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題名:偏態與峰態訊息在臺灣股票市場的實證分析
書刊名:臺灣銀行季刊
作者:蔡蕙安 引用關係劉昭賢
出版日期:1999
卷期:50:4
頁次:頁86-129
主題關鍵詞:偏態訊息峰態訊息臺灣股票市場報酬分配
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:5
     一般的資產訂價模型,如市場模型與資本資產訂價模型,大多是在前二級動差(均 值及變異數)的基礎下所形成的。本文加入報酬分配中較高階的動差訊息及效用分析, 對利得或損失的不對稱評價來擴展市場模型;並應用臺灣上市公司中的41家樣本公司 的週報酬率資料進行實證分析,實證結果證明經高階動差與效用考量擴展後的模型更能 解釋資產報酬的來源;且只有當個別資產的當期報酬表現不佳時,正的偏態與峰態才具 有正的價格。
期刊論文
1.Arditti, F. D.(1967)。Risk and the required return on equity。Journal of Finance,22(1),19-36。  new window
2.Arditti, F.、Levy, H.(1975)。Portfolio Efficiency Analysis in Three Moments: The Multiperiod Case。Journal of Finance,30(3),797-809。  new window
3.Fang, Hsing、Lai, Tsong-Yue(1997)。Co-Kurtosis and Capital Asset Pricing。The Financial Review,32(2),293-307。  new window
4.Kraus, A.、Litzenberger, R.(1976)。Skewness preference and the Valuation of Risk Assets。Journal of Finance,1976(Sep.),1085-1100。  new window
5.Knetsch, J.、Sinden, J. A.(1984)。Willingness to Pay and Compensation Demand: Experimental Evidence of an Unexpected Disparity in Measure of Value。Quarterly Journal of Economics,1984(Aug.),507-521。  new window
6.McEnally, R.(1974)。A Note on the Return Behavior of High Risk Common Stock。Journal of Finance,1974(Mar.),199-202。  new window
7.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
8.Simkowitz, M.、Beedles, W.(1978)。Diversification in a Three-Moment World。Journal of Financial and Quantitative Analysis,1978(Sep.),927-942。  new window
9.Shawin, Lee、Chang, Kuo-Ping(1995)。Mean-Variance-Instabi1ity Portfolio Analysis: A Case of Taiwan's Stock Market。Management Science,41,1151-1157。  new window
10.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
會議論文
1.Norsworthy, J. R.、Bessler, W.、Nag, R.、Addepalli, R.、Schuler, R. E. Jr.(1996)。A Statistical Approach to Skewness in the Market Perception of Risk: An Application to 19 Utilities。The Biennial Regulatory Research Conference,National Association of Regulated Utility Commissioners 。National Regulatory Research Institute。  new window
2.Norsworthy, J. R.、Bessler, W.、Addepalli, R.、Schuler, R. E. Jr.、Shusterman, T.(1997)。The Risk-Return Relationship in Asset Pricing Models: Decision Rules, Utility Functions and Equity Premium Puzzle。The Third International Conference on Financial Econometrics,(會議日期: July 13-15)。Juneau, Alaska。  new window
研究報告
1.Benartzi, S.、Thaler, R. F.(1993)。Myopic Loss Aversion and the Equity Premium Puzzle。Cambridge, MA:National Bureau of Economic Research。  new window
圖書
1.杜金龍(1996)。基本分析在臺灣股市應用的訣竅。臺北市:金錢文化。  延伸查詢new window
2.陳松男(1995)。全球化投資動態分析:股票、債券與選擇權投資動態分析、風險規避策略。臺北市:台北金融研究發展基金會。  延伸查詢new window
圖書論文
1.Black, Fischer、Jensen, Michael C.、Scholes, Myron(1972)。The Capital Asset Pricing Model: Some Empirical Tests。Study in the Theory of Capital Markets。Praeger。  new window
 
 
 
 
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