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題名：股票市場超額報酬與短期利率
書刊名：證券市場發展季刊
作者：陳思寬 引用關係／張銘仁 引用關係／許碧純
作者(外文)：Chen, Shikuan／Chang, Ming-jen／Hsu, Pi-chun
出版日期：2013
卷期：25:1=97
頁次：頁159-187
主題關鍵詞：馬可夫轉換模型；風險趨避性；短期利率；Markov switching；Risk aversion；Short-term interest rates
原始連結：連回原系統網址new window
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  • 點閱點閱:20
期刊論文
1.Beraoth, K.、von Hagen, J.(2004)。The Euribor Future Market: Efficiency and the Impact of ECB Policy Announcements。International Finance，7(1)，1-24。  new window
2.Bomfim, A. N.(2003)。Pre-announcement Effects, News Effects, and Volatility: Monetary Policy and the Stock Market。Journal of Banking and Finance，27(1)，133-151。  new window
3.Campbell, J. Y.、Ammer, J.(1993)。What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns。Journal of Finance，48(1)，3-37。  new window
4.Campbell, J. Y.、Shiller, R. J.(1988)。Stock Prices, Earning and Expected Dividends。Journal of Financial Economics，43(3)，661-676。  new window
5.Cochrane, J. H.、Piazzesi, M.(2002)。The Fed and Interest Rates: A High-Frequency Identification。American Economic Review，92(2)，90-95。  new window
6.Bernanke, B. S.、Kuttner, K. N.(2005)。What explains the stock market's reaction to Federal Reserve policy?。Journal of Finance，60(3)，1221-1257。  new window
7.Kim, D.、Kon, S. J.(1994)。Alternative Models for the Conditional Heteroskedasticity of Stock Return。Journal of Business，67(4)，563-598。  new window
8.Kim, S. W.、Lee, B. S.(2008)。Stock Return, Asymmetric Volatility, Risk Aversion, and Business Cycle: Some New Evidence。Economic Inquiry，46(2)，131-148。  new window
9.Kuttner, K.(2001)。Monetary Policy Surprises and Interest Rate: Evidence from the Fed Funds Futures Markets。Journal of Monetary Economics，47(3)，523-544。  new window
10.Martin, T.B.、Siklos, P. L.、Sondermann, D.(2008)。European Stock Markets and the ECB's Monetary Policy Surprises。International Finance，11(2)，117-130。  new window
11.Poole, W.、Rasche, R.(2000)。Perfecting the Market Knowledge of Monetary Policy。Journal of Financial Services Research，18(2)，255-198。  new window
12.Henry, Q. T.(2009)。Regime Switching in the Relationship between Equity Returns and Short-Term Interest in the UK。Journal of Banking and Finance，33(2)，405-414。  new window
13.Merton, R. C.(1980)。On Estimating the Expected Return on the Market: An Exploratory Investigation。Journal of Financial Economics，8(4)，323-361。  new window
14.Isen, Alice M.、Geva, Nehemia(1987)。The Influence of Positive Affect on Acceptable Level of Risk:The Person with a Large Canoe Has a Large Worry。Organizational Behavior and Human Decision Processes，39(2)，145-154。  new window
15.Nygren, T. E.、Isen, A. M.、Taylor, P. J.、Dulin, J.(1996)。The Influence of Positive Effect on the Decision Rule in Risk Situations: Focus on Outcome (and Especially Avoidance of Loss) Rather than Probability。Organizational Behavior and Human Decision Processes，66(1)，59-72。  new window
16.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control，18(5)，931-955。  new window
17.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement，3(4)，653-665。  new window
18.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica，55(2)，391-407。  new window
19.Gray, S. F.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process。Journal of Financial Economics，42(1)，27-62。  new window
20.Rigobon, Roberto、Sack, Brian(2003)。Measuring the reaction of monetary policy to the stock market。Quarterly Journal of Economics，118(2)，639-669。  new window
21.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance，48(5)，1749-1778。  new window
22.Isen, A. M.、Patrick, R.(1993)。The effect of positive feelings on risk-taking: When the chips are down。Organizational Behavior and Human Performance，31(2)，194-202。  new window
23.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics，52(1/2)，5-59。  new window
24.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics，31(3)，281-318。  new window
25.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
26.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance，48(5)，1779-1801。  new window
研究報告
1.Perez-Quiros, G.、Sicilia, J.(2002)。Is the European Central Bank and the United States Federal Reserve Predictable?。European Central Bank。  new window
2.Roley, V.、Sellon, G.(1998)。Market Reaction to Monetary Nonannouncements。Federal Reserve Bank of Kansas。  new window
圖書
1.洪茂蔚(2010)。財務管理。台北市：雙葉書局。  延伸查詢new window
2.Gordon, M. J.(1962)。The investment, financing, and valuation of the corporation。Homewood, IL：Richard D. Irwin。  new window
3.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
4.Gill, P. E.、Murray, W.、Wright, M. H.(1981)。Practical Optimization。Academic Press。  new window
 
 
 
 
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