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題名：Alternative Specifications and Estimation Methods for Determining Random Beta Coefficients: Comparison and Extensions
書刊名：中國財務學刊
作者：霍熾榮／李正福／鄭治明
作者(外文)：Fok, Robert C. W.／Lee, Cheng Few／Chen, David C.
出版日期：1996
卷期：4:2
頁次：頁61-88
主題關鍵詞：隨機貝它；投資組合理論；卡爾門濾嘴；異常報酬；Random beta；Portfolio theory；Kalman filter；Abnormal return
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:0
  • 點閱點閱:71
期刊論文
1.Douglas, George W.(1969)。Risk in the equity markets: An empirical appraisal of market efficiency。Yale Economic Essays，9，3-45。  new window
2.Bos, T.、Newbold, P.(1984)。An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model。Journal of Business，57(1)，35-41。  new window
3.Lintner, John(1965)。Security Prices, Risk and Maximal Gains from Diversification。Journal of Finance，20(4)，587-615。  new window
4.Alexander, G.、Benson, P. G.(1982)。More on Beta as a Random Coefficient。Journal of Financial and Quantitative Analysis，17，27-36。  new window
5.Chang, W.、Weiss, D. E.(1991)。An Examination of the Time Series Properties of Beta in the Market Model。Journal of the American Statistical Association，86，883-890。  new window
6.Chen, S. N.、Keown, A. J.(1981)。Risk Decomposition and Portfolio Diversification When Beta is Nonstationary: A Note。Journal of Finance，35(4)，941-947。  new window
7.Hildreth, C.、Houck, J. P.(1968)。Some Estimators for a Linear Model with Random Coefficients。Journal of the American Statistical Association，13，584-595。  new window
8.Lee, C. F.、Chen, C. R.(1982)。Beta Stability and Tendency: An Application of a Variable Mean Response Regression Model。Journal of Economics and Business，34，201-206。  new window
9.Lee, C. F.、Chen, S. N.(1980)。A Random Coefficient Model for Reexamining Risk-Decomposition Method and Risk-Return Relationship Test。Quarterly Review of Economics and Business，20，58-69。  new window
10.Obenchain, R. L.(1975)。Residual Optimality: Ordinary vs. Weighted vs. Biased Least Squares。Journal of American and Statistical Association，70，375-379。  new window
11.Sunder, S.(1980)。Stationarity of Market Risk Random Coefficient Tests for Individual Stocks。Journal of Finance，35，883-886。  new window
12.Theil, H.、Mennes, L. B. M.(1959)。Conception Stochasqique de Coefficients Multiplicateurs dam l'adjustment line'zien des series stemporelles。Publications del I'lnstitut de Statistique de l'universite de Paris，8，221-227。  new window
13.Warren,T. D.、Hildreth, C.(1977)。Maximum Likelihood Estimation in Random Coefficient Models。Journal of American Statistical Association，72，69-76。  new window
14.Fabozzi, F. J.、Francis, J. C.(1978)。Beta as a random coefficient。Journal of Financial and Quantitative Analysis，13，101-115。  new window
圖書
1.Hamilton, James Douglas(1994)。Time Series Analysis。Princeton University Press。  new window
2.Fama, E. F.(1976)。Foundations of Finance。New York：Basic Books。  new window
3.Harvey, A. C.(1990)。Forecasting, Structural Time Series Models and the Kalman Filter。Cambridge University Press。  new window
4.Kariya, Takeaki(1993)。Quantitative Methods for Portfolio Analysis: MTV Model Approach。Kluwer Academic Publishers。  new window
5.Theil, H.(1971)。Principle of Econometrics。New York, NY：John Wiley & Sons, Inc.。  new window
 
 
 
 
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