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題名：臺灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？
書刊名：證券市場發展季刊
作者：周賓凰 引用關係／劉怡芬
作者(外文)：Chou, Pin-huang／Liu, Yi-feng
出版日期：2000
卷期：12:1=45
頁次：頁1-32
主題關鍵詞：資本資產定價理論；套利定價理論；公司特徵；總體經濟因子；CAPM；APT；Characteristics；Macroeconomic factors
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(43) 博士論文(5) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:42
  • 共同引用共同引用:42
  • 點閱點閱:134
期刊論文
1.Jagannathan, Ravi、Wang, Zhenyu。The Conditional CAPM and the Cross-section of Expected Returns。The Journal of Finance，51(1)，3-53。  new window
2.Daniel, K.、Titman, S.(1997)。Evidence on the Characteristics of Cross Sectional Variation in Stock Return。The Journal of Finance，52(1)，1-33。  new window
3.Chan, K. C.、Chen, N. F.(1988)。An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk。The Journal of Finance，43(2)，309-325。  new window
4.He, Jia、Ng, Lilian K.(1994)。Economic Forces, Fundamental Variables, and Equity Returns。The Journal of Business，67(4)，599-609。  new window
5.Grundy, Kevin、Malkiel, B. G.(1996)。Reports of beta's death have been greatly exaggerated。The Journal of Portfolio Management，36-44。  new window
6.Bauman, W. S.、Conover, C. M.、Miller, R. E.(1998)。Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets。Financial Analysts Journal，54(2)，75-89。  new window
7.Lo, Andrew W.、MacKinlay, A. Craig(1990)。Data-snooping biases in tests of financial asset pricing models。Review of Financial Studies，3(3)，431-468。  new window
8.Banz, Rolf W.、Breen, William J.(1986)。Sample-Dependent Results Using Accounting and Market Data: Some Evidence。The Journal of Finance，41(4)，779-793。  new window
9.劉亞秋、黃理哲、劉維琪(19960100)。An Analysis of Systematic Risk in Taiwan Stock Market。證券市場發展，8(1)=29，45-66。new window  延伸查詢new window
10.周賓凰、劉貽芳、林惠雪(19980000)。五種臺股指數績效與均異效率性之評估。證券市場發展季刊，10(4)=40，1-26。new window  延伸查詢new window
11.Capaul, Carlo、Rowley, Ian、Sharpe, William F.(1993)。International Value and Growth Stock Returns。Financial Analysts Journal，49(1)，27-36。  new window
12.Russell-Bennett, Rebekah、McColl-Kennedy, Janet R.、Coote, Leonard V.(2007)。Involvement, satisfaction, and brand loyalty in a small business services setting。Journal of Business Research，60(12)，1253-1260。  new window
13.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business，59(3)，383-403。  new window
14.Daniel, Kent、Titman, Sheridan(1998)。Characteristics or Covariances?。Journal of Portfolio Management，24(4)，24-33。  new window
15.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
16.Black, Fischer(1972)。Capital Market Equilibrium with Restricted Borrowing。Journal of Business，45(3)，444-455。  new window
17.Chui, Andy C. W.、Wei, K. C. John(1998)。Book-to-market, Firm Size, and the Turn-of-the-year Effect: Evidence from Pacific-Basin Emerging Markets。Pacific-Basin Finance Journal，6(3/4)，275-293。  new window
18.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics，47(1)，13-37。  new window
19.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory，13(3)，341-360。  new window
20.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
21.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
22.方智強、姚明慶(19980900)。臺灣上市公司的淨值市價比現象。管理學報，15(3)，367-391。new window  延伸查詢new window
23.Antoniou, Antonios、Garrett, Ian、Priestley, Richard(1998)。Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory。Journal of Empirical Finance，5，221-240。  new window
24.Clarke, Roger、Statman, Meir(1994)。Growth, Value, Good, and Bad。Financial Analysts Journal，November/ December，82-86。  new window
25.Harris, Robert S.、Marston, Felicia C.(1994)。Value versus Growth Stocks: Book-to Market, Growth, and Beta。Financial Analysts Journal，September/ October，18-24。  new window
26.Mackintosh, George(1995)。A method of valuing growth stocks。Financial Analysts Journal，January/ February，13-17。  new window
27.Handa, P.、Wasley, C.、Kothari, S. P.(1989)。The Relation between the Return Interval and Betas: Implications for the Size Effect。Journal of Financial Economics，23，79-100。  new window
28.Thomas, S. H.、Clare, A. D.、Priestley, R.(1998)。Reports of Beta's Death are Premature: Evidence from the UK。Journal of Banking & Finance，22，1207-1229。  new window
29.Black, F.(1993)。Beta and Return: Announcements of the 'death' of beta seem premature。The Journal of Portfolio Management，20，8-18。  new window
研究報告
1.Daniel, Kent、Titman, Sheridan、Wei, K. C. John(1998)。Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics。0。  new window
2.He, Jia、Kan, Raymond、Zhang, Chu(1998)。Tests of the Relations Among Marketwide Factors, Firm-specific Variables, and Stock Returns Using a Conditional Asset Pricing Model。0。  new window
學位論文
1.郭逢春(1993)。臺灣上市公司在不同投資區間下的淨值／市價比效果(碩士論文)。國立臺灣大學。  延伸查詢new window
2.葉銀華(1989)。總體經濟因素對股票報酬影響之研究--套利定價理論與多因素模式之實證(碩士論文)。國立成功大學。  延伸查詢new window
3.李鑑剛(1996)。臺灣股票市場報酬率之橫斷面與縱斷面混合分析(碩士論文)。國立中興大學。  延伸查詢new window
4.李俊龍(1990)。公司規模、負債權益比與股票報酬關係之實證研究，0。  延伸查詢new window
5.林秋炭(1991)。經濟因素、公司規模與股票報酬關係之研究，0。  延伸查詢new window
6.蔡明正(1990)。臺灣股市規模效果及其成因之研究，0。  延伸查詢new window
7.謝坤余(1997)。股票報酬率之橫斷面變數研究－以臺灣股票市場為例，0。  延伸查詢new window
 
 
 
 
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