. V.(2010)。An Iterated GMM Procedure for Estimating the Campbell- Cochrane Habit Formation Model。International Journal of Finance and Economics，15，213-221。  new window
13.Farnsworth, H.、Ferson, W.、Jackson, D.、Todd, S.(2002)。Performance Evaluation with Stochastic Discount Factors。Journal of Business，75(3)，473-503。  new window
14.Ferson, W. E.、Jagannathan, R.(1996)。Econometric Evaluation of Asset Pricing Models。Handbook of Statistics，14，1-33。  new window
15.Hodrick, R. J.、Zhang, X.(2001)。Evaluating the Specification Errors of Asset Pricing Models。Journal of Financial Economics，62，327-376。  new window
16.Jagannathan, R.、Skoulakis, G.、Wang, Z.(2002)。Generalized Method of Moments: Applications in Finance。Journal of Business & Economic Statistics，20(4)，470-481。  new window
17.Jagannathan, R.、Wang, Z.(2002)。Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods。The Journal of Finance，57，2337-2367。  new window
18.Kan, R.、Robotti, C.(2009)。Model Comparison Using the Hansen-Jagannathan Distance。Review of Financial Studies，22(9)，3449-3490。  new window
19.Kan, R.、Robotti, C.、Shanken, J.(2009)。Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology。NBER Working Paper，15047。  new window
20.Kumar, R.、Makhija, A. K.(1986)。Volatility of Stock Prices and Market Efficiency。Managerial and Decision Economics，7，119-122。  new window
21.LeRoy, S. F.、LaCivita, C. J.(1981)。Risk Aversion and the Dispersion of Asset Prices。Journal of Business，54，535-547。  new window
22.Ludvigson, S.、Paxson, C. H.(2001)。Approximation Bias in Linearized Euler Equations。Review of Economics and Statistics，83(2)，242-256。  new window
23.Mankiw, N. G.、Shapiro, M. D.(1986)。Do We Reject Too Often?。Economics Letters，20(2)，139-145。  new window
24.Pesaran, M. H.、Deaton, A. S.(1978)。Testing Non-Nested Nonlinear Regression Models。Econometrica，46(3)，677-694。  new window
25.Smith, W. T.、Zhang, Q.(2007)。Asset Pricing with Multiplicative Habit and Power-Expo Preferences。Economics Letters，94(3)，319-325。  new window
26.Hansen, L. P.、Jagannathan, R.(1997)。Assessing Specification Errors in Stochastic Discount Factor Models。Journal of Finance，52，557-590。  new window
27.Jagannathan, Ravi、Wang, Zhenyu。The Conditional CAPM and the Cross-section of Expected Returns。The Journal of Finance，51(1)，3-53。  new window
28.Lettau, Martin、Ludvigson, Sydney(2001)。Consumption, Aggregate Wealth, and Expected Stock Returns。Journal of Finance，56(3)，815-849。  new window
29.Marsh, T. A.、Merton, R. C.(1986)。Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices。The American Economic Review，76，483-498。  new window
30.West, Kenneth D.(1988)。Dividend innovations and stock price volatility。Econometrica，56，37-61。  new window
31.Lettau, Martin、Ludvigson, Sydney(2005)。Expected returns and expected dividend growth。Journal of Financial Economics，76(3)，583-626。  new window
32.Hansen, L. P.(1982)。Large sample properties of the generalized method of moments estimators。Econometrica，50(4)，1029-1054。  new window
33.Valkanov, R.(2003)。Long-Horizon Regression: Theoretical Results and Applications。Journal of Financial Economics，68，201-232。  new window
34.Campbell, J. Y.(1991)。A Variance Decomposition for Stock Returns。The Economic Journal，101，157-179。  new window
35.Stock, J. H.、Watson, M. W.(1999)。Forecasting inflation。Journal of Monetary Economics，44(2)，293-335。  new window
36.Hodrick, R. J.、Prescott, E. C.(1997)。Post war business cycles an empirical investigation。Journal of Money Credit and Banking，29，1-16。  new window
37.Newey, W. K.(1985)。Generalized method of moments specification testing。Journal of Econometrics，29，229-256。  new window
38.方文碩(20000500)。金融危機期間股票報酬風險貼水與貶值效果。風險管理學報，2(1)，39-68。new window  延伸查詢new window
39.Campbell, J. Y.、Cochrane, J. H.(1999)。By Force of Habit: A Consumption-based Explanation of Aggregate Stock Market Behavior。Journal of Political Economy，107(2)，205-251。  new window
40.Vuong, Quang H.(1989)。Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses。Econometrica，57(2)，307-333。  new window
41.Campbell, John Y.、Shiller, Robert J.(1988)。The dividend-price ratio and expectations of future dividends and discount factors。The Review of Financial Studies，1(3)，195-228。  new window
42.Shiller, Robert J.(1981)。Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?。American Economic Review，71(3)，421-436。  new window
43.Pratt, John W.(1964)。Risk Aversion in the Small and in the Large。Econometrica，32(1/2)，122-136。  new window
44.MacKinnon, James G.、Davidson, Russell(1981)。Several Tests for Model Specification in the Presence of Alternative Hypotheses。Econometrica，49(3)，781-793。  new window
45.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics，13(3)，253-263。  new window
46.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics，22(1)，3-25。  new window
47.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
48.Hansen, Lars Peter、Singleton, Kenneth J.(1982)。Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models。Econometrica，50(5)，1269-1286。  new window
49.LeRoy, Stephen F.、Porter, Richard D.(1981)。The Present-Value Relation: Tests Based on Implied Variance Bounds。Econometrica，49(3)，555-574。  new window
50.West, Kenneth D.(1987)。A Specification Test for Speculative Bubbles。The Quarterly Journal of Economics，102(3)，553-580。  new window
51.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。  new window
52.Poterba, J. M.、Summers, L. H.(1986)。The Persistence of Volatility and Stock Market Fluctuations。The American Economic Review，76，1141-1151。  new window
53.Grossman, S. J.、Shiller, R. J.(1981)。The Determinants of the Variability of Stock Market Prices。The American Economic Review，71(2)，222-227。  new window
54.Carroll, C. D.(2001)。Death to the Log-linearized Consumption Euler Equation! (And Very Poor Health to the Second-order Approximation)。Advances in Macroeconomics，1。  new window
55.Shanken, J.(1992)。On the Estimation of Beta-pricing Models。The Review of Financial Studies，5，1-33。  new window
56.Ferson, W. E.、Sarkissian, S.、Simin, T. T.(2003)。Spurious Regressions in Financial Economics?。Journal of Finance，58，1393-1413。  new window
57.Hansen, L. P.、J. Heaton、E. G. J. Luttmer(1995)。Econometric Evaluation of Asset Pricing Models。Review of Financial Studies，8，237-374。  new window
58.Goetzmann, W. N.、Jorion, P.(1993)。Testing the predictive power of dividend yields。The Journal of Finance，48(2)，663-679。  new window
會議論文
1.Chen, L.-T.(2009)。Interest Rate Risk and Equity Values of Taiwan'€™s Banking Companies: A GARCH-M Model (Working Paper)。Western Economic Association International 84rd Annual Conference。Vancouver, Canada。  new window
研究報告
1.Gayle, W.-R.、Khorunzhina, N.(2010)。Estimation of Optimal Consumption Choice with Habit Formation and Measurement Errors Using Micro Data (Working Paper)。University of Virginia。  new window
2.Durlauf, S. N.、Hall, R.(1989)。Bounds on the variances of specification errors in models with expectations。  new window
圖書
1.陳禮潭、林建甫、蔡佳芬(2001)。再論台灣廣義的貨幣需求函數M2-線型ECM與非線STECM之分析。第五屆梁國樹教授紀念暨當代貨幣金融問題研討論文集。台北：台灣大學經濟學系。  延伸查詢new window
2.Flood, R. P.、Hodrick, R. J.、Kaplan, P.(1994)。An Evaluation of Recent Evidence on Stock Market Bubbles。Speculative Bubbles, Speculative Attacks, and Policy Switching。Cambridge, MA：The MIT Press。  new window
3.Arrow, K. J.(1970)。Essays in the Theory of Risk Bearing。Amsterdam, Netherlands; Chicago, IL：Markham。  new window
4.Gujarati, Damodar N.(2003)。Basic Econometrics。Boston, MA：McGraw-Hill。  new window
5.Cochrane, J. H.(2005)。Asset Pricing。Princeton, New Jersey：Princeton University Press。  new window
圖書論文
1.Durlauf, Steven N.、Hooker, Mark A.(1994)。Misspecification versus Bubbles in the Cagan Hyperinflation Model。Nonstationary Time Series Analysis and Cointegration。Oxford：Oxford University Press。  new window
 
 
 
 
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