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題名:臺灣股票市場權益風險溢酬之分析
書刊名:東吳經濟商學學報
作者:林育秀 引用關係
作者(外文):Lin, Yu-hsiu
出版日期:2020
卷期:100
頁次:頁61-94
主題關鍵詞:風險溢酬展望理論損失趨避Equity premiumProspect theoryLoss aversion
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(1) 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:1
  • 共同引用共同引用:9
  • 點閱點閱:5
期刊論文
1.Abel, Andrew B.(1990)。Asset Prices under Habit Formation and Catching up with the Joneses。American Economic Review,80,38-42。  new window
2.Fama, E. F.、French, K. R.(2002)。The Equity Premium。Journal of Finance,57(2),637-659。  new window
3.Epstein, Lany G.、Zin, Stanley E.(1989)。Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework。Econometrica,57(4),937-969。  new window
4.Heaton, J.、Lucas, D. J.(1997)。Market Frictions, Saving Behavior and Portfolio Choice。Macroeconomic Dynamics,1(1),76-101。  new window
5.Constantinides, G. M.、Donaldson, J. B.、Mehra, R.(2002)。Junior can't borrow: a new perspective on the equity premium puzzle。Quarterly Journal of Economics,117,269-296。  new window
6.Bansal, Ravi、Yaron, Amir(2004)。Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles。Journal of Finance,59(4),1481-1509。  new window
7.Jermann, U. J.(1998)。Asset pricing in production economies。Journal of Monetary Economics,41,257-275。  new window
8.Mankiw, N. Gregory、Zeldes, Stephen P.(1991)。The consumption of stockholders and nonstockholders。Journal of Financial Economics,29,97-112。  new window
9.Reitz, Thomas A.(1988)。The equity risk premium: A solution。Journal of Monetary Economics,22(1),117-131。  new window
10.Barro, R. J.(2006)。Rare disasters and asset markets in the twentieth century。The Quarterly Journal of Economics,121(3),823-866。  new window
11.Weil, Philippe(1989)。The equity premium puzzle and the risk-free rate puzzle。Journal of Monetary Economics,24(3),401-421。  new window
12.Kocherlakota, N. R.(1996)。The equity premium: It's still a puzzle。Journal of Economic Literature,34(1),42-71。  new window
13.Brown, S.、Goetzmann, W.、Ross, S.(1995)。Survival。Journal of Finance,50(3),853-873。  new window
14.Benartzi, Shlomo、Thaler, Richard H.(1995)。Myopic Loss Aversion and the Equity Premium Puzzle。Quarterly Journal of Economics,110(1),73-92。  new window
15.Constantinides, George M.(1990)。Habit formation: A resolution of the equity premium puzzle。Journal of Political Economy,98(3),519-543。  new window
16.Campbell, J. Y.、Cochrane, J. H.(1999)。By Force of Habit: A Consumption-based Explanation of Aggregate Stock Market Behavior。Journal of Political Economy,107(2),205-251。  new window
17.Barberis, Nicholas C.、Huang, Ming、Santos, Tano(2001)。Prospect Theory and Asset Prices。The Quarterly Journal of Economics,116(1),1-53。  new window
18.Tversky, Amos、Kahneman, Daniel(1991)。Loss Aversion in Riskless Choice: A Reference-Dependent Model。The Quarterly Journal of Economics,106(4),1039-1061。  new window
19.Mehra, R.、Sah, Raaj(2002)。Mood fluctuations, projection bias and volatility of equity prices。Journal of Economic Dynamics and Control,26(5),869-887。  new window
20.王韻怡、池祥萱、周冠男(20160300)。行為財務學文獻回顧與展望:臺灣市場之研究。經濟論文叢刊,44(1),1-55。new window  延伸查詢new window
21.林美珍、楊念慈(20171200)。行為財務學與資產訂價異常現象:文獻回顧與展望。證券市場發展季刊,29(4)=116,1-62。new window  延伸查詢new window
22.Croce, M. M.(2014)。Long-Run Productivity Risk: A New Hope for Production-based Asset Pricing?。Journal of Monetary Economics,66,13-31。  new window
23.Tversky, Amos、Kahneman, Daniel(1992)。Advances in prospect theory: Cumulative representation of uncertainty。Journal of Risk and Uncertainty,5(4),297-323。  new window
24.Shiller, Robert J.(1981)。Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?。American Economic Review,71(3),421-436。  new window
25.Andreasen M. M.、Jorgensen, K.(2019)。The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models。Journal of Monetary Economics,111,95-117。  new window
26.Boldrin, M.、Christiano, L.、Fisher, J.(2001)。Habit Persistence, Asset Returns, and the Business Cycle。American Economic Review,91,149-166。  new window
27.Boldrin, M.、Christiano, L.、Fisher, J.(1997)。Habit Persistence and Asset Returns in an Exchange Economy。Macroeconomic Dynamics,1,312-332。  new window
28.Epstein, L. G.、Farhi, E.、Strzalecki, T.(2014)。How Much Would You Pay to Resolve Long-Run Risk?。American Economic Review,104(9),2680-2697。  new window
29.Huang, A. G.、Hughson, E. N.、Leach, J. C.(2016)。Generational Asset Pricing, Equity Puzzles, and Cyclicality。Review of Economic Dynamics,22,52-71。  new window
30.Jacobs, K.、Pallage, S.、Robe, M. A.(2013)。Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data。Journal of Banking and Finance,37,378-388。  new window
31.Melino, A.、Yang, A. X.(2003)。State-dependent preferences can explain the equity premium puzzle。Review of Economic Dynamics,6(4),806-830。  new window
32.Otrok, C.、Ravikumar, B.、Whiteman, C. H.(2002)。Habit Formation: a Resolution of the Equity Premium Puzzle?。Journal of Monetary Economics,49(6),1261-1288。  new window
33.Shi, Zhan(2019)。Time-Varying Ambiguity, Credit Spreads, and the Levered Equity Premium。Journal of Financial Economics,134,617-646。  new window
34.Thimme, J.、Volkert, Clemens(2015)。High Order Smooth Ambiguity Preferences and Asset Prices。Review of Financial Economics,27,1-15。  new window
35.Weitzman, M.(2007)。Subjective Expectations and Asset-Return Puzzles。American Economic Review,97(4),1102-1130。  new window
36.Kahneman, Daniel、Tversky, Amos(1979)。Prospect Theory: An Analysis of Decision under Risk。Econometrica: Journal of the Econometric Society,47(2),263-292。  new window
37.Mehra, Rajnesh、Prescott, Edward C.(1985)。The Equity Premium: A Puzzle。Journal of Monetary Economics,15(2),145-161。  new window
38.LeRoy, Stephen F.、Porter, Richard D.(1981)。The Present-Value Relation: Tests Based on Implied Variance Bounds。Econometrica,49(3),555-574。  new window
學位論文
1.莊英琴(2010)。台灣證券巿場風險溢酬之時變性研究(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
2.簡瑞璞(2004)。台灣股票市場的長期超額報酬與股票風險溢酬值(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.Szyszka, Adam(2013)。Behavioral Finance and Capital Markets。Palgrave Macmillan, a division of St. Martin's Press LLC。  new window
圖書論文
1.Barberis, N.、Thaler, R.(2003)。A survey of behavioral finance。Handbook of the Economics of Finance。Elsevier。  new window
2.Donaldson, J. B.、Mehra, R.(2008)。Risk-Based Explanations of the Equity Premium。Handbook of the Equity Premium。Elsevier B.V.。  new window
 
 
 
 
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