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題名：市場恐慌情緒對臺股新聞事件之股價反應的影響
書刊名：管理與系統
作者：王明昌／許婉琪／李飛涵／柯建全
作者(外文)：Wang, Ming-chang／Hsu, Jackie Wan-chi／Lee, Fei-han／Ko, Chien-chuan
出版日期：2022
卷期：29:2
頁次：頁147-186
主題關鍵詞：文字探勘；支援向量機；投資人情緒；恐慌指數；股價報酬；Text mining；SVM；Investor sentiment；Volatility index；Stock return
原始連結：連回原系統網址new window
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  • 共同引用共同引用:82
  • 點閱點閱:12
期刊論文
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4.Engelberg, Joseph E.、Parsons, Christopher A.(2011)。The causal impact of media in financial markets。Journal of Finance，66(1)，67-97。  new window
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7.Balsara, Nauzer J.、Zheng, Lin、Vidozzi, Andrea、Vidozzi, Luca(2006)。Explaining Momentum Profits with an Epidemic Diffusion Model。Journal of Economics and Finance，30(3)，407-422。  new window
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9.Chordia, T.、Shivakumar, L.(2005)。Inflation illusion and the post-earnings announcement drift。Journal of Accounting Research，43(4)，521-556。  new window
10.Das, S. R.(2007)。Yahoo! For Amazon: Sentiment extraction from small talk on the web。Management Science，53(9)，1375-1388。  new window
11.Garlappi, L.、Yan, H.(2011)。Financial distress and the cross-section of equity returns。Journal of Finance，66(3)，789-822。  new window
12.Gentzkow, Matthew、Shapiro, Jesse M.(2010)。What drives media slant? Evidence from U.S. daily newspapers。Econometrica，78(1)，35-71。  new window
13.Chan, W. S.(2003)。Stock price reaction to news and no-news: drift and reversal after headlines。Journal of Financial Economics，70(2)，223-260。  new window
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15.Simon, D. P.、Wiggins, R. A. III(2001)。S&P Futures Returns and Contrary Sentiment Indicators。Journal of Futures Markets，21(5)，447-462。  new window
16.Schmeling, M.(2009)。Investor sentiment and stock returns: Some international evidence。Journal of Empirical Finance，16(3)，394-408。  new window
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18.Vega, C.(2006)。Stock price reaction to public and private information。Journal of Financial Economics，82(1)，103-133。  new window
19.Tetlock, Paul C.(2010)。Does public financial news resolve asymmetric information?。Review of Financial Studies，23(9)，3520-3557。  new window
20.Nofsinger, John R.(2001)。The Impact of Public Information on Investors。Journal of Banking and Finance，25(7)，1339-1366。  new window
21.Campbell, J. Y.、Cochrane, J. H.(2000)。Explaining the Poor Performance of Consumption-based Asset Pricing Models。The Journal of Finance，55(6)，2863-2878。  new window
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24.Kothari, Sagar P.、Shu, Susan、Wysocki, Peter D.(2009)。Do managers withhold bad news?。Journal of Accounting Research，47(1)，241-276。  new window
25.Tetlock, Paul C.、Saar-Tsechansky, Maytal、Macskassy, Sofus(2008)。More than words: Quantifying language to measure firms' fundamentals。The Journal of Finance，63(3)，1437-1467。  new window
26.詹場、胡星陽、呂朝元、徐崇閔(20111200)。市場狀態與投資人對盈餘訊息之反應。經濟論文叢刊，39(4)，463-510。new window  延伸查詢new window
27.Hirshleifer, D. A.、Shumway, T.(2003)。Good day Sunshine: Stock Returns and the Weather。The Journal of Finance，58(3)，1009-1032。  new window
28.Robins, James M.、Greenland, Sander(1992)。Identifiability and Exchangeability for Direct and Indirect Effects。Epidemiology，3(2)，143-155。  new window
29.Doumpos, M.、Gaganis, C.、Pasiouras, F.(2005)。Explaining qualifications in audit reports using a support vector machine methodology。Intelligent Systems in Accounting, Finance and Management，13(4)，197-215。  new window
30.Barth, M. E.、Kallapur, S.(1996)。The effects of cross-sectional scale differences on regression results in empirical accounting research。Contemporary Accounting Research，13(2)，527-567。  new window
31.Lu, Y.-C.、Shen, C.-H.、Wei, Y.-C.(2013)。Revisiting early warning signals of corporate credit default using linguistic analysis。Pacific-Basin Finance Journal，24，1-21。  new window
32.王明昌、鄭揚耀、柯建全(20150700)。企業財務危機前之媒體管理。會計評論，61，77-119。new window  延伸查詢new window
33.Whaley, Robert E.(2000)。The investor fear gauge。Journal of Portfolio Management，26(3)，12-17。  new window
34.謝文良、李進生、袁淑芳(20061000)。臺股市場波動性指標之建構、資訊內涵與交易策略。管理與系統，13(4)，471-497。new window  延伸查詢new window
35.Andersson, M.、Krylova, E.、Vähämaa, S.(2008)。Why Does the Correlation between Stock and Bond Returns Vary Over Time?。Applied Financial Economics，18(2)，139-151。  new window
36.詹家昌、許月瑜、陳麗如(20150600)。The Media Effect on Stock Market Overreaction。交大管理學報，35(1)，47-72。new window  延伸查詢new window
37.Ahn, D.、Choi, S.、Gale, D.、Kariv, S.(2014)。Estimating Ambiguity Aversion in a Portfolio Choice Experiment。Quantitative Economics，5(2)，195-223。  new window
38.Bossaerts, P.、Ghirardato, P.、Guarnaschelli, S.、Zame, W. R.(2010)。Ambiguity in Asset Markets: Theory and Experiment。Review of Financial Studies，23(4)，1325-1359。  new window
39.Chabi-Yo, F.、Garcia, R.、Renault, E.(2008)。State Dependence Can Explain the Risk Aversion Puzzle。Review of Financial Studies，21(2)，973-1011。  new window
40.Hens, T.、Reichlin, C.(2013)。Three Solutions to the Pricing Kernel Puzzle。Review of Finance，17(3)，1065-1098。  new window
41.Schwebach, R. G.、Olienyk, J. P.、Zumwalt, J. K.(2002)。The Impact of Financial Crises on International Diversification。Global Finance Journal，13(2)，147-161。  new window
42.Lemmon, M.、Portniaguina, E.(2006)。Consumer confidence and asset prices: Some empirical evidence。Review of Financial Studies，19(4)，1499-1529。  new window
43.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance，7(1)，77-91。  new window
44.周賓凰、張宇志、林美珍(20070700)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19(2)=74，153-190。new window  延伸查詢new window
45.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets，7(3)，271-299。  new window
46.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics，49(3)，307-343。  new window
47.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy，98(4)，703-738。  new window
48.Cutler, D. M.、Porterba, J. M.、Summers, L. H.(1989)。What moves stock price?。Journal of Portfolio Management，15(3)，4-12。  new window
49.鍾任明、李維平、吳澤民(20070200)。運用文字探勘於日內股價漲跌趨勢預測之研究。中華管理評論，10(1)，(4)1-(4)30。  延伸查詢new window
50.Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance，11(1)，1-27。  new window
51.Dougal, Casey、Engelberg, Joseph、Garcia, Diego、Parsons, Christopher A.(2012)。Journalists and the stock market。The Review of Financial Studies，25(3)，639-679。  new window
52.Tetlock, Paul C.(2007)。Giving content to investor sentiment: The role of media in the stock market。The Journal of Finance，62(3)，1139-1168。  new window
53.Williams, Christopher D.(2015)。Asymmetric responses to earnings news: A case for ambiguity。The Accounting Review，90(2)，785-817。  new window
54.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance，51(5)，1681-1713。  new window
55.Jegadeesh, Narasimhan、Titman, Sheridan(2001)。Profitability of momentum strategies: An evaluation of alternative explanations。The Journal of Finance，56(2)，699-720。  new window
56.Baker, M.、Wurgler, J.(2007)。Investor Sentiment in the Stock Market。Journal of Economic Perspectives，21(2)，129-151。  new window
57.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance，61(4)，1645-1680。  new window
58.郝沛毅、歐仁彬、黃天受、林振穎、吳建生(20181000)。透過新聞文章預測股價漲跌趨勢--結合情緒分析、主題模型與模糊支持向量機。資訊管理學報，25(4)，363-395。new window  延伸查詢new window
59.Smales, L. A.(2017)。The Importance of Fear: Investor Sentiment and Stock Market Returns。Applied Economics，49(34)，3395-3421。  new window
60.Gervais, Simon、Odean, Terrance(2001)。Learning to be Overconfident。Review of Financial Studies，14(1)，1-27。  new window
61.Smales, L. A.(2014)。News Sentiment and the Investor Fear Gauge。Finance Research Letters，11，122-130。  new window
62.Cortes, Corinna、Vapnik, Vladimir N.(1995)。Support-Vector Networks。Machine Learning，20(3)，273-297。  new window
63.Whaley, R. E.(1993)。Derivative on Market Volatility。The Journal of Derivatives，1，71-84。  new window
64.Griffin, J. M.、Hirschey, N. H.、Kelly, P. J.(2010)。How Important is the Financial Media in Global Markets?。The Review of Financial Studies，24(12)，3941-3992。  new window
65.Chen, G. M.、Firth, M.、Rui, O. M.(2005)。The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility。The Financial Review，36(3)，153-174。  new window
66.黃裕烈、管中閔(20190900)。美國聯準會會議紀要的文字探勘與臺灣經濟變數預測。經濟論文叢刊，47(3)，363-391。new window  延伸查詢new window
67.黃彥棕(20190200)。因果中介模型。自然科學簡訊，31(1)，24-28。  延伸查詢new window
68.周雨田、陳唯帆、殷正華(20111100)。VIX對崩盤風險之避險功能分析。期貨與選擇權學刊，4(2)，33-73。new window  延伸查詢new window
69.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
70.Wu, Guojun、Bekaert, Geert(2000)。Asymmetric Volatility and Risk in Equity Markets。Review of Financial Studies，13(1)，1-42。  new window
71.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics，9(1)，3-18。  new window
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76.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
會議論文
1.Pearl, J.(2001)。Direct and indirect effects。The Seventeenth conference on Uncertainty in artificial intelligence。San Francisco, CA：Morgan Kaufmann。411-420。  new window
2.Sankaraguruswamy, S.、Shen, J.、Yamada, T.(2006)。Impact of Firm-specific Public Information on the Relation Between Prices and Trading。EFA 2006 Zurich Meetings。  new window
3.Mittermayer, M.、Knolmayer, G. F.(2006)。NewsCATS: A News Categorization and Trading System。Sixth International Conference on Data Mining。  new window
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研究報告
1.Giot, P.(2002)。Implied Volatility Indices As Leading Indicators of Stock Index Returns?。University of Leuvai。  new window
2.Smales, L. A.(2012)。Non-scheduled News Arrival and High-frequency Stock Market Dynamics: Evidence from the Australian Stock Exchange。  new window
圖書
1.Keynes, J. M.(1936)。The General Theory of Interest, Employment and Money。London：Macmillan。  new window
2.Frakes, W. B.、Baeza-Yates, R.(1992)。Information retrieval: Data structures and algorithms。Prentice-Hall。  new window
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4.Spirtes, P.、Glymour, C.、Scheines, R.(1993)。Causation, Prediction, and Search。MIT Press。  new window
圖書論文
1.Camerer, C.(1995)。Individual decision making。Handbook of Experimental Economics。Princeton, New Jersey：Princeton University Press。  new window
2.Bachelier, L.(1964)。Theory of Speculation。The Random Character of Stock Market Prices。Cambridge, Mass.：MIT Press。  new window
 
 
 
 
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