周 賓凰

研究成果

每年研究成果 1997 1997 2000 2005 2006 2008 2010 2012 2013 2018 2019 2021 2021

• 33 期刊論文
• 1 回顧評介論文

每年研究成果

每年研究成果

搜尋結果

• 2021

  Momentum life cycle, revisited

  Chen, T. Y., Chou, P. H., Hsieh, C. H. & Ghon Rhee, S., 6月 2021, 於: Journal of Banking and Finance. 127, 106119.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Turnover 100%
  • Life Cycle 88%
  • Momentum 77%
  • Life Cycle Hypothesis 29%
  • Underreaction 27%
  1 引文 斯高帕斯（Scopus）

• Non-parametric momentum based on ranks and signs

  Chen, T. Y., Chou, P. H., Ko, K. C. & Rhee, S. G., 1月 2021, 於: Journal of Empirical Finance. 60, p. 94-109 16 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Momentum Strategies 100%
  • Momentum 96%
  • Price Momentum 74%
  • Return Reversal 37%
  • Long-term Returns 35%
  2 引文 斯高帕斯（Scopus）
• 2020

  Momentum and reversals: Are they really separate phenomena?

  Chen, T. Y., Chou, P. H. & Yang, N. T., 1月 2020, 於: Finance Research Letters. 32, 101102.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Reversal 100%
  • Momentum 92%
  • Return Reversal 71%
  • Long-term Returns 68%
  • Coexistence 47%
  1 引文 斯高帕斯（Scopus）
• 2019

  Asset growth, style investing, and momentum

  Chou, P. H., Ko, K. C. & Yang, N. T., 1月 2019, 於: Journal of Banking and Finance. 98, p. 108-124 17 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Style Investing 100%
  • Momentum 56%
  • Assets 34%
  • Momentum Profits 28%
  • Limited Attention 23%
  6 引文 斯高帕斯（Scopus）

• Median momentum

  Chen, T. Y. & Chou, P. H., 1 9月 2019, 於: European Financial Management. 25, 4, p. 1080-1118 39 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Momentum Strategies 100%
  • Median 99%
  • Momentum 96%
  • Price Momentum 37%
  • Central Tendency 36%
• 2018

  Margin trading, differences of opinion, and stock returns

  Ting, P. H., Lu, C. Y. & Chou, P. H., 9月 2018, 於: Academia Economic Papers. 46, 3, p. 323-366 44 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Margin 100%
  • Stock Returns 95%
  • Short Selling 45%
  • Mispricing 45%
  • Taiwan Stock Exchange 25%

• Persistency of the momentum effect

  Chen, H. Y., Chou, P. H. & Hsieh, C. H., 11月 2018, 於: European Financial Management. 24, 5, p. 856-892 37 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Momentum Effect 100%
  • Momentum 46%
  • Price Momentum 36%
  • Momentum Strategies 32%
  • Investors 28%
  5 引文 斯高帕斯（Scopus）
• 2016

  What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?

  Chou, P. H., Hsieh, C. H. & Shen, C. H. H., 1 6月 2016, 於: Journal of Financial Markets. 29, p. 47-65 19 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Smart Money 100%
  • Sentiment 62%
  • Smart Money Effect 26%
  • Stock Market 21%
  • Noise Traders 20%
  4 引文 斯高帕斯（Scopus）
• 2013

  Arbitrage risk and the turnover anomaly

  Chou, P. H., Huang, T. Y. & Yang, H. J., 11月 2013, 於: Journal of Banking and Finance. 37, 11, p. 4172-4182 11 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Arbitrage 100%
  • Turnover 75%
  • Anomaly 60%
  • Premium 29%
  • Investor Sophistication 19%
  14 引文 斯高帕斯（Scopus）

• What affects the cool-off duration under price limits?

  Chou, P. H., Chou, R. K., Ko, K. C. & Chao, C. Y., 9月 2013, 於: Pacific Basin Finance Journal. 24, p. 256-278 23 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Arbitrage 100%
  • Price Limits 83%
  • Market Regulation 24%
  • Capitalization 22%
  • Stock Market 21%
  10 引文 斯高帕斯（Scopus）
• 2012

  Do industries matter in explaining stock returns and asset-pricing anomalies?

  Chou, P. H., Ho, P. H. & Ko, K. C., 2月 2012, 於: Journal of Banking and Finance. 36, 2, p. 355-370 16 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Asset Pricing 100%
  • Anomaly 92%
  • Stock Returns 77%
  • Book-to-market Ratio 39%
  • Asset Pricing Models 34%
  46 引文 斯高帕斯（Scopus）

• Firm characteristics, alternative factors, and asset-pricing anomalies: Evidence from Japan

  Chou, P. H., Ko, K. C., Kuo, S. T. & Lin, S. J., 3月 2012, 於: Quantitative Finance. 12, 3, p. 369-382 14 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Multifactor Model 100%
  • Turnover 92%
  • Asset Pricing 81%
  • Firm Characteristics 77%
  • Anomaly 75%
  4 引文 斯高帕斯（Scopus）

• Fitting and testing for the implied volatility curve using parametric models

  Chang, C. C., Chou, P. H. & Liao, T. H., 12月 2012, 於: Journal of Futures Markets. 32, 12, p. 1171-1191 21 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Implied Volatility Smile 100%
  • Parametric Model 79%
  • Volatility Models 76%
  • Implied Volatility 73%
  • Testing 55%
  1 引文 斯高帕斯（Scopus）
• 2011

  Prospect theory and the effectiveness of price limits

  Lin, M. C. & Chou, P. H., 6月 2011, 於: Pacific Basin Finance Journal. 19, 3, p. 330-349 20 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Price Limits 100%
  • Prospect Theory 82%
  • Traders 32%
  • Financial Futures 25%
  • Futures Contracts 20%
  8 引文 斯高帕斯（Scopus）
• 2010

  Being good or being known: Corporate governance, media coverage, and earnings announcements

  Chih, H. L., Chih, H. H. & Chou, P. H., 3月 2010, 於: Service Industries Journal. 30, 3, p. 405-420 16 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Corporate Governance 100%
  • Media Coverage 80%
  • Earnings Announcements 76%
  • Market Reaction 34%
  • Taiwan Stock Exchange 21%
  2 引文 斯高帕斯（Scopus）

• Do relative leverage and relative distress really explain size and book-to-market anomalies?

  Chou, P. H., Ko, K. C. & Lin, S. J., 2月 2010, 於: Journal of Financial Markets. 13, 1, p. 77-100 24 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Market Anomalies 100%
  • Book-to-market 83%
  • Distress 75%
  • Anomaly 53%
  • Leverage 53%
  8 引文 斯高帕斯（Scopus）
• 2009

  Prospect theory and the risk-return paradox: Some recent evidence

  Chou, P. H., Chou, R. K. & Ko, K. C., 2009, 於: Review of Quantitative Finance and Accounting. 33, 3, p. 193-208 16 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Risk-Return Relation 100%
  • Prospect Theory 70%
  • Risk-return 70%
  • Paradox 49%
  • Survivorship Bias 47%
  18 引文 斯高帕斯（Scopus）
• 2008

  Characteristics, covariances, and structural breaks

  Chou, P. H. & Ko, K. C., 7月 2008, 於: Economics Letters. 100, 1, p. 31-34 4 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Structural Breaks 100%
  • Premium 78%
  • Change Point 65%
  • Fama-French Three-factor Model 61%
  • Book-to-market 61%

• Market reactions to the passage of the financial holding company act in Taiwan

  Wang, J. S., Chen, J. T. & Chou, P. H., 2008, 於: Pacific Economic Review. 13, 4, p. 453-472 20 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Financial Holding Company 100%
  • Market Value 95%
  • Market Reaction 70%
  • Abnormal Returns 63%
  • Taiwan 50%
  5 引文 斯高帕斯（Scopus）
• 2007

  Sources of contrarian profits in the Japanese stock market

  Chou, P. H., Wei, K. C. J. & Chung, H., 6月 2007, 於: Journal of Empirical Finance. 14, 3, p. 261-286 26 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Contrarian Strategy 100%
  • Japanese Stock Market 97%
  • Ranking 69%
  • Fama-French Three-factor Model 55%
  • Profit 37%
  48 引文 斯高帕斯（Scopus）
• 2006

  Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading

  Chou, P. H., Li, W. S., Lin, J. B. & Wang, J. S., 2006, 於: International Review of Financial Analysis. 15, 4-5, p. 363-376 14 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Value at Risk 100%
  • Non-synchronous Trading 70%
  • Price Limits 62%
  • Financial Economics 23%
  • Historical Simulation 15%
  3 引文 斯高帕斯（Scopus）

• Portfolio optimization under asset pricing anomalies

  Chou, P. H., Li, W. S. & Zhou, G., 3月 2006, 於: Japan and the World Economy. 18, 2, p. 121-142 22 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Investors 100%
  • Asset Pricing 90%
  • Portfolio Optimization 90%
  • Capital Asset Pricing Model 88%
  • pricing 85%
  7 引文 斯高帕斯（Scopus）
• 2005

  Detecting mutual fund timing ability using the threshold model

  Chou, P. H., Chung, H. & Sun, E. Y., 20 10月 2005, 於: Applied Economics Letters. 12, 13, p. 829-834 6 p.

  研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

  • Threshold Model 100%
  • Market Timing 96%
  • Mutual Funds 79%
  • Threshold Regression 38%
  • Merton Model 37%
  2 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%
  19 引文 斯高帕斯（Scopus）
• 2003

  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）
• 2002

  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%
  7 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%
  12 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%
  13 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）