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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...

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

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

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

持有成本与期货最优套期保值 (The Cost of Carry and the Optimal Hedge in Futures Market)

Chen, Deng-Ta - 2018

futures are not treated as financial derivatives, naïve hedge outperforms complex models. If the futures pricing theory is …

Persistent link: https://www.econbiz.de/10012930120

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

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

COVID-19 抗疫债”实施效果的量化研究 (Quantitative Research on the Implementation Effect of COVID-19 'Anti-Pandemic Debt')

Xiao, Zilong - 2020

Chinese Abstract: 摘要：中共中央政治局在 3 月 27 日召开会议中多次强调通过发行特别国债和地方债应对此次疫情，助力复工复产。为保障“抗疫”的特别债券发行，需要研究并学习已发行债券的...

Persistent link: https://www.econbiz.de/10012839937

MM 命题 : 重新思考 (MM Proposition: Re-think)

Chen, Deng-Ta - 2020

Chinese Abstract: MM 命题的最大贡献是提出完美市场假设和使用套利证明方法。本文回顾了完美市场假设和无套利原理,然后对 MM...

Persistent link: https://www.econbiz.de/10012854798

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 …

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

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