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題名：單因子、三因子或四因子模式？
書刊名：證券市場發展季刊
作者：顧廣平
作者(外文)：Ku, Kuang-ping
出版日期：2005
卷期：17:2=66
頁次：頁101-146
主題關鍵詞：因子模式；報酬共通時間序列變異；平均報酬橫斷面變異；Factor model；Common time-series variation in returns；Cross-sectional variation in average returns
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(26) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:20
  • 共同引用共同引用:146
  • 點閱點閱:98
期刊論文
1.Sheu, H. J.、Ku, K. P.(1999)。An Empirical Study of Forecasting Power of Turnover and Book-to-Price for Stock Returns in Taiwan。Advances in Pacific Basin Financial Markets，5，325-336。  new window
2.Datar, V.、Naik, N.、Radcliffe, R.(1998)。Liquidity and Asset Returns: An Alternative Test。Journal of Financial Market，1，203-219。  new window
3.Bhardwaj, R. K.、Brooks, L. D.(1992)。The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias。Journal of Finance，47(2)，553-575。  new window
4.陳安琳、洪嘉苓、李文智(20011000)。共同基金經理團隊屬性與基金績效之研究。證券市場發展，13(3)=51，1-27。new window  延伸查詢new window
5.Sechack, A. J.、Martin, J. D.(1987)。The relative performance of the PSR and PER investment strategies。Financial Analysts Journal，43(2)，46-56。  new window
6.Ma, T.、Shaw, T. Y.(1990)。The relationship between market value, PIE ratio, trading volume and the stock return of Taiwan Stock Exchange。Pacific-Basin Capital Market Research，1，313-335。  new window
7.Liao, T. L.、Chou, S. K.(1995)。Testing PSR filters with the stochastic dominance approach。Journal of Portfolio Management，21，85-91。  new window
8.James, C.、Edmister, R. O.(1983)。The relation between common stocks returns, trading activity and market value。Journal of Finance，38，1075-1086。  new window
9.Haugen, R. A.(1996)。The effects of intrigue, liquidity, imprecision, and bias on the cross-section of expected stock returns。Journal of Portfolio Management，22，8-17。  new window
10.Barbee, William C.、Mukherji, Sandip Jr.、Raines, Gary A.(1996)。Does sales-price and debt-equity explain stock returns better than book-market and firm size?。Financial Analysts Journal，52(2)，56-60。  new window
11.Baker, H. K.(1996)。Trading location and liquidity: An analysis of U. S. dealer and agency markets for common stocks。Financial Markets. Institutions & Instruments，5，1-51。  new window
12.Aggarwal, R.、Rio, R. P.、Hiraki, T.(1990)。Equity return regularities on the price/sales ratio: An empirical study of Tokyo Stock Exchange。Pacific-Basin Capital Market Research，1，337-349。  new window
13.吳壽山、許和鈞、顧廣平(19950100)。臺灣股市漲跌幅及規模效果交互作用的解析。Proceedings of the National Science Council. Part C, Humanities and Social Sciences，5(1)，73-82。  延伸查詢new window
14.Kothari, Sagar P.、Warner, Jerold B.(2001)。Evaluating Mutual Fund Performance。Journal of Finance，56(5)，1985-2010。  new window
15.Sheu, H. J.、Wu, S.、Ku, K. P.(1998)。Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan。International Review of Financial Analysis，7(1)，1-18。  new window
16.Mukherji, S.、Dhatt, M. S.、Kim, Y. H.(1997)。A fundamental analysis of Korean stock returns。Financial Analysts Journal，53，75-80。  new window
17.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
18.Gibbons, Michael R.、Ross, Stephen A.、Shanken, Jay(1989)。A test of the efficiency of a given portfolio。Econometrica，57(5)，1121-1152。  new window
19.Fama, E. F.、French, K. R.(1992)。The cross-section of expected returns。Journal of Finance，47(1)，427-465。  new window
20.Chu, P. Y.、Wu, S.、Liu, M. Y.(1990)。Impact of price limits on Taiwan security prices。Asia-Pacific Journal of Management，7，141-152。  new window
21.Byun, J.、Rozeff, M. S.(2003)。Long-run Performance After Stock Splits: 1927 to 1996。Journal of Finance，58(3)，1063-1085。  new window
22.Boehme, Rodney D.、Sorescu, Sorin M.(2002)。The Long-run Performance Following Dividend Initiations and Resumptions: Underreaction or Product of Chance?。Journal of Finance，57(2)，871-900。  new window
23.顧廣平、吳壽山、許和鈞(19950400)。漲跌幅與公司規模對股票報酬之影響--臺灣股票市場之實證研究。證券市場發展，7(2)=26，1-28。new window  延伸查詢new window
24.顧廣平(20020900)。臺灣上市（櫃）公司股東期望報酬橫斷面差異解釋因子之探討。亞太社會科技學報，2(1)，139-164。  延伸查詢new window
25.Berk, J. B.(2000)。Sorting out sorts。Journal of Finance，55(1)，407-427。  new window
26.Spiess, D. K.、Affleck-Graves, J.(19991000)。The Long-run Performance of Stock Returns Following Debt Offerings。Journal of Financial Economics，54(1)，45-73。  new window
27.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
28.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
29.陳安琳(20011200)。The Long-Run Performance Puzzle of Initial Public Offerings in Taiwan: Empirical Findings from Various Models。財務金融學刊，9(3)，1-20。new window  new window
30.Haugen, R. A.、Baker, N. L.(1996)。Commonality in the Determinants of Expected Stock Returns。Journal of Financial Economics，41(3)，401-439。  new window
31.Daniel, Kent、Titman, Sheridan(1997)。Evidence on the characteristics of cross sectional variation in stock returns。Journal of Finance，52(1)，1-33。  new window
32.Capaul, Carlo、Rowley, Ian、Sharpe, William F.(1993)。International Value and Growth Stock Returns。Financial Analysts Journal，49(1)，27-36。  new window
33.Brav, A.、Geczy, C.、Gompers, P. A.(2000)。Is the Abnormal Return Following Equity Issuances Anomalous?。Journal of Financial Economics，56，209-249。  new window
34.顧廣平(20030400)。臺灣新上市股票短期與長期績效之再探討。證券市場發展，15(1)=57，1-39。new window  延伸查詢new window
35.Basu, S.(1977)。Investment Performance of Common Stocks in Relation to Their Price-earnings Ratios: A Test of the Efficient Market Hypothesis。Journal of Finance，32(3)，663-682。  new window
36.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics，9(1)，3-18。  new window
37.陳家彬(19990600)。臺灣地區股票報酬之橫斷面分析：三因子模式之實證。國立中興大學人文社會學報，8，213-236。  延伸查詢new window
38.Mitchell, Mark L.、Stafford, Erik(2000)。Managerial Decisions and Long-Term Stock Price Performance。Journal of Business，73(3)，287-329。  new window
39.Loughran, Tim、Ritter, Jay R.(1995)。The New Issues Puzzle。The Journal of Finance，50(1)，23-51。  new window
40.胡星陽(19980400)。流動性對臺灣股票報酬率的影響。中國財務學刊，5(4)，1-19。new window  延伸查詢new window
41.Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance，55(5)，2017-2069。  new window
42.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business，59(3)，383-403。  new window
43.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance，51(1)，55-84。  new window
44.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance，52(1)，57-82。  new window
45.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance，51(5)，1681-1713。  new window
46.Daniel, Kent、Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1997)。Measuring Mutual Fund Performance with Characteristic-based Benchmarks。Journal of Finance，52(3)，1035-1058。  new window
47.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
48.洪榮華、雷雅淇(20020700)。公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究。管理評論，21(3)，25-48。new window  延伸查詢new window
49.陳安琳(20020600)。臺灣股票報酬之穩定因素--交叉確認、因素分析與模擬分析。管理學報，19(3)，519-542。new window  延伸查詢new window
50.Bhandari, Laxmi Chand(1988)。Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence。Journal of Finance，43(2)，507-528。  new window
51.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
52.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy，81(3)，607-636。  new window
53.Tseng, K. C.(1988)。Low Price, Price-Earnings Ratio, Market Value, and Abnormal Stock Returns。Financial Review，23(3)，333-343。  new window
54.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
55.Chordia, Tarun、Subrahmanyam, Avanidhar、Anshuman, V. Ravi(2001)。Trading Activity and Expected Stock Returns。Journal of Financial Economics，59(1)，3-32。  new window
56.Rosenberg, Barr、Reid, Kenneth、Lanstein, Ronald(1985)。Persuasive evidence of market inefficiency。Journal of Portfolio Management，11(3)，9-16。  new window
57.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
58.周賓凰、劉怡芬(20000400)。臺灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？。證券市場發展季刊，12(1)=45，1-32。new window  延伸查詢new window
研究報告
1.林炯垚、盛偉德(1988)。股票漲跌幅限制對股票市場機能影響之研究。台北。  延伸查詢new window
學位論文
1.廖東亮(1994)。以隨機優勢理論測試價銷比策略之研究(博士論文)。國立臺灣科技大學。new window  延伸查詢new window
圖書
1.Fisher, K. L.(1984)。Super Stocks。Homeworrd, Illionis：Dow Jones-Irwin。  new window
2.Johnson, Richard A.、Wichern, Dean W.(1992)。Applied Multivariate Statistical Analysis。Prentice-Hall, Inc.。  new window
圖書論文
1.Black, F. M. C.、Jensen, M. C.、Scholes, M.(1972)。The Capital Asset Pricing Model: Some Empirical Test。Studies in the Theory of Capital Market。New York：Praeger。  new window
 
 
 
 
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