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題名:Is the Fama and French Five-factor Model Robust in the Chinese Stock Market?
書刊名:Asia Pacific Management Review
作者:Huang, Tzu-lun
出版日期:2019
卷期:24:3
頁次:頁278-289
主題關鍵詞:The Fama and French (2015) five-factor modelAsset pricingCapital marketThe Chinese stock market
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:0
  • 點閱點閱:2
期刊論文
1.Wang, Fenghua、Xu, Yexiao(2004)。What Determines Chinese Stock Returns?。Financial Analysts Journal,60(6),65-77。  new window
2.Hameed, A.、Ting, S.(2000)。Trading Volume and Short-horizon Contrarian Profits: Evidence from the Malaysian Market。Pacific-Basin Finance Journal,8(1),67-84。  new window
3.Kang, J.、Liu, M.-H.、Ni, S. X.(2002)。Contrarian and Momentum Strategies in the China Stock Market: 1993-2000。Pacific-Basin Finance Journal,10(3),243-265。  new window
4.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
5.Lintner, John(1965)。Security Prices, Risk and Maximal Gains from Diversification。Journal of Finance,20(4),587-615。  new window
6.Lewellen, J.、Nagel, S.、Shanken, J.(2010)。A Skeptical Appraisal of Asset Pricing Tests。Journal of Financial Economics,96(2),175-194。  new window
7.Chang, Rosita P.、McLeavey, D. W.、Rhee, S. Ghon(1995)。Short-term Abnormal Returns of the Contrarian Strategy in the Japanese Stock Market。Journal of Business Finance and Accounting,22(7),1035-1048。  new window
8.Fama, Eugene F.、French, Kenneth R.(2015)。A Five-Factor Asset Pricing Model。Journal of Financial Economics,116(1),1-22。  new window
9.Fama, E. F.(1998)。Determining the number of priced state variables in the ICAPM。Journal of Financial and Quantitative Analysis,33(2),217-231。  new window
10.Fama, Eugene F.、French, Kenneth R.(2017)。International tests of a five-factor asset pricing model。Journal of Financial Economics,123(3),441-463。  new window
11.Guo, B.、Zhang, W.、Zhang, Y.、Zhang, H.(2017)。The five-factor asset pricing model tests for the Chinese stock market。Pacific-Basin Finance Journal,43,84-106。  new window
12.Hilliard, J.、Zhang, H.(2015)。Size and price-to-book effects: Evidence from the Chinese stock markets。Pacific-Basin Finance Journal,32,40-55。  new window
13.Racicot, F.(2015)。Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: A note。Applied Economics,47(10),981-989。  new window
14.Racicot, F. E.、Rentz, W. F.(2016)。Testing Fama-French's new five-factor asset pricing model: Evidence from robust instruments。Applied Economics Letters,23(6),444-448。  new window
15.Racicot, F. E.、Rentz, W. F.(2017)。A panel data robust instrumental variable approach: A test of the new Fama-French five-factor model。Applied Economics Letters,24(6),410-416。  new window
16.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
17.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
18.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。  new window
19.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
20.Fama, Eugene F.、French, Kenneth R.(2004)。The Capital asset pricing model: Theory and evidence。The Journal of Economic Perspectives,18(3),25-46。  new window
21.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory,13(3),341-360。  new window
22.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
23.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
24.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。  new window
25.Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance,54(6),2143-2184。  new window
26.Grauer, Robert R.、Janmaat, Johannus A.(2004)。The Unintended Consequences of Grouping in Tests of Asset Pricing Models。Journal of Banking & Finance,28(12),2889-2914。  new window
圖書
1.Ang, A.、Liu, J.、Schwarz, K.(2008)。Using individual stocks or portfolios in tests of factor models。Social Science Electronic Publishing。  new window
單篇論文
1.Kan, R.,Li, Y.,Mackay, R.,Sivakumar, R.,Zhou, G.(1998)。On the explanatory power of asset pricing models across and within portfolios。  new window
 
 
 
 
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