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題名:異質性風險與股票報酬率:臺灣上市公司之實證分析
書刊名:藝見學刊
作者:張俊評蔡永順臧仕維徐秀芬
作者(外文):Chang, Chun-pingTsai, Yung-shunTzang, Shyh-weirHsiu, Show-feng
出版日期:2020
卷期:19
頁次:頁101-119
主題關鍵詞:殘差反轉策略三因子模型ResidualReversal strategyThree-factor model
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(0) 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:0
  • 共同引用共同引用:9
  • 點閱點閱:2
期刊論文
1.Bali, T. G.、Cakici, N.(2004)。Value at Risk and Expected Stock Returns。Financial Analysts Journal,60(2),57-73。  new window
2.Conrad, J.、Kaul, G.(1998)。An Anatomy of Trading Strategies。Review of Financial Studies,11(3),489-519。  new window
3.Chan, K. C.(1988)。On the Contrarian Strategy。Journal of Business,61(2),147-163。  new window
4.Jegadeesh, N.、Titman, S.(1995)。Overreaction, Delayed Reaction and Contrarian Profits。Review of Financial Studies,8(4),973-993。  new window
5.Jegadeesh, Narasimhan、Titman, Sheridan(1995)。Short-horizon return reversals and the bid-ask spread。Journal of Financial Intermediation,4(2),116-132。  new window
6.Gutierrez, Roberto C.、Prinsky, Christo A.(2007)。Momentum, Reversal, and the Trading Behaviors of Institutions。Journal of Financial Markets,10(1),48-75。  new window
7.Harrison, H.、Stein, Jeremy C.(1999)。A unified Theory of Under reaction, Momentum Trading, and Overreaction in Asset Markets。Journal of Finance,54(6),2143-2184。  new window
8.Boudoukh, J.、Richardson, M. P.、Whitelaw, R. F.(1994)。A tale of three schools: insights on autocorrelations of short-horizon stock returns。The Review of Financial Studies,7(3),539-573。  new window
9.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
10.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。  new window
11.Lo, Andrew W.、MacKinlay, A. Craig(1990)。When Are Contrarian Profits Due to Stock Market Overreaction?。The Review of Financial Studies,3(2),175-205。  new window
12.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance,51(5),1681-1713。  new window
13.Rouwenhorst, K. Geert(1998)。International Momentum Strategies。The Journal of Finance,53(1),267-284。  new window
14.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
15.Blitz, D.、Huij, J.、Lansdorp, S.、Verbeek, M.(2013)。Short-term residual reversal。Journal of Financial Markets,16(3),477-504。  new window
16.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
17.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
18.Lehmann, Bruce N.(1990)。Fads, Martingales, and Market Efficiency。The Quarterly Journal of Economics,105(1),1-28。  new window
19.Ball, R.、Kothari, S. P.、Wasley, C. E.(1995)。Can we implement research on stock trading rules?。The Journal of Portfolio Management,21(2),54-63。  new window
學位論文
1.李香玫(2013)。短期殘差反轉策略在台灣股市有效性之分析(碩士論文)。亞洲大學。  延伸查詢new window
2.陳正佑(2002)。台股動量策略與反向策略投資績效之研究(博士論文)。國立中山大學。new window  延伸查詢new window
 
 
 
 
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