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題名:Forecasting the Bear Stock Market Using the Aligned Index of Financial and Macroeconomic Variables
書刊名:財務金融學刊
作者:高櫻芬梁可靖
作者(外文):Gau, Yin-fengLiang, Ko-chin
出版日期:2022
卷期:30:2
頁次:頁1-40
主題關鍵詞:熊市股票報酬馬可夫狀態轉換模型偏最小平方Bear marketsStock returnsMarkov regime-switching modelPartial least squaresPLS
原始連結:連回原系統網址new window
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  • 點閱點閱:6
期刊論文
1.Lettau, Martin、Ludvigson, Sydney(2001)。Consumption, Aggregate Wealth, and Expected Stock Returns。Journal of Finance,56(3),815-849。  new window
2.Kurov, Alexander(2010)。Investor sentiment and the stock market's reaction to monetary policy。Journal of Banking & Finance,34(1),139-149。  new window
3.Candelon, Bertrand、Piplack, Jan、Straetmans, Stefan(2008)。On Measuring Synchronization of Bulls and Bears: The Case of East Asia。Journal of Banking & Finance,32(6),1022-1035。  new window
4.Nyberg, Henri(2013)。Predicting Bear and Bull Stock Markets with Dynamic Binary Time Series Models。Journal of Banking & Finance,37(9),3351-3363。  new window
5.Chen, Shiu-Sheng(2009)。Predicting the bear stock market: Macroeconomic variables as leading indicators。Journal of Banking and Finance,33(2),211-223。  new window
6.Maheu, John M.、McCurdy, Tomas H.(2000)。Identifying bull and bear markets in stock returns。Journal of Business and Economic Statistics,18(1),100-112。  new window
7.Welch, Ivo、Goyal, Amit(2008)。A comprehensive look at the empirical performance of equity premium prediction。Review of Financial Studies,21(4),1455-1508。  new window
8.Perez-Quiros, Gabriel、Timmermann, Allan(2000)。Firm Size and cyclical variations in stock returns。Journal of Finance,55(3),1229-1263。  new window
9.Jagannathan, Ravi、Wang, Zhenyu(1996)。The conditional CAPM and the cross-section of expected returns。Journal of Finance,51(1),3-53。  new window
10.Pontiff, Jeffrey、Schall, Lawrence D.(1998)。Book-to-market ratios as predictors of market returns。Journal of Financial Economics,49(2),141-160。  new window
11.Kelly, Bryan、Pruitt, Seth(2013)。Market Expectations in the Cross-Section of Present Values。The Journal of finance,68(5),1721-1756。  new window
12.Hansen, Bruce E.(1992)。The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP。Journal of Applied Econometrics,7,S61-S82。  new window
13.Bohl, Martin T.、Siklos, Pierre L.、Werner, Thomas(2007)。Do central banks react to the stock market? The case of the Bundesbank。Journal of Banking and Finance,31,719-733。  new window
14.Fama, Eugene F.、Gibbons, Michael R.(1984)。A Comparison of Inflation Forecasts。Journal of Monetary Economics,13(3),327-348。  new window
15.Rigobon, Roberto、Sack, Brian(2003)。Measuring the reaction of monetary policy to the stock market。Quarterly Journal of Economics,118(2),639-669。  new window
16.Brogaard, Jonathan、Detzel, Andrew(2015)。The asset-pricing implications of government economic policy uncertainty。Management Science,61(1),3-18。  new window
17.Campbell, John Y.、Shiller, Robert J.(1988)。The dividend-price ratio and expectations of future dividends and discount factors。The Review of Financial Studies,1(3),195-228。  new window
18.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business,59(3),383-403。  new window
19.Rapach, David E.、Wohar, Mark E.、Rangvid, Jesper(2005)。Macro Variables and International Stock Return Predictability。International Journal of Forecasting,21(1),137-166。  new window
20.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica,41(5),867-887。  new window
21.Neuhierl, Andreas、Schlusche, Bernd(2011)。Data snooping and market-timing rule performance。Journal of Financial Econometrics,9(3),550-587。  new window
22.Baker, Malcolm、Wurgler, Jeffrey(2007)。Investor sentiment in the stock market。Journal of Economic Perspectives,21(2),129-152。  new window
23.Pagan, Adrian R.、Sossounov, Kirill A.(2003)。A simple framework for analysing bull and bear markets。Journal of Applied Econometrics,18(1),23-46。  new window
24.Huang, Dashan、Jiang, Fuwei、Tu, Jun、Zhou, Guofu(2015)。Investor Sentiment Aligned: A Powerful Predictor of Stock Returns。The Review of Financial Studies,28(3),791-837。  new window
25.Kelly, Bryan、Pruitt, Seth(2015)。The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors。Journal of Econometrics,186(2),294-316。  new window
26.Clark, Todd E.、West, Kenneth D.(2007)。Approximately Normal Tests for Equal Predictive Accuracy in Nested Models。Journal of Econometrics,138(1),291-311。  new window
27.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。Journal of Finance,61(4),1645-1680。  new window
28.Campbell, John Y.、Thompson, Samuel B.(2008)。Predicting excess stock returns out of sample: Can anything beat the historical average?。Review of Financial Studies,21(4),1509-1531。  new window
29.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics,22(1),3-25。  new window
30.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society,57(2),357-384。  new window
31.Chen, Nan-Kuang、Chen, Shiu-Sheng、Chou, Yu-Hsi(2017)。Further evidence on bear market predictability: The role of the external finance premium。International Review of Economics and Finance,50,106-121。  new window
32.Chronopoulos, Dimitris K.、Papadimitriou, Fotios I.、Vlastakis, Nikolaos(2018)。Information demand and stock return predictability。Journal of International Money and Finance,80,59-74。  new window
33.Frauendorfer, Karl、Jacoby, Ulrich、Schwendener, Alvin(2007)。Regime switching based portfolio selection for pension funds。Journal of Banking and Finance,31,2265-2280。  new window
34.Jiang, Fuwei、Lee, Joshua、Martin, Xiumin、Zhou, Guofu(2019)。Manager sentiment and stock returns。Journal of Financial Economics,132(1),126-149。  new window
35.Kole, Erik、Van Dijk, Dick(2017)。How to Identify and Forecast Bull and Bear Markets?。Journal of Applied Econometrics,32(1),120-139。  new window
36.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory,13(3),341-360。  new window
37.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
38.Shen, Pu(2003)。Market Timing Strategies that Worked。Journal of Portfolio Management,29,57-68。  new window
研究報告
1.Bry, Gerhard、Boschan, Charlotte(1971)。Cyclical analysis of time series: selected procedures and computer programs。National Bureau of Economic Research。  new window
圖書論文
1.Wold, Herman(1975)。Path Models with Latent Variables: The NIPALS Approach。Quantitative Sociology: International Perspectives on Mathematical and Statistical Modeling。Academic Press。  new window
2.Wold, Herman(1966)。Estimation of principal components and related models by iterative least squares。Multivariate analysis。Academic Press。  new window
3.Hamilton, James D.(2016)。Macroeconomic regimes and regime shifts。Handbook of Macroeconomics。Elsevier。  new window
 
 
 
 
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