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題名:Are Higher Co-moments Priced? A Tale of Two Countries
書刊名:財務金融學刊
作者:董良林少群葛鴻雲
作者(外文):Dong, LiangLam, Keith S. K.Kot, Hung Wan
出版日期:2020
卷期:28:1
頁次:頁77-109
主題關鍵詞:高階風險協峰度協偏度中國股票市場英國股票市場Higher co-momentsCoskewnessCokurtosisChina stock marketU.K. stock market
原始連結:連回原系統網址new window
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  • 共同引用共同引用:0
  • 點閱點閱:3
期刊論文
1.Li, Kai、Wang, Tan、Cheung, Yan-Leung、Jiang, Ping(2011)。Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China。The Review of Financial Studies,24(7),2499-2525。  new window
2.Xing, Yuhang、Zhang, Xiaoyan、Zhao, Rui(2010)。What Does the Individual Option Volatility Smirk Tell Us about Future Equity Returns?。Journal of Financial and Quantitative Analysis,45(3),641-662。  new window
3.Lee, Kuan-Hui(2011)。The World Price of Liquidity Risk。Journal of Financial Economics,99(1),136-161。  new window
4.Rubinstein, Mark E.(1973)。The fundamental theorem of parameter-preference security valuation。Journal of Financial and Quantitative Analysis,8,61-69。  new window
5.Chang, Bo Young、Christoffersen, Peter、Jacobs, Kris(2013)。Market Skewness Risk and the Cross Section of Stock Returns。Journal of Financial Economics,107(1),46-68。  new window
6.Okimoto, Tatsuyoshi(2008)。New Evidence of Asymmetric Dependence Structures in International Equity Markets。Journal of Financial and Quantitative Analysis,43(3),787-816。  new window
7.Gibbons, Michael R.、Ross, Stephen A.、Shanken, Jay(1989)。A test of the efficiency of a given portfolio。Econometrica,57(5),1121-1152。  new window
8.Shanken, Jay(1992)。On the Estimation of Beta-Pricing Models。Review of Financial Studies,5(1),1-33。  new window
9.Kimball, Miles S.(1990)。Precautionary Saving in the Small and in the Large。Econometrica,58,53-73。  new window
10.Lin, Chihuang H.、Shiu, Cheng-Yi(2003)。Foreign ownership in the Taiwan stock market: an empirical analysis。Journal of Multinational Financial Management,13(1),19-41。  new window
11.Gollier, Christian、Pratt, John W.(1996)。Risk Vulnerability and the Tempering Effect of Background Risk。Econometrica,64,1109-1123。  new window
12.Cheng, Hwahsin、Glascock, John L.(2005)。Dynamic linkages between the Greater China Economic Area stock markets--Mainland China, Hong Kong, and Taiwan。Review of Quantitative Finance and Accounting,24(4),343-357。  new window
13.Bae, Kee-Hong、Lim, Chanwoo、Wei, John Kuo-Chiang(2006)。Corporate governance and conditional skewness in the world's stock markets。Journal of Business,79(6),2999-3028。  new window
14.Reinganum, Marc R.(1982)。A direct test of Roll's conjecture on the firm size effect。Journal of Finance,37,27-35。  new window
15.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。  new window
16.Scott, Robert C.、Horvath, Philip A.(1980)。On the Direction of Preference for Moments of Higher Order Than the Variance。Journal of Finance,35,915-919。  new window
17.Hou, Wenxuan、Kuo, Jing-Ming、Lee, Edward(2012)。The impact of state ownership on share price informativeness: The case of the split share structure reform in China。British Accounting Review,44(4),248-261。  new window
18.Hung, Pi-Hsia(2016)。Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange。Pacific-Basin Finance Journal,39,124-140。  new window
19.Friend, Irwin、Westerfield, Randolph(1980)。Co-skewness and Capital Asset Pricing。Journal of Finance,35,897-913。  new window
20.Harvey, Campbell R.、Siddique, Akhtar(2000)。Conditional skewness in asset pricing tests。The Journal of Finance,55(3),1263-1295。  new window
21.Kraus, Alan、Litzenberger, Robert H.(1976)。Skewness preference and the valuation of risk assets。Journal of Finance,31(4),1085-1100。  new window
22.Ince, Ozgur S.、Porter, R. Burt(2006)。Individual equity return data from Thomson Datastream: Handle with care!。Journal of Financial Research,29(4),463-479。  new window
23.Alcock, Jamie、Hatherley, Anthony(2017)。Characterizing the asymmetric dependence premium。Review of Finance,21,1701-1737。  new window
24.Chen, Keqi、Chen, Rui、Zhang, Xueyong、Zhu, Min(2016)。Chinese stock market return predictability: Adaptive complete subset regressions。Asia-Pacific Journal of Financial Studies,45,779-804。  new window
25.Chen, Jiandong、Cumming, Douglas、Hou, Wenxuan、Lee, Edward(2016)。CEO accountability for corporate fraud: Evidence from the split share structure reform in China。Journal of Business Ethics,138(4),787-806。  new window
26.Chung, Peter Y.、Kim, Thomas S.(2017)。Asymmetric correlation as an explanation for the effect of asset skewness on equity returns。Asia-Pacific Journal of Financial Studies,46,686-699。  new window
27.Hung, Chi-Hsiou D.、Chen, Qiuliang、Fang, Victor(2015)。Non-tradable share reform, liquidity, and stock returns in China。International Review of Finance,15,27-54。  new window
28.Hung, Chi-Hsiou D.、Shackleton, Mark、Xu, Xinzhong(2004)。CAPM, higher co-moment and factor models of U.K. stock returns。Journal of Business Finance and Accounting,31(1/2),87-112。  new window
29.Jondeau, Eric、Rockinger, Michael(2003)。Testing for differences in the tails of stock-market returns。Journal of Empirical Finance,10,559-581。  new window
30.Kang, Byoung Uk、In, Francis、Kim, Gunky、Kim, Tong Suk(2010)。A longer look at the asymmetric dependence between hedge funds and the equity market。Journal of Financial and Quantitative Analysis,45(3),763-789。  new window
31.Kostakis, Alexandros、Muhammad, Kashif、Siganos, Antonios(2012)。Higher co-moments and asset pricing on London Stock Exchange。Journal of Banking and Finance,36(3),913-922。  new window
32.Kostakis, Alexandros、Panigirtzoglou, Nikolaos、Skiadopoulos, George(2011)。Market timing with option-implied distributions: A forward-looking approach。Management Science,57(7),1231-1249。  new window
33.Lambert, Marie、Hübner, Georges(2013)。Comoment risk and stock returns。Journal of Empirical Finance,23,191-205。  new window
34.L'Her, Jean-François、Masmoudi, Tarek、Suret, Jean-Marc(2004)。Evidence to support the four-factor pricing model from the Canadian stock market。Journal of International Financial Markets, Institutions and Money,14(4),313-328。  new window
35.Li, Xindan、Zhang, Bing(2011)。Has split share structure reform improved the efficiency of the Chinese stock market?。Applied Economics Letters,18(11),1061-1064。  new window
36.Post, Thierry、van Vliet, Pim、Levy, Haim(2008)。Risk aversion and skewness preference。Journal of Banking and Finance,32,1178-1187。  new window
37.Poti, Valerio、Wang, DengLi(2010)。The coskewness puzzle。Journal of Banking and Finance,34(8),1827-1838。  new window
38.Rehman, Zahid、Vilkov, Grigory(2012)。Risk-neutral skewness: Return predictability and its sources。SSRN Electronic Journal。  new window
39.Smith, Daniel R.(2007)。Conditional coskewness and asset pricing。Journal of Empirical Finance,14(1),91-119。  new window
40.Soares, Nuno、Stark, Andrew W.(2009)。The accruals anomaly-- Can implementable portfolio strategies be developed that are profitable net of transactions costs in the U.K.?。Accounting and Business Research,39(4),321-345。  new window
41.Su, Dongwei(2008)。Noise trading and market quality in Chinese stock markets。Economic Research Journal,9,82-95。  new window
42.Patton, Andrew J.(2004)。On the out-of-sample importance of skewness and asymmetric dependence for asset allocation。Journal of Financial Econometrics,2(1),130-168。  new window
43.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。  new window
44.Pástor, Ľuboš、Stambaugh, Robert F.(2003)。Liquidity Risk and Expected Stock Returns。Journal of Political Economy,111(3),642-685。  new window
45.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
46.Chan, Louis K. C.、Lakonishok, Josef、Hamao, Yasushi(1991)。Fundamentals and Stock Returns in Japan。The Journal of Finance,46(5),1739-1789。  new window
47.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
48.Reinganum, Marc R.(1981)。Misspecification of capital asset pricing: empirical anomalies based on earnings yields and market values。Journal of Financial Economics,9(1),19-46。  new window
49.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance,19(3),425-442。  new window
50.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
51.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
52.Bekaert, Geert、Erb, Claude B.、Harvey, Campbell R.、Viskanta, Tadas E.(1998)。Distributional Characteristics of Emerging Market Returns and Asset Allocation。The Journal of Portfolio Management,24(2),102-116。  new window
53.Dittmar, Robert F.(2002)。Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns。The Journal of Finance,57(1),369-403。  new window
研究報告
1.Kimball, Miles S.(1991)。Precautionary motives for holding assets。National Bureau of Economic Research。  new window
2.Lin, Thomas W.(2004)。Corporate governance in China: Recent developments, key problems and solutions。  new window
圖書
1.Jackvverth, Jens C.(2004)。Option-implied risk-neutral distributions and risk aversion。Charlottesville:Research Foundation of AIMR。  new window
 
 
 
 
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