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題名:系統性風險之估計及對橫斷面股票報酬之解釋能力--投資組合重構頻率之影響
書刊名:證券市場發展季刊
作者:黃一祥 引用關係
作者(外文):Huang, I-hsiang
出版日期:2009
卷期:21:3=83
頁次:頁107-141
主題關鍵詞:資本資產訂價模式系統性風險投資組合重構頻率市場風險溢酬CAPMSystematic riskPortfolio rebalancing frequencyMarket risk premium
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(4) 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:3
  • 共同引用共同引用:130
  • 點閱點閱:261
期刊論文
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2.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
3.Jagannathan, Ravi、Kubota, Keiichi、Takehara, Hitoshi(1998)。Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market。Journal of Business,71(3),319-347。  new window
4.黃一祥(20090300)。人力所得、條件資本資產評價模式、及橫斷面股票報酬。財務金融學刊,17(1),41-74。new window  延伸查詢new window
5.黃一祥、王元章、何加政、許嘉惠(20031200)。臺灣股市系統性風險之估計及橫斷面預期報酬之分析。財務金融學刊,11(3),1-33。new window  延伸查詢new window
6.汪瑞芝、陳明進、林世銘(20050400)。土地增值稅減半政策之事件研究。證券市場發展,17(1)=65,79-104。new window  延伸查詢new window
7.Davis, J.(199412)。The Cross-Section of Realized Stock Returns: The pre-COMPUSTAT Evidence。Journal of Finance,49,1579-1593。  new window
8.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
9.Black, F. M. C.(1993)。Beta and Return。Journal of Portfolio Management,20,8-18。  new window
10.Daniel, K.、Titman, S.、Wei, K. C. J.(2001)。Explaining the cross-section of stock returns in Japan: Factors or characteristics?。Journal of Finance,56(2),743-766。  new window
11.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
12.Rozeff, Michael S.、Kinney, William R. Jr.(1976)。Capital Market Seasonality: The Case of Stock Returns。Journal of Financial Economics,3(4),379-402。  new window
13.黃一祥(20020400)。臺灣股東投票權價值決定因素之實證研究。財務金融學刊,10(1),53-90。new window  延伸查詢new window
14.Kothari, S. P.、Shanken, Jay、Sloan, Richard G.(1995)。Another look at the cross-section of expected stock returns。The Journal of Finance,50(1),185-224。  new window
15.陳安琳、黎萬琳、陳振遠(20010400)。成長潛力、內部人交易與現金增資之宣告效果。中國財務學刊,9(1),1-25。new window  延伸查詢new window
16.Fama, Eugene F.、French, Kenneth R.(1996)。The CAPM Is Wanted, Dead or Alive。The Journal of Finance,51(5),1947-1958。  new window
17.Pettengill, Glenn N.、Sundaram, Sridhar、Mathur, Ike(1995)。The conditional relation between beta and returns。Journal of Financial and Quantitative Analysis,30(1),101-116。  new window
18.古永嘉、李鑑剛(19980300)。臺灣股票市場報酬率之橫斷面與縱斷面混合分析。輔仁管理評論,5(1),77-95。new window  延伸查詢new window
19.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。  new window
20.Rouwenhorst, K. Geert(1999)。Local Return Factors and Turnover in Emerging Stock Markets。The Journal of Finance,54(4),1439-1464。  new window
21.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
22.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
23.黃一祥(19991100)。臺灣股東投票權價值假說之實證研究。證券市場發展季刊,11(2)=42,67-104。new window  延伸查詢new window
24.Black, Fischer(1972)。Capital Market Equilibrium with Restricted Borrowing。Journal of Business,45(3),444-455。  new window
25.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
26.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
27.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
28.Roll, Richard(1977)。A Critique of the Asset pricing Theory's Tests, Part I: On Past and Potential Testability of the Theory。Journal of Financial Economics,4(2),129-176。  new window
29.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
30.Basu, Sanjoy(1983)。The Relationship between Earnings' Yield, Market Value and Return for NYSE Common Stocks: Further Evidence。Journal of Finance Economics,12(1),129-156。  new window
31.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
32.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
33.Rosenberg, Barr、Reid, Kenneth、Lanstein, Ronald(1985)。Persuasive evidence of market inefficiency。Journal of Portfolio Management,11(3),9-16。  new window
34.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
35.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
36.顧廣平(20050700)。單因子、三因子或四因子模式?。證券市場發展季刊,17(2)=66,101-146。new window  延伸查詢new window
37.徐守德、褚先忠(1992)。「台灣股票上市公司增資償債公告對股票價格之影響」。《管理科學學報》,第 9 卷,93-120。  延伸查詢new window
38.Asgharian, H. and B. Hansson(2000)。“Cross-Sectional Analysis of Swedish Stock Returns with Time-Varying Beta: The Swedish Stock Market 1983-96,”。European Financial Management,vol.6,213-233。  new window
39.Ball, R.(1978)。“Anomalies in Relationships between Securities’ Yields and Yield-Surrogates,”。Journal of Financial Economics,vol.6,103-126。  new window
40.Bhardwaj, R. and L. Brooks(1993)。“Dual Betas from Bull and Bear Markets: Reversal of the Size Effect,”。Journal of Financial Research,vol.16,269-283。  new window
41.Brennan, M. J., T. Chordia and A. Subrahmanyam(1998)。“Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns,”。Journal of Financial Economics,vol.49,345-373。  new window
42.Clare, A.D., R. Priestley, and S.H. Thomas(1998)。“Reports of Beta’s Death are Premature: Evidence from the UK,”。Journal of Banking and Finance,vol.22,1207-1229。  new window
43.Cohen, K.J., G. A. Hawawini, S.F. Maier, R.A. Schwartz and D.K. Whitcomb,(1983)。“Friction in Trading Process and the Estimation of Systematic Risk,”。Journal of Financial Economics,vol.12,263-278。  new window
44.Dimson, E.(1979)。“Risk Measure When Shares are Subject to Infrequent Trading,”。Journal of Financial Economics,vol.7,197-226。  new window
45.Downs, T. W. and R. W. Ingram(2000)。“Beta, Size, Risk and Return,”。Journal of Financial Research,vol.23,245-260。  new window
46.Faff, R.(2001)。“A Multivariate Test of a Dual-Beta CAPM: Austrlian Evidence,”。The Financial Review,vol.36,157-174。  new window
47.Fletcher, J.(1997)。“An Examination of th e Cross-Sectional Relationship of Beta and Return: UK Evidence,”。Journal of Economics and Business,vol.49,211-221。  new window
48.Grout, P. A. and A. Zalewska(2006)。“The Impact of Regulation on Market Risk,”。Journal of Financial Economics,vol.80,149-184。  new window
49.Handa, P., S. P. Kothari and C. Wasley(1993)。“Sensitivity of Multivariate Tests of the Capital Asset-Pricing Model to the Return Measurement Interval,”。Journal of Finance,vol.48,1543-1551。  new window
50.Heston, S. L., K. G.. Rouwenhorst and R. E. Wessels(1999)。“The role of Beta and Size in the Cross-Section of European Stock Return,”。European Financial Management,vol.5,9-27。  new window
51.Howton, S. and D. Peterson(1998)。“An Examination of Cross-Sectional Relized Stock Retrns Using a Varying-Risk Beta Model,”。Financial Review,vol.33,199-212。  new window
52.Huang, Y. S.(1997)。“An Empirical Test of the Risk-Return Relationship on the Taiwan Stock Exchange,”。Applied Financial Economics,vol.7,229-239。  new window
53.Isakov, D.(1999)。“Is Beta Still Alive? Conclusive Evidence from the Swiss Stock Market,”。European Journal of Finance,vol.5,202-212。  new window
54.Jagannathan, R. and Z. Wang(1996)。“The Conditional CAPM and the Cross-Section of Expected Returns,”。Journal of Finance,vol.51,3-53。  new window
55.Kim, D.(1995)。“The Error-in-Variables Problem in the Cross-Section of Expected Stock Returns,”。Journal of Finance,vol.50,1605-1634。  new window
56.Mukherji, S., M. S. Dhatt and Y. H. Kim(1997)。“A Fundamental Analysis of Korean Stock Returns,”。Financial Analysts Journal,vol.53,75-80。  new window
57.Sheu, H. J. S. Wu and K. P. Ku(1998)。“Cross-Sectional Relationships between Stock Returns and Market Beta, Trading Volume, and Sales-to-Price in Taiwan,”。International Review of Financial Analysis,vol.7,1-18。  new window
研究報告
1.Campbell, J. Y. and T. Vuolteenaho(2003)。“Bad Beta, Good Beta,”。  new window
圖書
1.Fabozzi, F. J., F. Modigliani, F. J. Jones and M. G.. Ferri(2002)。Foundations of Financial Markets and Institutions, 3rd edition。New Jersey。  new window
 
 
 
 
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