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題名：臺股情緒指標與超額報酬
書刊名：永續發展與管理策略
作者：駱武昌／婁天威 引用關係／郭以彤
作者(外文)：Luo, Wu-chang／Lou, Tien-wei／Kuo, Yi-tong
出版日期：2012
卷期：4:2
頁次：頁55-75
主題關鍵詞：情緒指標；事件研究法；市場預期報酬率模式；Sentiment indicators；Event study；Expected returns of 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(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:94
  • 點閱點閱:113
期刊論文
1.徐清俊、顏雯津(20080200)。情緒指標與股價報酬關係之研究。明新學報，34(1)，89-106。new window  延伸查詢new window
2.Jensen, M. C.(1978)。Some Anomalous Evidence Regarding Market Efficiency。Journal of Financial Economics，6(2/3)，95-110。  new window
3.Shiller, R. J.(2000)。Measuring bubble expectations and investor confidence。Journal of Psychology and Financial Markets，1(1)，49-60。  new window
4.Stigler, George J.(1964)。Public Regulation of the Securities Markets。The Journal of Business，37(2)，117-142。  new window
5.葉智丞、朱靜眉、李春安(20080800)。臺灣股市投資人情緒持續反應與股票報酬關係之研究。嶺東通識教育研究學刊，2(4)，121-142。new window  延伸查詢new window
6.鄭高輯、林泉源(20100300)。投資人情緒對投機型股票報酬之影響。商略學報，2(1)，21-35。new window  延伸查詢new window
7.Charoenrook, A.(2003)。Does Sentiment Matter?。Journal of Economic Literature，12(14)，1-44。  new window
8.Doran, J. S.、Ronn, E. I.、Goldberg, R. S.(2009)。A simple model for time-varying expected returns on the S&P 500 Index。Journal of Economic Literature，10(12)，1-44。  new window
9.Giot, P.(2005)。Relationships between implied volatility index and stock index returns。Journal of Portfolio Management，31(3)，92-100。  new window
10.Malkiel, Burton G.(2003)。The efficient market hypothesis and its critics。Journal of Economic Perspectives，17(1)，59-82。  new window
11.Mullainathan, S.、Thaler, R. H.(20011001)。Behavioral economics。International Encyclopedia of Social Sciences，7948，1094-1100。  new window
12.Otoo, M. W.(1999)。Consumer sentiment and the stock market。Journal of Economic Literature，12(1)，1-20。  new window
13.Daniel, K. D.、Hirshleifer, David、Teoh, Siew Hong(2002)。Investor Psychology in Capital Markets: Evidence and Policy Implications。Journal of Monetary Economics，49(1)，139-209。  new window
14.許溪南、郭玟秀、鄭乃誠(20050900)。投資人情緒與股價報酬波動之互動關係：臺灣股市之實證。臺灣金融財務季刊，6(3)，107-121。new window  延伸查詢new window
15.Cornelli, Francesca、Goldreich, David、Ljungqvist, Alexander(2006)。Investor Sentiment and Pre-IPO Markets。The Journal of Finance，61(3)，1187-1216。  new window
16.Brown, G. W.、Cliff, M. T.(2005)。Investor Sentiment and Asset Valuation。Journal of Business，78(2)，405-440。  new window
17.Simon, D. P.、Wiggins, R. A. III(2001)。S&P Futures Returns and Contrary Sentiment Indicators。Journal of Futures Markets，21(5)，447-462。  new window
18.周賓凰、蔡坤芳(19970400)。臺灣股市日資料特性與事件研究法。證券市場發展，9(2)=34，1-27。new window  延伸查詢new window
19.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica，47(2)，263-291。  new window
20.Lee, Y. W.、Song, Z.(2003)。When do value stocks outperform growth stocks-investor sentiment and equity style rotation strategies。Journal of Economic Literature，11(14)，1-31。  new window
21.Gervais, S.、Kaniel, R.、Mingelgrin, D. H.(2001)。The High-Volume Return Premium。The Journal of Finance，56(3)，877-919。  new window
22.Neal, Robert、Wheatley, Simon M.(1998)。Do Measures of Investor Sentiment Predict Returns?。Journal of Financial and Quantitative Analysis，33(4)，523-547。  new window
23.Brauer, G. A.(1993)。Investor Sentiment and the Closed-end Fund Puzzle: A 7 Percent Solution。Journal of Financial Services Research，7(3)，199-216。  new window
24.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics，9(1)，3-18。  new window
25.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
26.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns of stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
27.Shefrin, Hersh、Statman, Meir(2000)。Behavioral Portfolio Theory。Journal of Financial and Quantitative Analysis，35(2)，127-151。  new window
28.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research，6(2)，159-178。  new window
29.周賓凰、張宇志、林美珍(20070700)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19(2)=74，153-190。new window  延伸查詢new window
30.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets，7(3)，271-299。  new window
31.Black, Fisher(1986)。Noise。Journal of Finance，41(3)，529-543。  new window
32.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy，98(4)，703-738。  new window
33.Fisher, Kenneth L.、Statman, Meir(2000)。Investor Sentiment And Stock Returns。Financial Analysts Journal，56(2)，16-23。  new window
34.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
35.Olsen, Robert A.(1998)。Behavioral Finance and its Implications for Stock-Price Volatility。Financial Analysts Journal，54(2)，10-18。  new window
36.Statman, Meir(1999)。Behavioral Finance: Past Battles and Future Engagements。Financial Analysts Journal，55(6)，18-27。  new window
37.Baker, Malcolm、Wurgler, Jeffrey(2007)。Investor sentiment in the stock market。Journal of Economic Perspectives，21(2)，129-152。  new window
38.Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance，11(1)，1-27。  new window
39.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance，61(4)，1645-1680。  new window
40.Lee, Wayne Y.、Jiang, Christine X.、Indro, Daniel C.(2002)。Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment。Journal of Banking & Finance，26(12)，2277-2299。  new window
41.Brown, Stephen J.、Warner, Jerold B.(1980)。Measuring security price performance。Journal of Financial Economics，8(3)，205-258。  new window
42.蔡佩蓉、王元章、張眾卓(20090700)。投資人情緒、公司特徵與臺灣股票報酬之研究。經濟研究. 臺北大學經濟學系，45(2)，273-322。new window  延伸查詢new window
43.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
44.Brown, Stephen J.、Warner, Jerold B.(1985)。Using Daily Stock Returns: The Case of Event Studies。Journal of Financial Economics，14(1)，3-31。  new window
45.Basu, Sanjoy(1983)。The Relationship between Earnings' Yield, Market Value and Return for NYSE Common Stocks: Further Evidence。Journal of Finance Economics，12(1)，129-156。  new window
46.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance，49(5)，1541-1578。  new window
圖書
1.Graham, B(1973)。The Intelligent Investor a Book of Practical Counsel。New York：Harper。  new window
2.Malkiel, Burton G.、楊美齡(1996)。漫步華爾街：股市的終生理財。台北：天下文化。  延伸查詢new window
3.郭硯靈、潘方勇(2008)。巴菲特給散戶的9個忠告。臺北：海鴿。  延伸查詢new window
4.Burghardt, M.(2010)。Retail investor sentiment and behavior: An empirical analysis。Germany：Dissertation Karlsruhe Institute of Technology。  new window
5.Saettele, J.(2008)。Sentiment in the Forex Market。Canada：Simultaneously Publishing。  new window
6.沈中華、李建然(2000)。事件研究法--財務與會計實證研究必備。華泰文化事業公司。  延伸查詢new window
單篇論文
1.Levy, T.(2009)。Consumer Sentiment Index and Stock Returns。  new window
2.Shleifer, A.(2000)。Inefficient markets: An introduction to behavioral finance. Unpublished manuscript，University of Oxford。  new window
 
 
 
 
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