期刊論文1. | Duffee, G. R.(1995)。Stock Returns and Volatility: A Firm Level Analysis。Journal of Financial Economics,37(3),399-420。 |
2. | Yu, J.、Yuan, Y.(2011)。Investor sentiment and the mean-variance relation。Journal of Financial Economics,100(2),367-381。 |
3. | García, Diego(2013)。Sentiment during recessions。The Journal of Finance,68(3),1267-1300。 |
4. | Schmeling, M.(2009)。Investor sentiment and stock returns: Some international evidence。Journal of Empirical Finance,16(3),394-408。 |
5. | Brown, G. W.、Cliff, M. T.(2005)。Investor Sentiment and Asset Valuation。Journal of Business,78(2),405-440。 |
6. | 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。 |
7. | Harvey, C. R.(2001)。The Specification of Conditional Expectations。Journal of Empirical Finance,8(5),573-637。 |
8. | Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control,18(5),931-955。 |
9. | Barber, B. M.、Odean, T.、Zhu, N.(2009)。Systematic Noise。Journal of Financial Markets,12(4),547-569。 |
10. | Lundblad, C. T.(2007)。The risk return tradeoff in the long-run: 1836-2003。Journal of Financial Economics,85(1),123-150。 |
11. | Horowitz, Joel L.、Loughran, Tim、Savin, Nathan E.(2000)。Three analyses of the firm size premium。Journal of Empirical Finance,7(2),143-153。 |
12. | Schultz, Paul(1983)。Transaction costs and the small firm effect: A comment。Journal of Financial Economics,12(1),81-88。 |
13. | Pastor, L.、Sinha, M.、Swaminathan, B.(2008)。Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital。Journal of Finance,63(6),2859-2897。 |
14. | Kim, S. J.、McKenzie, M. D.、Faff, R. W.(2004)。Macroeconomic news announcements and the role of expectations: Evidence for US bond, stock and foreign exchange markets。Journal of Multinational Financial Management,14(3),217-232。 |
15. | Danbolt, J.、Siganos, A.、Vagenas-Nanos, E.(2015)。Investor sentiment and bidder announcement abnormal returns。Journal of Corporate Finance,33,164-179。 |
16. | Guo, Hui、Whitelaw, Robert F.(2006)。Uncovering the Risk-Return Relation in the Stock Market。The Journal of Finance,61(3),1433-1463。 |
17. | 許菁旂、黃文聰、黃振聰(20151200)。投資人情緒對低波動異常現象的預測力:市場狀態的影響。管理學報,32(4),399-424。 延伸查詢 |
18. | 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。 延伸查詢 |
19. | Chung, S.-L.、Hung, C.-H.、Yeh, C.-Y.(2012)。When does investor sentiment predict stock returns?。Journal of Empirical Finance,19(2),217-240。 |
20. | Kaplanski, G.、Levy, H.(2010)。Sentiment and stock prices: The case of aviation disasters。Journal of Financial Economics,95(2),174-201。 |
21. | Wu, Jing Cynthia、Xia, Fan Dora(2016)。Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound。Journal of Money, Credit and Banking,48(2/3),253-291。 |
22. | 張森林、葉宗穎(20110600)。Predicting Market Regimes and Stock Returns Using Investor Sentiment。證券市場發展季刊,23(2)=90,1-28。 延伸查詢 |
23. | Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。 |
24. | 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。 |
25. | Smales, L. A.(2017)。The Importance of Fear: Investor Sentiment and Stock Market Returns。Applied Economics,49(34),3395-3421。 |
26. | Gervais, Simon、Odean, Terrance(2001)。Learning to be Overconfident。Review of Financial Studies,14(1),1-27。 |
27. | 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。 延伸查詢 |
28. | Balduzzi, P.、Moneta, F.(2017)。Economic Risk Premia in the Fixed-Income Markets。Journal of Financial and Quantitative Analysis,52(5),1927-1950。 |
29. | Bernile, G.、Hu, J.、Tang, Y.(2016)。Can information be locked up? Informed trading ahead of macro-news announcements。Journal of Financial Economics,121(3),496-520。 |
30. | Bergbrant, M. C.、Kelly, P. J.(2016)。Macroeconomic Expectations and the Size, Value, and Momentum Factors。Financial Management,45(4),809-844。 |
31. | Caporale, G. M.、Spagnolo, F.、Spagnolo, N.(2017)。Macro News and Commodity Returns。International Journal of Finance and Economics,22(1),68-80。 |
32. | Caporale, G. M.、Spagnolo, F.、Spagnolo, N.(2016)。Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis。International Review of Financial Analysis,45,180-188。 |
33. | Chan, K. F.、Bowman, R. G.、Neely, C. J.(2017)。Systematic cojumps, market component portfolios and scheduled macroeconomic announcements。Journal of Empirical Finance,43,43-58。 |
34. | Chan, K. F.、Gray, P.(2017)。Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?。Journal of Futures Markets,37(1),71-89。 |
35. | Chen, H.-K.、Lien, C.-T.(2017)。Market Reaction to Macroeconomic News: The Role of Investor Sentiment。Asia-Pacific Journal of Financial Studies,46(6),853-875。 |
36. | Chen, J.、Liu, Y. J.、Lu, L.、Tang, Y.(2016)。Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures。Journal of Futures Markets,36(3),240-266。 |
37. | Chiu, J.、Chung, H.、Ho, K. Y.、Wu, C. C.(2018)。Investor sentiment and evaporating liquidity during the financial crisis。International Review of Economics & Finance,55,21-36。 |
38. | Du, D.、Hu, O.(2018)。The sentiment premium and macroeconomic announcements。Review of Quantitative Finance and Accounting,50(1),207-237。 |
39. | Du, D.、Hu, O.、Zhao, X.(2016)。Currency Risk Premium And U.S. Macroeconomic Announcement。Journal of Financial Research,39(4),359-388。 |
40. | Fleming, M. J.、Mizrach, B.、Nguyen, G.(2018)。The microstructure of a U.S. Treasury ECN: The BrokerTec platform。Journal of Financial Markets,40,2-22。 |
41. | Gilbert, T.、Scotti, C.、Strasser, G.、Vega, C.(2017)。Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?。Journal of Monetary Economics,92,78-95。 |
42. | Hanousek, J.、Kočenda, E.(2011)。Foreign News and Spillovers in Emerging European Stock Markets。Review of International Economics,19(1),170-188。 |
43. | Hauptfleisch, M.、Putnins, T. J.、Lucey, B.(2016)。Who Sets the Price of Gold? London or New York。Journal of Futures Markets,36(6),546-586。 |
44. | Ishfaq, M.、Qiong, Z. B.、Shah, S. M. R.(2017)。Global Macroeconomic Announcements and Foreign Exchange Implied Volatility。International Journal of Economics and Financial Issues,7(5),119-127。 |
45. | Liu, X.(2017)。Unfolded risk-return trade-offs and links to Macroeconomic Dynamics。Journal of Banking & Finance,82,1-19。 |
46. | Nguyen, T.(2011)。US macroeconomic news spillover effects on Vietnamese stock market。Journal of Risk Finance,12(5),389-399。 |
47. | Nikiforov, A.、Pilotte, E.(2017)。Macroeconomic Announcements and the Distribution of Price-Endings in the U.S. Treasury Market。Financial Review,52(1),69-100。 |
48. | Omokehinde, J. O.、Abata, M. A.、Migiro, S. O.(2017)。Foreign Exchange News Announcements and the Volatility of Stock Returns in Nigeria。SPOUDAI Journal of Economics and Business,67(3),3-17。 |
49. | Omrane, W. B.、Savaser, T.(2016)。The sign switch effect of macroeconomic news in foreign exchange market。Journal of International Financial Markets, Institutions and Money,45,96-114。 |
50. | Savor, P.、Wilson, M.(2014)。Asset pricing: A tale of two days。Journal of Financial Economics,113(2),171-201。 |
51. | Scotti, C.(2016)。Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises。Journal of Monetary Economics,82,1-19。 |
52. | Seok, S. I.、Cho, H.、Ryu, D.(2019)。Firm-specific investor sentiment and daily stock returns。The North American Journal of Economics and Finance,50。 |
53. | Shen, J.、Yu, J.、Zhao, S.(2017)。Investor sentiment and economic forces。Journal of Monetary Economics,86,1-21。 |
54. | Sun, Y.、Liu, X.、Chen, G.、Hao, Y.、Zhang, Z. J.(2020)。How mood affects the stock market: Empirical evidence from microblogs。Information & Management,57(5)。 |
55. | Tse, Y.、Devos, E.(2004)。Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex)。Journal of Banking & Finance,28(1),63-83。 |
56. | Wang, Q.、Zhang, J.(2016)。Trade Size Clustering In The E-Mini Index Futures Markets。Journal of Financial Research,39(3),247-262。 |
57. | Yang, H.、Ryu, D.、Ryu, D.(2017)。Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market。Investment Analysts Journal,46(2),132-147。 |
58. | Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。 |
59. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。 |
60. | 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。 |
61. | Wasserfallen, Water(1989)。Macroeconomics News and the Stock Market: Evidence from Europe。Journal of Banking & Finance,13(4/5),613-626。 |