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題名：動態因子波動度模型與股票預期報酬：建基在無跡卡爾曼濾波分析法與自我相關條件異質變異模型
書刊名：經濟研究. 臺北大學經濟學系
作者：王睦舜 引用關係／林基煌 引用關係
作者(外文)：Wang, Mu-shun／Lin, Chihuang
出版日期：2017
卷期：53:1
頁次：頁129-179
主題關鍵詞：公司特有風險；樣本外預測；無跡卡爾曼濾波；定價偏誤；動態因子波動度；Idiosyncratic volatility；Out-of-sample predictability；Unscented Kalman filter；Pricing bias；Dynamic factors volatility
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期刊論文
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5.Cont, R.(2001)。Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues。Quantitative Finance，1(2)，223-236。  new window
6.Ghysels, E.、Santa-Clara, P.、Valkanov, R.(2005)。There is a Risk-Return Trade-off After All。Journal of Financial Economics，76(3)，509-548。  new window
7.Campbell, J. Y.、Vuolteenaho, T.(2004)。Bad beta, good beta。The American Economic Review，94(5)，1249-1275。  new window
8.Hjalmarsson, E.(2010)。Predicting Global Stock Returns。Journal of Financial and Quantitative Analysis，45(1)，49-80。  new window
9.Ang, Andrew、Bekaert, Geert(2007)。Stock Return Predictability: Is It There?。Review of Financial Studies，20(3)，651-707。  new window
10.Adrian, T.、Rosenberg, J.(2008)。Stock Returns and Volatility: Pricing the Short-run and Long-run Components of Market Risk。Journal of Finance，63(6)，2997-3030。  new window
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18.Boudoukh, J.、Michaely, R.、Richardson, M.、Roberts, M. R.(2007)。On the importance of measuring payout yield: implications for empirical asset pricing。Journal of Finance，62(2)，877-915。  new window
19.Fama, Eugene F.、French, Kenneth R.(1989)。Business Conditions and Expected Returns on Stocks and Bonds。Journal of Financial Economics，25(1)，23-49。  new window
20.Guo, Hui、Savickas, Robert(2008)。Average Idiosyncratic Volatility in G7 Countries。Review of Financial Studies，21(3)，1259-1296。  new window
21.Wang, Mu-shun(2013)。Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression。Asia-Pacific Financial Markets，20(2)，113-129。  new window
22.Brandt, M. W.、Kang, Q.(2004)。On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach。Journal of Financial Economics，72(2)，217-257。  new window
23.Novy-Marx, Robert(2013)。The Other Side of Value: The Gross Profitability Premium。Journal of Financial Economics，108(1)，1-28。  new window
24.Cochrane, J. H.(2011)。Presidential Address: Discount Rates。Journal of Finance，66(4)，1047-1108。  new window
25.Jagannathan, Ravi、Wang, Zhenyu(1996)。The conditional CAPM and the cross-section of expected returns。Journal of Finance，51(1)，3-53。  new window
26.King, Mervyn、Sentana, Enrique、Wadhwani, Sushil(1994)。Volatility and Links between National Stock markets。Econometrica，62(4)，901-933。  new window
27.Pontiff, Jeffrey、Schall, Lawrence D.(1998)。Book-to-market ratios as predictors of market returns。Journal of Financial Economics，49(2)，141-160。  new window
28.Campbell, John Y.、Shiller, Robert J.(1988)。Stock Prices, Earnings, and Expected Dividends。Journal of Finance，43(3)，661-676。  new window
29.Neely, Christopher J.、Rapach, David E.、Tu, Jun、Zhou, Guofu(2014)。Forecasting the Equity Risk Premium: The Role of Technical Indicators。Management Science，60(7)，1772-1791。  new window
30.Lewellen, J.、Nagel, S.、Shanken, J.(2010)。A Skeptical Appraisal of Asset Pricing Tests。Journal of Financial Economics，96(2)，175-194。  new window
31.Breen, William、Glosten, Lawrence R.、Jagannathan, Ravi(1989)。Economic Significance of Predictable Variations in Stock Index Returns。Journal of Finance，44(5)，1177-1189。  new window
32.Guo, H.、Kassa, H.、Ferguson, M. F.(2014)。On the relation between EGARCH idiosyncratic volatility and expected stock returns。Journal of Financial and Quantitative Analysis，49(1)，271-296。  new window
33.Huang, W.、Liu, Q.、Rhee, S. G.、Zhang, L.(2010)。Return reversals, idiosyncratic risk, and expected returns。Review of Financial Studies，23(1)，147-168。  new window
34.Ludvigson, S. C.、Ng, S.(2007)。The Empirical Risk-Return Relation: A Factor Analysis Approach。Journal of Financial Economics，83(1)，171-222。  new window
35.Campbell, John Y.(1987)。Stock Returns and the Term Structure。Journal of Financial Economics，18(2)，373-399。  new window
36.Henkel, S. J.、Martin, J. S.、Nadari, F.(2011)。Time-varying short-horizon predictability。Journal of Financial Economics，99(3)，560-580。  new window
37.Fama, Eugene F.、French, Kenneth R.(2006)。The Value Premium and the CAPM。Journal of Finance，61(5)，2163-2185。  new window
38.Davis, J. L.、Fama, E. F.、French, K. R.(1997)。Characteristics, covariances, and average returns: 1929 to 1997。Journal of Finance，55(1)，389-406。  new window
39.陳家彬、劉映興、楊踐為(20100400)。Conditional Heteroscedasticity, Dual Time-Varying Betas in Bull and Bear Months of the Three-Factor Model。證券市場發展季刊，22(1)=85，1-27。new window  new window
40.Wei, S. X.、Zhang, C.(2005)。Idiosyncratic Risk Does Not Matter: A Re-Examination of the Relationship between Average Returns and Average Volatilities。Journal of Banking & Finance，29(3)，603-621。  new window
41.Yin, W.、Li, J.(2014)。Macroeconomic Fundamentals and the Exchange Rate Dynamics: A No-Arbitrage Macro-Finance Approach。Journal of International Money and Finance，41，46-64。  new window
42.Aharoni, G.、Grundy, B.、Zeng, Q.(2013)。Stock Returns and the Miller Modigliani Valuation Formula: Revisiting the Fama French Analysis。Journal of Financial Economics，110(2)，347-357。  new window
43.Angelidis, T.、Tessaromatis, N.(2009)。Idiosyncratic Risk Matters! A Regime Switching Approach。International Review of Economic & Finance，18(1)，132-141。  new window
44.Arshanapalli, B.、Fabozzi, F. J.、Nelson, W.(2013)。The Role of Jump Dynamics in the Risk: Return Relationship。International Review of Financial Analysis，29，212-218。  new window
45.Bauer, G. H.、Vorkink, K.(2011)。Forecasting Multivariate Realized Stock Market Volatility。Journal of Econometrics，160(1)，93-101。  new window
46.Belo, F.、Lin, X.、Bazdresch, S.(2014)。Labor Hiring, Investment, and Stock Return Predictability in the Cross Section。Journal of Political Economy，122(1)，129-177。  new window
47.Brennan, M. J.、Wang, A. W.、Xia, Y.(2004)。Estimation and Test of A Simple Model of Intertemporal Capital Asset Pricing。The Journal of Finance，59(4)，1743-1776。  new window
48.Dangl, T.、Halling, M.(2012)。Predictive Regressions with Time-Varying Coefficients。Journal of Financial Economics，106(1)，157-181。  new window
49.Diebold, Francis X.、Mariano, Roberto S.(2002)。Comparing Predictive Accuracy。Journal of Business & Economic Statistics，20(1)，134-144。  new window
50.Fama, Eugene F.、French, Kenneth R.(2015)。A Five-Factor Asset Pricing Model。Journal of Financial Economics，116(1)，1-22。  new window
51.Ferreira, M. A.、Santa-Clara, P.(2011)。Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole。Journal of Financial Economics，100(3)，514-537。  new window
52.Foster, F. D.、Smith, T.、Whaley, R. E.(1997)。Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R2。The Journal of Finance，52(2)，591-607。  new window
53.Guo, Hui、Whitelaw, Robert F.(2006)。Uncovering the Risk-Return Relation in the Stock Market。The Journal of Finance，61(3)，1433-1463。  new window
54.He, Z. L.、Huh, S. W.、Lee, B. S.(2010)。Dynamic Factors and Asset Pricing。Journal of Financial and Quantitative Analysis，45(3)，707-737。  new window
55.He, Z. L.、Zhu, J.、Zhu, X.(2015)。Dynamic Factors and Asset Pricing: International and Further U.S. Evidence。Pacific-Basin Finance Journal，32，21-39。  new window
56.He, Z. L.、Zhu, J.、Zhu, X.(2015)。Multi-Factor Volatility and Stock Returns。Journal of Banking & Finance，61(S2)，132-149。  new window
57.Huang, S. C.(2008)。Online Option Price Forecasting by Using Unscented Kalman Filters and Support Vector Machines。Expert Systems with Applications，34(4)，2819-2825。  new window
58.Zhou, Guofu、Kan, Raymond(1999)。A Critique of the Stochastic Discount Factor Methodology。The Journal of Finance，54(4)，1221-1248。  new window
59.Kang, J.、Kim, T. S.、Lee, C.、Min, B. K.(2011)。Macroeconomic risk and the cross-section of stock returns。Journal of Banking & Finance，35(12)，3158-3173。  new window
60.Kothari, S. P.、Shanken, J.(1997)。Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis。Journal of Financial Economics，44(2)，169-203。  new window
61.Li, J.(2013)。An Unscented Kalman Smoother for Volatility Extraction: Evidence from Stock Prices and Options。Computational Statistics & Data Analysis，58，15-26。  new window
62.Lo, Andrew W.、MacKinlay, A. Craig(1990)。Data-Snooping Biases in Tests of Financial Asset Pricing Models。The Review of Financial Studies，3(3)，431-467。  new window
63.McCausland, W. J.、Miller, S.、Pelletier, D.(2011)。Simulation Smoothing for State-Space Models: A Computational Efficiency Analysis。Computational Statistics & Data Analysis，55(1)，199-212。  new window
64.Nelson, C. R.(1976)。Inflation and Rates of Return on Common Stocks。The Journal of Finance，31(2)，471-483。  new window
65.Pástor, L.、Stambaugh, R. F.(2009)。Predictive Systems: Living with Imperfect Predictors。The Journal of Finance，64(4)，1583-1628。  new window
66.Rapach, D. E.、Strauss, J. K.、Zhou, G.(2010)。Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy。The Review of Financial Studies，23(2)，821-862。  new window
67.Rytchkov, O.(2012)。Filtering Out Expected Dividends and Expected Returns。The Quarterly Journal of Finance，2(3)，27-83。  new window
68.Särkkä, S.(2007)。On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems。IEEE Transactions on Automatic Control，52(9)，1631-1641。  new window
69.Simin, T.(2008)。The Poor Predictive Performance of Asset Pricing Models。Journal of Financial and Quantitative Analysis，43(2)，355-380。  new window
70.Vassalou, M.(2003)。News Related to Future GDP Growth as a Risk Factor in Equity Returns。Journal of Financial Economics，68(1)，47-73。  new window
71.Han, Yufeng、Yang, Ke、Zhou, Guofu(2013)。A new anomaly: The cross-sectional profitability of technical analysis。Journal of Financial and Quantitative Analysis，48(5)，1433-1461。  new window
72.Bali, Turan G.、Cakici, Nusret(2008)。Idiosyncratic volatility and the cross section of expected returns?。Journal of Financial and Quantitative Analysis，43(1)，29-58。  new window
73.Bali, Turan G.、Cakici, Nusret、Yan, Xuemin、Zhang, Zhe(2005)。Does idiosyncratic risk really matter?。Journal of Finance，60(2)，905-929。  new window
74.Fu, Fangjian(2009)。Idiosyncratic risk and the cross-section of expected stock returns。Journal of Financial Economics，91(1)，24-37。  new window
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76.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
77.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics，19(1)，3-29。  new window
78.Fama, Eugene F.、French, Kenneth R.(2001)。Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?。Journal of Financial Economics，60(1)，3-43。  new window
79.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance，51(1)，55-84。  new window
80.Shanken, J.(1985)。Multivariate tests of the zero-beta CAPM。Journal of Finance and Economics，14，327-348。  new window
81.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
82.Campbell, John Y.、Thompson, Samuel B.(2008)。Predicting excess stock returns out of sample: Can anything beat the historical average?。Review of Financial Studies，21(4)，1509-1531。  new window
83.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics，22(1)，3-25。  new window
84.Ang, Andrew、Hodrick, Robert J.、Xing, Yuhang、Zhang, Xiaoyan(2006)。The Cross-section of Volatility and Expected Returns。The Journal of Finance，61(1)，259-299。  new window
85.Campbell, John Y.、Shiller, Robert J.(1998)。Valuation Ratios and the Long-Run Stock Market Outlook。Journal of Portfolio Management，24(2)，11-26。  new window
86.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.Stock, J. H.、Watson, M. W.(2005)。Implications of dynamic factor models for VAR analysis。  new window
2.Bergbrant, M.(2010)。Trading Costs and the Relation between Idiosyncratic Volatility and Returns。  new window
3.Gospodinov, N.、Kan, R.、Robotti, C.(2014)。Spurious Inference in Unidentified Asset-Pricing Models。  new window
4.Kan, R.、Zhou, G.(2001)。Empirical Asset Pricing: The Beta Method versus the Stochastic Discount Factor Method。  new window
圖書
1.Dow, C. H.(1920)。Scientific Stock Speculation。New York：Magazine of Wall Street。  new window
2.Shephard, N.(2005)。Stochastic Volatility: Selected Reading。Oxford：Oxford University Press。  new window
其他
1.French, K. R.(2016)。Data Library，http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/index.html。  new window
 
 
 
 
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