以縱橫平滑移轉模型探討股價與股利非線性關係之研究

The examination of the nonlinear relationship between stock prices and dividends by panel smooth transition model

葉几豪(Chi-Hao Yeh)

指導教授 ： 聶建中 ； 樓禎祺

淡江大學/商學院/財務金融學系碩士班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.01383

摘要

本篇摘要未授權

關鍵字

現金股利 ； 負債比率 ； 總資產報酬率 ； 速動比率 ； 縱橫平滑移轉模型 ； 非線性關係

並列摘要

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並列關鍵字

dividends ； debt ratio ； returns on asset ； quick ratio ； panel smooth transition model ； nonlinear relationship

參考文獻

Asem, Ebenezer (2009), ‘Dividends and price momentum’, Journal of Banking and Finance, 33(3), 486-494.

Balke, N. S.and Mark E. Wohar (2009), ‘Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective’, Journal of Applied Econometrics, 24(1), 35-75.

Campbell, John Y. and R. J. Shiller (1987), ‘Cointegration and tests of present value models’, The Journal of Political Economy, 95(5), 1062-1088.

Caporale, G. M. and L. A. Gil-Alana (2004), ‘Fractional cointegration and tests of present value models’, Review of Financial Economics, 13(3), 245-258.

Engsted, T. and J. Lund (1997), ’Common stochastic trends in international stock prices and dividends: An example of testing overidentifying restrictions on multiple cointegration vectors’, Applied Financial Economics, 7(6), 659-665.