|
易志高、茅寧、汪麗(2010),「投資者情緒測量研究綜述」,《金融評論》,第3期,頁113-121。 周賓凰、張宇志、林美珍(2007),「投資人情緒與股票報酬互動關係」,《證券市場發展季刊》, 第19卷,第2期,頁153-190。 Ait-Sahalia, Y. L., Andrew W (2000). "Nonparametric risk management and implied risk aversion." Journal of Econometrics 94(1-2): 9-51. Bahra, B. (1997). Implied risk-neutral probability density functions from option prices: theory and application, Bank of England UK. Baker, M. and J. Wurgler (2006). "Investor sentiment and the cross‐section of stock returns." The Journal of Finance 61(4): 1645-1680. Barone-Adesi, G., et al. (2012). "Behavioral finance and the pricing kernel puzzle: estimating risk aversion, optimism, and overconfidence." Unpublished manuscript Swiss Finance Institute 3(6). Black, F. and M. Scholes (1973). "The pricing of options and corporate liabilities." The Journal of Political Economy: 637-654. Bliss, R. R. and N. Panigirtzoglou (2004). "Option‐implied risk aversion estimates." The Journal of Finance 59(1): 407-446. Bookstaber, R. M. and J. B. McDonald (1987). "A general distribution for describing security price returns." Journal of Business: 401-424. Breeden, D. T. and R. H. Litzenberger (1978). "Prices of state-contingent claims implicit in option prices." Journal of Business: 621-651. Brown, D. P. and J. C. Jackwerth (2004). "The pricing kernel puzzle: reconciling index option data and economic theory." Bibliothek der Universität Konstanz. Buchen, P. W. and M. Kelly (1996). "The maximum entropy distribution of an asset inferred from option prices." Journal of Financial and Quantitative analysis 31(01): 143-159. Cochrane, J. H. (2000). Asset pricing, Princeton: Princeton University Press. Cox, J. C. and S. A. Ross (1976). "The valuation of options for alternative stochastic processes." Journal of Financial Economics 3(1): 145-166. Han, B. (2008). "Investor sentiment and option prices." Review of Financial Studies 21(1): 387-414. Hull, J. (2010). Options, Futures, and Other Derivatives, 7/e Pearson Education. Jackwerth, J. C. (1999). "Option-implied risk-neutral distributions and implied binomial trees: a literature review." The Journal of Derivatives 7(2): 66-82. Jackwerth, J. C. (2000). "Recovering risk aversion from option prices and realized returns." Review of Financial Studies 13(2): 433-451. Jackwerth, J. C. (2004). Option-implied risk-neutral distributions and risk aversion, Research Foundation of AIMR Charlotteville,, USA. Jackwerth, J. C. and M. Rubinstein (1996). "Recovering probability distributions from option prices." The Journal of Finance 51(5): 1611-1631. Liu, X., et al. (2007). "Closed-form transformations from risk-neutral to real-world distributions." Journal of Banking & Finance 31(5): 1501-1520. Liu, X., et al. (2009). "Empirical pricing kernels obtained from the UK index options market." Applied Economics Letters 16(10): 989-993. Lo, A. A. W.-C. and A. CRAIG (1997). The Econometrics of Financial Markets, Princeton University press. Lucas Jr, R. E. (1978). "Asset prices in an exchange economy." Econometrica: Journal of the Econometric Society: 1429-1445. Merton, R. C. (1976). "Option pricing when underlying stock returns are discontinuous." Journal of Financial Economics 3(1): 125-144. Ornelas, J. R. H., et al. (2012). "Estimating relative risk aversion, risk-neutral and real-world densities using Brazilian real currency options." de Working Papers da EBAPE Apresentar o registro completo Itens relacionados Por autor: Endogenous Collateral. Ritchey, R. J. (1990). "Call option valuation for discrete normal mixtures." Journal of Financial Research 13(4): 285-296. Rosenberg, J. V. and R. F. Engle (2002). "Empirical pricing kernels." Journal of Financial Economics 64(3): 341-372. Shefrin, H. (2008). A behavioral approach to asset pricing, Academic Press. Taylor, S. J. (2011). Asset price dynamics, volatility, and prediction, Princeton university press.-360. |