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Li, Minqiang - 2010

asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the …

Persistent link: https://www.econbiz.de/10015221381

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 …

Persistent link: https://www.econbiz.de/10008541454

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

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

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

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

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

use a numerical example to illustrate that CAPM equilibrium does not exclude arbitrage opportunities. In addition, we show …

Persistent link: https://www.econbiz.de/10013249213

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

endogenous. By way of numerical examples, we explore the relationship between mean-variance equilibrium and free of arbitrage …

Persistent link: https://www.econbiz.de/10012853093

無套利市場、完全市場與風險中立機率的唯一存在 (An Arbitrage-Free and Complete Market and the Unique Existence of Risk-Neutral Probabilities)

Liu, Jen-Chang - 2019

English Abstract: The fundamental pricing theory of derivatives is based on the assumptions of arbitrage-free and … with two assets and two states provides an intuitive and concise way to interpret this theory. As a result, English … textbooks on derivatives present them in reverse order. In particular, they tend to neglect that the assumption of arbitrage …

Persistent link: https://www.econbiz.de/10012861649

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