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題名:Asset Pricing and Systematic Liquidity Risk on Taiwan's Stock Market
書刊名:證券市場發展季刊
作者:邱莉婷胡聯國 引用關係
作者(外文):Chiu, Li-tingHu, Len-kuo
出版日期:2012
卷期:24:4=96
頁次:頁1-38
主題關鍵詞:系統流動性評價模型非流動性因子資產定價Pastor and Stambaugh指標Amihud指標Systematic liquidityIlliquidityAsset pricingOrder-flow liquidity measure of Pastor and StambaughIlliquidity measure of Amihud
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(0) 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:0
  • 共同引用共同引用:21
  • 點閱點閱:55
Other
1.Hasbrouck, J.; Seppi, D. J.(2001)。Common Factors in Prices, Order Flows, and Liquidity。  new window
期刊論文
1.Llorente, G.、Michaely, R.、Saar, G.、Wang, J.(2002)。Dynamic Volume-Return Relation of Individual Stocks。Review of Financial Studies,15(4),1005-1047。  new window
2.Korajczyk, R. A.、Sadka, R.(2008)。Pricing the Commonality across Alternative Measures of Liquidity。Journal of Financial Economics,87(1),45-72。  new window
3.Gibson, R.、Mougeot, N.(2004)。The Pricing of Systematic Liquidity Risk: Empirical Evidence from the US Stock Market。Journal of Banking and Finance,28(1),157-178。  new window
4.O'Hara, M.(2003)。Presidential Address: Liquidity and Price Discovery。Journal of Finance,58(4),1335-1354。  new window
5.Amihud, Y.、Mendelson, H.(1986)。Asset pricing and the bid-ask spread。Journal of Financial Economics,17(2),223-249。  new window
6.Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2000)。Commonality in Liquidity。Journal of Financial Economics,56(1),3-28。  new window
7.Lee, J. H.、Lin, S. Y.、Lee, W. C.、Tsao, C. Y.(2006)。Common Factors in Liquidity: Evidence from Taiwan's OTC Stock Market。International Review of Financial Analysis,15(4/5),306-327。  new window
8.Brennan, Michael J.、Subrahmanyam, Avanidhar(1996)。Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns。Journal of Financial Economics,41(3),441-464。  new window
9.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
10.Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance,55(5),2017-2069。  new window
11.Campbell, John Y.、Grossman, Sanford J.、Wang, Jiang(1993)。Trading volume and serial correlation in stock returns。The Quarterly Journal of Economics,108(4),905-939。  new window
12.Pástor, Ľuboš、Stambaugh, Robert F.(2003)。Liquidity Risk and Expected Stock Returns。Journal of Political Economy,111(3),642-685。  new window
13.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
14.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
15.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross-section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
16.Bekaer, G.、Harvey, C. R.、Lundblad, C.(2007)。Liquidity and expected returns: lessons from emerging markets。Review of Financial Studies,20(6),1783-1831。  new window
其他
1.Chang, C.; Hu, S.(2001)。The Review of the Liquidity Measure。  new window
2.Hasbrouck, J.(2005)。Trading Costs and Returns for U.S. Equities: the Evidence from Daily Data。  new window
3.Hasbrouck, J.(2006)。Trading Costs and Returns for US Equities: The Evidence from Daily Data。  new window
4.Hu, K. W.(2006)。An Empirical Investigation about Liquidity in Taiwan Stock Market-Using Amihud(2002) Liquidity proxy。  new window
5.Lin, Y. C.(2009)。The Pricing of Systematic Liquidity Risk:Empirical Evidence from the Taiwan Stock Market。  new window
6.Martinez, M. A.; Nieto, B.; Rubio, G.; Tapia, M.(2005)。Asset Pricing and Systematic Liquidity Risk: An Empirical Investigation of the Spanish Stock Market。  new window
 
 
 
 
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