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The Policy Effects of Lifting the Short-Sale Price Restriction on Stock Price Behaviors
Chan, Shih-Ju; Lin, Ching-Chung; Kuo, Wen-Hsiu - In: Journal of Economics and Management 4 (2008) 2, pp. 203-228
the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … volatility. To reduce the possible impact on volatility, the authorities may take the activity of margin transactions into …
Persistent link: https://www.econbiz.de/10008555948
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Asset Pricing - A Brief Review
Li, Minqiang - 2010
I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal capital asset pricing model (ICAPM), and...
Persistent link: https://www.econbiz.de/10015221381
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The Motivations of Issuing Convertible Bonds - An Inquiry regarding the Sequential-Financing Hypothesis
Chen, Chun-Da; Hung, Fu-Pin; Chen, Dar-Hsin; Lin, Hsin-Ho - In: Journal of Economics and Management 4 (2008) 2, pp. 229-250
-announcement volatility of stock returns is not significantly different from the post-announcement volatility. The results also indicate that …
Persistent link: https://www.econbiz.de/10008541454
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半均衡定价 : CAPM 公式 (Semi-Equilibrium Pricing: The CAPM Formula)
Chen, Deng-Ta - 2021
Chinese abstract: 我们发现了半均衡定价方法，它先求解投资者的最优组合，这一步与均衡定价方法一致，但半均衡定价的第二步只使用市场出清条件的一部分而不是全体约束。据此，我们揭示了 CAPM...
Persistent link: https://www.econbiz.de/10013246008
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贝塔与系统风险 (Beta and Systematic Risk)
Chen, Deng-Ta - 2021
Chinese Abstract: 风险教条认为资产价格是由某种风险决定的，而均衡定价认为是由供需均衡决定的。基于 CAPM...
Persistent link: https://www.econbiz.de/10013249211
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市场组合受投资者的偏好和财富影响吗？(Is the Market Portfolio Affected by Individual Investor’s Preference and Wealth?)
Chen, Deng-Ta - 2021
Chinese Abstract: 如果每个投资者投入市场组合的金额增加一倍，那么市场组合的总市值将增加一倍。此时，市场组合的权重仍然保持不变吗？答案是否定的，作为半均衡定价的 CAPM...
Persistent link: https://www.econbiz.de/10013249212
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哪些资产可以应用 CAPM 定价公式？(Which Assets Can Be Priced by CAPM Formula?)
Chen, Deng-Ta - 2021
Chinese Abstract: 我们求解出 CAPM 公式中基本证券的价格通解。进一步地，考虑市场出清的总市值条件，我们找出 CAPM 市场的均衡解，揭示均衡定价中的整体思维。我们用数值例子说明 CAPM 均衡不排除套利机会。此外，CAPM...
Persistent link: https://www.econbiz.de/10013249213
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均值方差均衡下的证券价格 : CAPM 再认识 (Security Prices in Mean-Variance Equilibrium: A Further Study on CAPM)
Chen, Deng-Ta - 2020
the incorrect practice of the estimation of cost of equity by beta. On the empirical study of CAPM, we emphasize the …
Persistent link: https://www.econbiz.de/10012853093
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有限关注度下科技关联的定价作用 (The Role of Technological Links in Asset Pricing Under Limited Attention Assumption)
Li, Xuquan - 2019
Chinese Abstract:...
Persistent link: https://www.econbiz.de/10012860303