財務金融學系

研究成果

每年研究成果 1997 2010 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2023

• 3109 引文
• 26 h-指數
• 267 期刊論文
• 5 篇章
• 4 會議論文篇章
• 4 回顧評介論文
• 1 更多
  • 1 評論/辯論

每年研究成果

每年研究成果

搜尋結果

• 2005

  Erratum: Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates (Applied Economics Letters (2004) vol. 11 (263-266))

  Gau, Y. F. & Hua, M., 15 3月 2005, 於: Applied Economics Letters. 12, 4, p. 261 1 p.

  研究成果: 雜誌貢獻 › 評論/辯論

• Examination the long-run performance of Taiwanese initial public offerings

  Cheng, S. R. & Shiu, C. Y., 6月 2005, 於: International Journal of Information and Management Sciences. 16, 2, p. 17-34 18 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Long-run Performance 100%
  • Financial markets 90%
  • Underperformance 89%
  • Initial Public Offerings 78%
  • Skewed Distribution 34%
  1 引文 斯高帕斯（Scopus）

• Intraday volatility in the Taipei FX market

  Gau, Y. F., 9月 2005, 於: Pacific Basin Finance Journal. 13, 4, p. 471-487 17 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Intraday Volatility 100%
  • FX Market 96%
  • Exchange Rates 73%
  • Taiwan 53%
  • News Announcements 25%
  9 引文 斯高帕斯（Scopus）

• Pricing Options With Price Limits and Market Illiquidity

  Chang, C. C., Chung, H. & Wang, T. I., 2005, Research in Finance. JAI Press, p. 187-214 28 p. (Research in Finance; 卷 22).

  研究成果: 書貢獻/報告類型 › 篇章 › 同行評審

  • Price Limits 100%
  • Illiquidity 88%
  • Option Pricing 75%
  • Option Value 33%
  • Derivative Pricing 19%
  1 引文 斯高帕斯（Scopus）

• Risk aversion and price limits in futures markets

  Chou, P. H., Lin, M. C. & Yu, M. T., 9月 2005, 於: Finance Research Letters. 2, 3, p. 173-184 12 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Price Limits 100%
  • Futures Markets 74%
  • Margin Requirements 72%
  • Risk Aversion 66%
  • Traders 64%
  5 引文 斯高帕斯（Scopus）
• 2004

  Bootstrap tests for multivariate event studies

  Chou, P. H., 11月 2004, 於: Review of Quantitative Finance and Accounting. 23, 3, p. 275-290 16 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Bootstrap Test 100%
  • Event Study 76%
  • Statistical Tests 33%
  • Bootstrap Method 29%
  • Normality 27%
  20 引文 斯高帕斯（Scopus）

• Debt overhang, costly expandability and reversibility, and optimal financial structure

  Jou, J. B. & Lee, T., 9月 2004, 於: Journal of Business Finance and Accounting. 31, 7-8, p. 1191-1222 32 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Debt Overhang 100%
  • Reversibility 91%
  • Financial Structure 81%
  • Agency Costs of Debt 35%
  • Financing Decisions 28%
  7 引文 斯高帕斯（Scopus）

• Determinants of the foreign equity share of international joint ventures

  Lee, T., 10月 2004, 於: Journal of Economic Dynamics and Control. 28, 11, p. 2261-2275 15 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Equity 100%
  • International Joint Ventures 85%
  • Bargaining 66%
  • Determinant 58%
  • Costs 50%
  20 引文 斯高帕斯（Scopus）

• Pricing options with American-style average reset features

  Chang, C. C., Chung, S. L. & Shackleton, M. B., 6月 2004, 於: Quantitative Finance. 4, 3, p. 292-300 9 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Warrants 100%
  • Option Pricing 95%
  • Asian Options 63%
  • Option Prices 48%
  • Asset Prices 44%
  3 引文 斯高帕斯（Scopus）

• Public information, private information, inventory contril, and volatility of intraday NTD/USD exchange rates

  Gau, Y. F. & Hau, M., 15 3月 2004, 於: Applied Economics Letters. 11, 4, p. 263-266 4 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Exchange Rates 100%
  • Seasonal Variation 99%
  • FX Market 98%
  • Microstructure 86%
  • Public Information 80%
  12 引文 斯高帕斯（Scopus）

• The agency problem, investment decision, and optimal financial structure

  Jou, J. B. & Lee, T., 12月 2004, 於: European Journal of Finance. 10, 6, p. 489-509 21 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Financial Structure 100%
  • Agency Problems 94%
  • Investment Decision 74%
  • Exercise 55%
  • Debt Overhang 24%
  3 引文 斯高帕斯（Scopus）
• 2003

  Analytic approximation formulae for pricing forward-starting Asian options

  Tsao, C. Y., Chang, C. C. & Lin, C. G., 1 5月 2003, 於: Journal of Futures Markets. 23, 5, p. 487-516 30 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Asian Options 100%
  • Pricing Errors 65%
  • Approximation 60%
  • Pricing 48%
  • Hedge Ratio 31%
  14 引文 斯高帕斯（Scopus）

• Foreign ownership in the Taiwan stock market - An empirical analysis

  Lin, C. H. & Shiu, C. Y., 2月 2003, 於: Journal of Multinational Financial Management. 13, 1, p. 19-41 23 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Taiwan Stock Market 100%
  • Foreign Ownership 82%
  • Foreign Investors 74%
  • Empirical Analysis 51%
  • Large Firms 48%
  66 引文 斯高帕斯（Scopus）

• Optimal R&D investment tax credits under mean reversion return

  Jou, J. B. & Lee, T., 12月 2003, Real R & D Options. Elsevier Inc., p. 251-270 20 p.

  研究成果: 書貢獻/報告類型 › 篇章 › 同行評審

  • Investment Tax Credit 100%
  • Mean Reversion 77%
  • Mean-reverting Process 49%
  • Long-run Variance 36%
  • Externalities 30%
  1 引文 斯高帕斯（Scopus）

• R&D investment decision and optimal subsidy

  Jou, J. B. & Lee, T., 12月 2003, Real R & D Options. Elsevier Inc., p. 228-250 23 p.

  研究成果: 書貢獻/報告類型 › 篇章 › 同行評審

  • Investment Decision 100%
  • Subsidies 96%
  • Irreversibility 94%
  • Externalities 83%
  • Assets 67%
  2 引文 斯高帕斯（Scopus）

• The effectiveness of coordinating price limits across futures and spot markets

  Chou, P. H., Lin, M. C. & Yu, M. T., 1 6月 2003, 於: Journal of Futures Markets. 23, 6, p. 577-602 26 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Price Limits 100%
  • Spot Market 80%
  • Margin Requirements 54%
  • Spot Price 48%
  • Default Risk 19%
  12 引文 斯高帕斯（Scopus）

• The valuation of a Euro-Convertible Bond

  Lin, C. G., Chang, C. C. & Yu, M. T., 2003, 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003 - Proceedings. Institute of Electrical and Electronics Engineers Inc., p. 115-122 8 p. 1196250. (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr); 卷 2003-January).

  研究成果: 書貢獻/報告類型 › 會議論文篇章 › 同行評審

  • Convertible Bonds 100%
  • Valuation 56%
  • Currency 41%
  • Currency Options 25%
  • Volatility 21%
• 2002

  Credit enhancement and loan default risk premiums

  Chang, C. C., Lai, V. S. & Yu, M. T., 9月 2002, 於: Canadian Journal of Administrative Sciences. 19, 3, p. 301-312 12 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • default risks 100%
  • risk premiums 97%
  • Default Risk 58%
  • Enhancement 56%
  • Risk Premium 55%
  4 引文 斯高帕斯（Scopus）

• Pricing Asian-style interest rate swaps

  Chang, C. C. & Chung, S. L., 1 6月 2002, 於: Journal of Derivatives. 9, 4, p. 45-55 11 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Interest Rate Swaps 100%
  • Pricing 46%
  • Interest Rates 16%
  • Term Structure Models 15%
  • Term Structure of Interest Rates 13%
  3 引文 斯高帕斯（Scopus）

• Tests of international asset pricing model with and without a riskless asset

  Chou, P. H. & Lin, M. C., 1 12月 2002, 於: Applied Financial Economics. 12, 12, p. 873-883 11 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • International Asset Pricing 100%
  • Asset Pricing Models 71%
  • Mean-variance Efficiency 65%
  • Capital Asset Pricing Model 45%
  • Assets 37%
  8 引文 斯高帕斯（Scopus）

• The analysis of duration and immunization strategy under the HJM term structure framework

  Chang, C. C. & Ho, R. J., 2002, Research in Finance. JAI Press, p. 241-268 28 p. (Research in Finance; 卷 19).

  研究成果: 書貢獻/報告類型 › 篇章 › 同行評審

  • Immunization 100%
  • Term Structure 85%
  • Interest Rates 45%
  • Coupons 36%
  • Zero-coupon Bond 22%

• Valuation and hedging of differential swaps

  Chang, C. C., Chung, S. L. & Yu, M. T., 1月 2002, 於: Journal of Futures Markets. 22, 1, p. 73-94 22 p.

  研究成果: 雜誌貢獻 › 回顧評介論文 › 同行評審

  • Swaps 100%
  • Hedging 80%
  • Currency 33%
  • Pricing 29%
  • Currency Swap 17%
  4 引文 斯高帕斯（Scopus）
• 2001

  A binomial option pricing model under stochastic volatility and jump

  Chang, C. C. & Fu, H. C., 9月 2001, 於: Canadian Journal of Administrative Sciences. 18, 3, p. 192-203 12 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Option Pricing Model 100%
  • Jump 96%
  • Stochastic Volatility 91%
  • pricing 83%
  • assets 71%
  4 引文 斯高帕斯（Scopus）

• Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates

  Chang, C. C., 7月 2001, 於: Journal of Multinational Financial Management. 11, 3, p. 241-268 28 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Currency Options 100%
  • Stochastic Interest Rates 92%
  • Interest Rate Risk 70%
  • Hedging 65%
  • Hedging Strategies 49%
  1 引文 斯高帕斯（Scopus）

• R&D investment decision and optimal subsidy

  Jou, J. B. & Lee, T., 4月 2001, 於: R and D Management. 31, 2, p. 137-148 12 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • R&D Investment 100%
  • Externalities 83%
  • Investment Decision 79%
  • Subsidies 76%
  • Taxation 72%
  11 引文 斯高帕斯（Scopus）
• 2000

  Alternative tests of the zero-beta CAPM

  Chou, P. H., 12月 2000, 於: Journal of Financial Research. 23, 4, p. 469-493 25 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Wald Test 100%
  • Capital Asset Pricing Model 77%
  • Generalized Method of Moments 58%
  • Likelihood Ratio Test 45%
  • Serial Correlation 35%
  5 引文 斯高帕斯（Scopus）

• Investment horizon and the cross section of expected returns: Evidence from the Tokyo stock exchange

  Chou, P. H., Hsu, Y. L. & Zhou, G., 5月 2000, 於: Annals of Economics and Finance. 1, 1, p. 79-100 22 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Tokyo Stock Exchange 100%
  • Investment Horizon 87%
  • Cross Section 81%
  • Expected Returns 71%
  • Book-to-market 29%
  1 引文 斯高帕斯（Scopus）

• Price limits, margin requirements, and default risk

  Chou, P. H., Lin, M. C. & Yu, M. T., 7月 2000, 於: Journal of Futures Markets. 20, 6, p. 573-602 30 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Margin Requirements 100%
  • Price Limits 92%
  • Default Risk 72%
  • Futures Contracts 24%
  • Traders 19%
  17 引文 斯高帕斯（Scopus）
• 1999

  Modeling daily price limits

  Chou, P. H., 3月 1999, 於: International Review of Financial Analysis. 8, 3, p. 283-301 19 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Price Limits 100%
  • Maximum Likelihood Estimator 88%
  • Generalized Method of Moments Estimator 63%
  • Tobit Regression 62%
  • Modeling 43%
  13 引文 斯高帕斯（Scopus）
• 1997

  A Gibbs sampling approach to the estimation of linear regression models under daily price limits

  Chou, P. H., 2月 1997, 於: Pacific Basin Finance Journal. 5, 1, p. 39-62 24 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Gibbs Sampling 100%
  • Price Limits 92%
  • Linear Regression Model 77%
  • Stock Returns 56%
  • Stock Prices 55%
  14 引文 斯高帕斯（Scopus）

• A test of relative efficiency between two sets of securities

  Chou, P. H., 1997, 於: Applied Financial Economics. 7, 2, p. 192-195 4 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Relative Efficiency 100%
  • Gibbs Sampler 71%
  • Markov Chain Monte Carlo Methods 63%
  • Performance 36%
  1 引文 斯高帕斯（Scopus）