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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 restriction of short-sale prices, which stated that short-sale prices must not be lower than the closing price of the previous trading day, no longer applies to the constituent stocks of the Taiwan Top 50 Index. This study investigates the abnormal returns and volatility changes of those...
Persistent link: https://www.econbiz.de/10008555948
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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
The aim of this paper is to re-examine the sequential-financing hypothesis in the context of convertible bond issuances from firms listed on the Taiwan Stock Exchange from 1994 to 2003. The results contend that announcements of convertible debt offerings are, on average, associated with...
Persistent link: https://www.econbiz.de/10008541454
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Shared Analyst Coverage and Connected-Firm Momentum Spillover in China
Jiang, Danling; Peng, Xun; Zhu, Hongquan - 2022
Chinese Abstract: A股关联公司的股票动量溢出效应研究:...
Persistent link: https://www.econbiz.de/10013405840
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Some Misconceptions in Statistical Hypothesis Testing
Chung, Ching-Fan - In: Journal of Economics and Management 1 (2005) 1, pp. 1-13
In this short paper we summarize and elaborate on a few well-known misconceptions that often occur when people conduct statistical hypothesis testing. For example, when the truthfulness of the null hypothesis is a random event and the formal hypothesis testing procedure cannot reject the null,...
Persistent link: https://www.econbiz.de/10008555950
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在线消费顾客满意影响因素的分类研究 (A Classification Study on the Factors Affecting Customer Satisfaction at Online Consumption)
Xiao, Haihong - 2014
Chinese Abstract:...
Persistent link: https://www.econbiz.de/10013055727
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Impact of Taiwan Top 50 ETF on the Liquidity of the Constituents of the Taiwan 50 Index
Lin, Ching-Chung; Chiang, Min-Hsien; Chan, Shih-Ju; … - In: Journal of Economics and Management 2 (2006) 2, pp. 187-205
Taiwan Top 50 Tracker Fund (TTT) is the first Exchange Traded Fund (ETF) in Taiwan. This study investigates the impact of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage hypothesis that the liquidity of the constituents is...
Persistent link: https://www.econbiz.de/10008555938
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評論臺灣股票市場價格群聚現象之研究 (Critique of Papers on Price Clustering in the Taiwan Stock Market)
Liu, Jen-Chang - 2016
Chinese Abstract:...
Persistent link: https://www.econbiz.de/10012987794
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中美市场的长期α与β (The Long Term α and β of Chinese and US Market)
Liu, Ruozhou - 2019
Chinese Abstract:...
Persistent link: https://www.econbiz.de/10012868175
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The Market Responses to Earnings Seasonality : Evidence from Chinese A-Share Market
He, Yujin; Jiang, Danling; Zhu, Hongquan - 2022
Chinese Abstract:...
Persistent link: https://www.econbiz.de/10013321517
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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
Chinese Abstract: CAPM 所在的资本市场是非完全的,并且是 一 个 Hilbert 空间,我们找出了该市场中 SDF 模仿支付的显式表达式。纯风险证券的局部均衡中,CAPM 公式成立,CAPM … 等价于市场组合恰好为切点组合,并且证券价格的通解在一维空间中。给定投资者的禀赋和均值方差偏好,结合 CAPM 的价格通解,资本市场的均衡条件转化为单变量的方程,从而求得均值方差均衡价格的解析解。证券价格是内生的,全体风险证券是作为 一 个整体被定价的,貌似真实的风险决定收益是局部均衡的产物,其错误在于把市场收益率当成外生的。我们还通过数值例子,分析均值方差决策与无套利的关系,化解不可能前沿的危机,展示贝塔定价导致欧式看涨期权负价格,以及不可以使用贝塔估计权益资本成本。CAPM …English Abstract: The capital market for CAPM is incomplete and is a Hilbert space, we find out the analytic expression …
Persistent link: https://www.econbiz.de/10012853093