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題名：臺灣與中國大陸新上市股票短期與長期績效之比較研究--縱橫平滑移轉迴歸模型應用
書刊名：兩岸金融季刊
作者：馬珂 引用關係／黃明官 引用關係／周鍾成
作者(外文)：Ma, Ke／Huang, Ming-guan／Chou, Chung-cheng
出版日期：2017
卷期：5:3
頁次：頁1-38
主題關鍵詞：臺灣新上市股票；中國大陸新上市股票；新上市公司的異常報酬；事件研究法；縱橫平滑移轉迴歸模型；IPO；Abnormal return；Event study；Panel smooth transition regression model；PSTR
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(1) 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:1
  • 共同引用共同引用:23
  • 點閱點閱:4
期刊論文
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2.Coudert, V.、Couharde, C.、Mignon V.(2011)。Exchange Rate Volatility Across Financial Crises。Journal of Banking & Finance，35(11)，3010-3018。  new window
3.Lundbergh, S.、Terasvirta, T.、van Dijk, D.(2003)。Time-Varying Smooth Transition Autoregressive Models。Journal of Business and Economic Statistics，21(1)，104-121。  new window
4.Andrews, Donald W. K.、Ploberger, Werner(1994)。Optimal Tests when a Nuisance Parameter Is Present Only under the Alternative。Econometrica，62(6)，1383-1414。  new window
5.Christopoulos, D. K.、Leon-Ledesma, M. A.(2010)。Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates。Journal of International Money and Finance，29(6)，1076-1093。  new window
6.王朝仕、陳振遠(2008)。申購積極性對新上市公司股票績效的影響。管理學報，25(2)，245-267。new window  延伸查詢new window
7.Monoyios, M.、Sarno, L.(2002)。Mean Reversion in Stock Index Futures Markets: A Nonlinear Analysis。Journal of Futures Markets，22(4)，285-314。  new window
8.Levin, A.、Lin, C. F.、Chu, C. S. J.(2002)。Unit root in panel data: Asymptotic and Finite-Sample Properties。Journal of Econometrics，108(1)，1-24。  new window
9.Chan, K. L.、Wang, J.、Wei, K. C. J.(2004)。Underpricing and long-term performance of IPOs in China。Journal of Corporate Finance，10(3)，409-430。  new window
10.Campbell, John Y.、Shiller, Robert J.(1988)。Stock prices, earnings and expected dividends。Journal of Finance，43(3)，661-676。  new window
11.Lüükkonen, R.、Saikkonen, P.、Teräsvirta, T.(1988)。Testing linearity against smooth transition autoregressive models。Biometrika，75(3)，491-499。  new window
12.Carter, R. B.、Dark, F. H.、Singh, A. K.(1998)。Underwriter Reputation, Initial Returns, and the Long-Run Performance of IPO Stocks。Journal of Finance，53(1)，285-311。  new window
13.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association，89(425)，208-218。  new window
14.Freeman, R. N.、Tse, S. Y.(1992)。A Nonlinear Model of Security Price Responses to Unexpected Earnings。Journal of Accounting Research，30(2)，185-209。  new window
15.Aggarwal, Reena、Rivoli, Pietra(1990)。Fads in the initial public offering market?。Financial Management，19(4)，45-57。  new window
16.Ritter, Jay R.、Welch, Ivo(2002)。A Review of IPO Activity, Pricing, and Allocations。The Journal of Finance，57(4)，1795-1828。  new window
17.Jansen, E. S.、Teräsvirta, T.(1996)。Testing parameter constancy and super exogeneity in econometric equation。Oxford Bulletin of Economics and Statistics，58(4)，735-763。  new window
18.Roosenboom, P.、Goot, T.、Mertens, G.(2003)。Earnings Management and Initial Public Offerings: Evidence from the Netherlands。The International Journal of Accounting，38(3)，243-266。  new window
19.Kormendi, Roger、Lipe, Robert(1987)。Earnings Innovations, Earnings Persistence, and Stock Returns。Journal of Business，60(3)，323-345。  new window
20.Hansen, Bruce E.(1999)。Threshold effects in non-dynamic panels: Estimation, testing, and inference。Journal of Econometrics，93(2)，345-368。  new window
21.Freeman, R. N.(1987)。The Association between Accounting Earnings and Security Returns for Large and Small Firms。Journal of Accounting and Economics，9(2)，195-228。  new window
22.Ibbotson, Roger G.(1975)。Price performance of common stock new issues。Journal of Financial Economics，2(3)，235-272。  new window
23.吳桂燕(20060600)。新上市時機與異常報酬之關聯性。交大管理學報，26(1)，39-67。new window  延伸查詢new window
24.李榮鎮、蔡佩靜、林純夷(20110300)。臺灣初次上市上櫃公司股價長短期表現之研究。臺灣銀行季刊，62(1)，193-222。new window  延伸查詢new window
25.高蘭芬、陳安琳、李韻梅(20080200)。強力檢定新上市上櫃公司股票之長期報酬行為。臺灣管理學刊，8(1)，1-25。new window  延伸查詢new window
26.陳文彬、陳超(2007)。新股上市後盈利能力下滑及募集資金使用分析。管理科學學報，10(4)，61-69。  延伸查詢new window
27.陳信憲、陳佩慧(20100600)。初次公開發行公司長期股票績效之探討。臺灣銀行季刊，61(2)，208-233。new window  延伸查詢new window
28.陳麗、周運蘭(2010)。我國創業板新股發行抑價問題分析。財會月刊，4(1)，86-87。  延伸查詢new window
29.賴建成、林坤輝(20081200)。興櫃初期與興櫃轉上市櫃初期股票異常報酬之研究。遠東學報，25(4)，617-630。  延伸查詢new window
30.游正雍(20000300)。本益比效應實證研究。貨幣觀測與信用評等，22，34-38。  延伸查詢new window
31.Antonio, J.、Juan, A.、Gema, R.(2011)。Are IPOs (Initial Public Offering) still outperforming the market? Evidence from Spain in the period 2000 to 2010。African Journal of Business Management，5(14)，5775-5783。  new window
32.Baron, D. P.(1982)。A model of the demand for investment banking advising distribution services for new issues。Journal of Finance，37(4)，955-976。  new window
33.Beneish, Messod D.、Harvey, Campbell R.(1998)。Measurement error and nonlinearity in the earnings-returns relation。Review of Quantitative Finance and Accounting，11(3)，219-247。  new window
34.Bessembinder, H.、Zhang, F.(2013)。Firm characteristics and long-run stock returns after corporate events。Journal of Financial Economics，109(1)，83-102。  new window
35.Cerrato, M.、Kim, H.、Macdonald, R.(2010)。Three-regime asymmetric STAR modeling and exchange rate reversion。Journal of Money, Credit and Banking，42(7)，1447-1467。  new window
36.Chang, H. L.、Chen, Y. S.、Su, C. W.、Chang, Y. W.(2008)。The relationship between stock price and EPS: evidence based on Taiwan panel data。Economics Bulletin，3(30)，1-12。  new window
37.Cheng, C. S. A.、Hopwood, W. S.、McKeown, J. C.(1992)。Nonlinearity and specification problems in unexpected earnings response regression model。The Accounting Review，67(3)，379-398。  new window
38.Chiang, G. N.(2016)。Exploring the transitional behavior among value and growth stocks。Review of Quantitative Finance and Accounting，47(3)，543-563。  new window
39.Chiang, G. N.、Liu, C. C.(2017)。Searching for the Sustainably Profitable Stocks: Evidence on S&P 500 Companies。Accounting and Finance Research，6(1)，89-101。  new window
40.Das, S.、Lev, B.(1994)。Nonlinearity in the returns-earaings relation: Tests of alternative specification and explanations。Contemporary Accounting Review，11(1)，353-379。  new window
41.Ellul, A.、Pagano, M.(2006)。IPO Underpricing and After-Market Liquidity。Review of Financial Studies，19(2)，381-421。  new window
42.Granger, C.、Newbold, P.(1974)。Superious regressions in econometrics。Journal of Econometrics，2(2)，111-120。  new window
43.Hamdi, H.、Nguyen, D. K.、Obeid, H.(2013)。The short- and long-term performance of privatization initial public offerings in Europe。Journal of applied Business Research，29(4)，1189-1198。  new window
44.Hanley, K. W.(1993)。The Underpricing of initial public offerings and partial adjustment phenomenon。Journal of Financial Economics，34(2)，231-250。  new window
45.Jain, B. A.、Kini, O.(1994)。The Post-Issue Operating Performance of IPOs。Journal of Finance，49(5)，1699-1726。  new window
46.Lee, J. Z.、Lo, Y. M.(2002)。The Reasons for Post-Issue Operating Performance Decline of IPO Firms。Journal of Financial Studies，10(1)，23-52。  new window
47.Levis, M.(1993)。The long-run performance of initial public offerings: the U.K. experience 1980-1988。Financial Management，22(1)，28-41。  new window
48.Nieh, C. C.、Cho, H. F.(2017)。The effect of exchange rate volatility on stock return in Taiwan around abenomics。Asian Economic and Financial Review，7(4)，368-380。  new window
49.Ritter, J. R.(2011)。Equilibrium in the Initial Public Offerings Market。Annual Review of Financial Economics，3，347-374。  new window
50.Sohn, C. H.、Tsui, A. K.、Zhang, F.、Zhang, Z.(2012)。An empirical assessment of A-share IPO underpricing in China。Seoul Journal of Business，18(1)，25-57。  new window
51.Taylor, N.、Dijk, D. V.、Franses, P. H.、Lucas, A.(2000)。SETS, arbitrage activity, and stock price dynamics。Journal of Banking Finance，24(8)，1289-1306。  new window
52.Loughran, Tim、Ritter, Jay R.(1995)。The New Issues Puzzle。The Journal of Finance，50(1)，23-51。  new window
53.Davies, Robert B.(1977)。Hypothesis Testing When a Nuisance Parameter Is Present Only Under the Alternative。Biometrika，64(2)，247-254。  new window
54.Davies, R. B.(1987)。Hypothesis testing when a nuisance parameter is present only under the alternative。Biometrika，74(1)，33-43。  new window
55.Hansen, B. E.(1996)。Inference when a nuisance parameter is not identified under the null hypothesis。Econometrica: Journal of the econometric society，64(2)，413-430。  new window
56.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research，6(2)，159-178。  new window
57.Beaver, William H.、Lambert, Richard、Ryan, Stephen G.(1987)。The Information Content of Security Prices: A Second Look。Journal of Accounting and Economics，9(2)，139-157。  new window
58.Ducharme, L. L.、Malatesta, P. H.、Sefcik, S. E.(2001)。Earnings Management: IPO Valuation and Subsequent Performance。Journal of Accounting, Auditing and Finance，16(4)，369-396。  new window
59.Teoh, Siew Hong、Welch, Ivo、Wong, Tak Jun(1998)。Earnings Management and the Long-run Market Performance of Initial Public Offerings。The Journal of Finance，53(6)，1935-1974。  new window
60.Ritter, Jay R.(1991)。The Long-run Performance of Initial Public Offerings。Journal of Finance，46(1)，3-27。  new window
61.Ritter, Jay R.(1984)。The "Hot Issue" Market of 1980。Journal of Business，57(2)，215-240。  new window
62.Brown, Stephen J.、Warner, Jerold B.(1980)。Measuring security price performance。Journal of Financial Economics，8(3)，205-258。  new window
63.Maddala, Gangadharrao S.、Wu, Shaowen(1999)。A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test。Oxford Bulletin of Economics and Statistics，61(S1)，631-652。  new window
會議論文
1.Ma, T.、Shen, Y.(2003)。Prospect theory and the long-run performance of IPO stocks。14th Annual Conference on Financial Economics and Accounting (FEA)。  new window
研究報告
1.González, A.、Teräsvirta, T.、van Dijk, D.(2005)。Panel Smooth Transition Regression Models。Stockholm School of Economics。  new window
學位論文
1.Cheng, P. C.(2001)。A Study of the IPO'S initial excess returns under different market situations(碩士論文)。Tatung University of Management。  new window
圖書
1.Granger, C. W. J.、Teräsvirta, T.(1993)。Modelling Nonlinear Economic Relationships。Oxford：Oxford University Press。  new window
2.呂勝光(2001)。股市大三通。文揚資訊有限公司。  延伸查詢new window
3.洪瑞泰(2004)。巴菲特選股魔法書。城邦文化事業股份有限公司。  延伸查詢new window
4.Leibovit, M.(2013)。Trade Your Way to Profits with the Volume Reversal Indicator。McGraw-Hill。  new window
圖書論文
1.Teräsvirta, T.(1998)。Modelling economic relationships with smooth transition regressions。Handbook of applied economic statistics。New York：Marcel Dekker。  new window
 
 
 
 
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