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題名 效率市場假設在利率理論之應用 作者 林文晃 貢獻者 高明瑞
林文晃日期 1986 上傳時間 5-五月-2016 16:32:39 (UTC+8) 參考文獻 參考文獻\n一、中文部份\n1.高明瑞:「貨幣理論與政策」課堂筆記，民國七十二年。\n2.葉志鴻:「證券市場的效率:台灣股票交易的實證研究」政大經研所碩士論文，民國六十五年。\n3.張清福:「台灣股票市場情報效率性的再探討──春節前後資料之運用」，淡江管研所碩士論文，民國七十三年。\n4.李榮瑞:「實質利率與預期物價膨脹」，台大經研所碩士論文，民國七十二年。\n5.簡仁德:「臺灣證券市場價格變動習性為隨機漫步假定之實證分析」，淡江管研所博士論文，民國七十年。\n6.林煜宗:「效率市場假設」，貨幣市場簡訊，20，國際票券金融股份有限公司，民國七十二年三月十五日。\n\n二、英文部份\n1. Alexander, Sidney S. "Price movements in Speculative Markets: Trends or Random Walks", in The Random Character of Stock Market Prices, 1964 edited by Paul Cootner, Cambridge, Mass: M.I.T. Press.\n2. Arrow Kenneth J. and Intriligator Michael D. ed. Handbook of Mathematical Economics Volume 1. 1981, North-Holland.\n3. Bachelier, L. Theorie de la Speculation, Paris : Gauthier -Villars , 1900 Reprinted in English in(Cootner , 1967 ) , pp.l7-78 .\n4 . Ball, Ray "Anomalies in Relationships Between Securities` yields and Yield-surrogates", 1978, JFE 6: pp. 103-26\n5. Begg. D.K.H. The Rational Expectations Revolution in Macroeconomics Theory & Evidence, 1982, Ch.8, pp. 205-52.\n6. Benninga Simon, and protopapadakis Aris, "Real and Nominalinterest rates under uncertainty : The Fisher theorem and the term structure," JPE 1983 , Vol.91, pp.856-67\n7. Black, F. "Capital Market Equilibrium with Restrieted Borrowing", Journal of Business, 1972 July: pp.44-55 .\n8. Black, F., M.C. Jensen, and M. Scholes, "The Capital As set Pricing Model : Some Empirical Tests", In Studies in the Theory of Capital Markets, 1972, edited by M.C . Jens en , New York Praeger.\n9. Bray Margaret, "Rational Expectations, Information and Asset Markets: An Introduction," Oxford Economic Papers, 1985, 37, pp.l61-95.\n10. Carlson, J .A. "Short-term interest rates as predictors of inflation: comment ," AER 1977, Vol.67, pp. 469-75.\n11. Cootner, Paul(ed), The Random Character of Stock Market Prices, 1967, Cambridge, Mass .: M.I.T. Press.\n12. Fama, E.F. "Efficient Capital Markets: A review of theory and Empirical work," JF , 1970, 25:pp.383-423.\n13._________ , "Short-Term interest Rates as Predictors of Inflation, " AER 1975 , 65 : pp.269-82 .\n14._________ , Foundations of Finance: Portfolio Decision and Securities Prices, 1976 , New York.\n15._________ , "Interest rates and inflation: the message of the entrails , " AER 1977, Vol. 67, pp.487-96.\n16.__________, and A.B. Laffer, "Information and Capital Market", Journal of Business 44, 1971, July, pp.289-98.\n17.__________ and G. "Pilliam Schwert, "Asset Returns and Inflation," JFE , Vo1.5 , (Nov.l977)pp. 115-46 .\n18. Flavin, Marjorie A. "Excess Volatility in the Financial Markets : A Reassessment of the Empirical Evidence," JPE 1983, Vol. 91, pp.929-56.\n19. Fraser, Donald R., "On the Accuracy and Usefulness of interest Rate Forecasts," Business Economics" 1977, Vol.l2, pp.38-44.\n20. Gibbons Michael R. and Ferson Wayne, "Testing Asset pricing Models with changing. Expectations and an unobservable Market Portfolio," JFE 1985, pp.217-36.\n21. Gibson, W. E. "Interest rates and Inflationary expectation: new evidence," AER 1972, Vol.62, pp.854-65.\n22. Grossman, Sanford, "On the efficiency of competitive Stock Markets Where Traders have Diverse Information," JF 1976 31, pp.537-85.\n23.________________, "Further results on the informational Efficiency of competitive Stock Markets," Journal of Economic Theory" 1978, 18 , pp.81-101.\n24.________________ and Stiglitz Joseph E. "Information and Competitive price Systems," AER, 1976 May Vol-66 pp. 246-53.\n25.__________________________________,, "The Impossibility of Informationally Efficient Markets," AER, 1980, 70:PP-393-408\n26. Harris Laurence, Monetary Theory, 1981 McGraw-Hill, Inc. Ch.l7, pp.322-341\n27. Hayek, F.A. "The use of knowledge in Society," AER 1945, pp.519-30\n28. Hess, P.J. and J.L. Bicksler, "Capital asset prices verses time Series models and Predictors of inflation: the expected real rate of interest and market efficiency," JFE , 1975, Vol.2, pp. 341-60\n29. ____________ and Reinganum Hare R. "Efficient Capital Markets," ed. by James L. Bicksler Handbook of Financial Economics 1979, North-Holland \n30. Hellwig, M.F. "Rational expectations eouilibrium with conditioning on past prices, A mean variance example," Journal of Economic Theory 1982, 26, pp. 279-312.\n31. Hicks, J.R. Value and Capital, 1939, clarendon press, Oxford\n32. Holden, K., D. A. Peel and J. L. Thompson , Expectations : Theory and Evidence, 1985 , St. Martin`s Press, Ch.4\n33. Jensen, Michael, "Tests of Capital Market Theory and Implications of the Evidence," in Handbook of Financial Economics, North-Holland, 1979\n34. Jones, David S. and Roley V. Vance, "Rational Expectations and the Expectations Model of the term Structure: A Test Using Weekly Data," JME 1983, pp.453-65.\n35. Joines, D. "Short-term interest rates as predictors of inflation: Comment," AER , 1977, Vol.67, pp.476-77\n36. Kendall, Maurice G. "The Analysis of Economic Time-Series, Part I Prices," Journal of the Royal Statistical Society, 1953, 96, pp. 11-25.\n37. LeRoy, Stephen F. and Richard D. Porter, "The Present-Value Relation: Tests Based on Implied Variance Bounds,`` Econometrica, 1981, 49: pp. 555-74\n38. Lintner John, "Security Prices, Risk, and Maximal gains from Diversification," JF , 1965a Dec. pp. 587-615\n39._______, "The Valuation of Risk Assets and the selection of Risky Investments in Stock portfolios and Capita l Budgets, " Review of Economics and Statistics, 1965b Feb. 47 , pp. l3-37.\n40. Lucas Robert Z., Jr. "Econometric policy Evaluation : A Critique," in Karl Brunner and Allan H. Meltzer, eds, The Phillip scurve and Labor Market, 1976, Amsterdam and New York, North-Holland\n41. Mandelbrot, B. "Forecasts of Future Prices, unbiased Markets, and Martingale Models," Journal of Business 39, 1966 Jan., pp.242-55\n42. Mankiw N. Gregory, and Summers Lawrence H., "Do Long-term Interest Rates overreact to short-term Interest Rates?" BPEA 1984 , 1, pp.223- 42\n43. Mayshar, Joram, "On Divergence of opinion and Imperfections in Capital Markets , " AER , 1983 March, Vol.73, pp. 114-28\n44. Mishkin, Frederic S, "Efficient-Markets Theory: Implication for Monetary Policy ," BPEA 1978, Vol.3, pp.707-68\n45._________________ , "Are Market forecasts Rational? , 198la AER71, pp. 293-306\n46._________________, "Monetary policy and Long-term interest rates: An efficient Markets Approach," JME 1981b, 7, pp.29-55\n47._________________ , "Monetary policy and Short-term interest rates : An efficient Markets-Rational Expectations Approach," JF 1982, pp.63-72.\n48.__________________, A Rational Expectations Approach to Macroeconometrics, Chicago Press, 1983\n49. Minford P. and D. Peel, Rational Expections and the New Macroeconomics, 1983, Ch.7, pp. 118-43.\n50. Modigliani Franco and Shiller Robert J. "Inflation, Rational Expectations, and the term structure of interest Rates, " Economica 1973 Feb. Vol. 40, pp. 12-43.\n51. Mossin, J. "Equilibrium in a Capital Asset Market," Econometrica, 1966, 34, pp. 768-83\n52. Nelson, C.R. and G.H. Schwert, "On Testing the hypothesis that the real rate of interest is constant," AER 1977, 67, pp.478-86\n53. Oakeshort, Michael, Rationalism in Politics, 1962 New York\n54. Pearce, D.K. "Comparing survey and rational measures of expected inflation," JMCB , 1979, Vol. 11, pp. 447-56\n55. Pesando, James E. "On the Random Walk Characteristics of Short-and Long-term Interest rates In an Efficient Market" JMCB , 1979 Vol. 11, pp .457-66\n56._______________ "On Forecasting Interest Rates : An Efficient Markets perspective , " JME , 1981 , 8, pp. 305-18\n57. Phillips Liad and John Pippenger, "Preferred Habitat vs. Efficient Market : A Test of Alternative Hypothesis," Federal Reserve Bank of St . Louis, 1976, May, Review Vol. 58, pp. 11-19.\n58. Poole william, "Rational expectations in the Macro Model," BPEA 1976, 2, pp. 463-505.\n59. Prell Michael J. "How well Do the Experts Forecast interest rates?,`` Federal Reserve Bank of Kansas City, Monthly Review 1973, pp.3-13.\n60. Roll, E. "Interest rates on monetary assets and commodity price index changes,", JP 1972, Vol.27, pp.251-77\n61. Roll, Richard, "A critique of the asset pricing theory`s test－part 1: on past and potential testability of the theory," JFE 1977, 4, pp. l29-76.\n62. Samuelson, P.A. "Proof that Anticipated Prices Fluctuate Randomly," Industrial Management Rev., 6, 1965 Spring, pp.41-9.\n63. Sharpe William F. "Capital Asset Prices : A theory of Market Equilibrium under conditions of Risk," JF 1964 Sep. 19, pp.425-42\n64. Sheffrin S.M. Rational Expectations 1983, Ch.4, pp. 112-150\n65. Shiller, Robert J. "Rational Expectations and the Structure of Interest Rates," 1972, M.I.T. Ph. D. dissertation\n66._______________ "Do stock prices Move Too Much to Be Justified by Subsequent changes in Dividends?," 1981a, AER 71, pp.421-36\n67._______________ "The use of volatility Measures in Assessing Market Efficiency," JF 198lb 36: pp. 291-304\n68._______________ "Stock prices and Social Dynanimcs," BPEA , 1984, 2, pp.457-98\n69._______________ and Campbell John Y., and Schaen-holtz Kermit L., "Forward Rates and Future Policy: Interpreting the term structure of Interst Rates," BPEA 1983, 1, pp. l73-217\n70. Summers, L.H. "The non-adjustment of nominal interest rates: A study of the Fisher effect, "1983, in J. Tobin (ed.) Macroeconomics, Prices and Quantities, Basil Blackwell, Oxford \n71. Theil Henri, Principles of Econometrics, 1971, John Wiley & Sons, Inc\n72. Watts, Ross L. "Systemic `Abnormal` Returns After Quarterly Earnings Announcement, " JFE, 1978, 6, pp. 127-50\n73. Working, H. "Note on the correlation of First Differences of Average in a Random Chain," 1960, Econometrica 28, pp.916-18\n\nAER : American Economic Review\nBPEA : Brookings Papers on Economic Activity\nJF : Journal of Finance\nJFE : Journal of Financial Economics\nJMCB : Journal of Money, Credit, and Banking\nJME : Journal of Monetary Economics\nJPE : Journal of Political Economy 描述 碩士
國立政治大學
經濟學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002006785 資料類型 thesis dc.contributor.advisor 高明瑞 zh_TW dc.contributor.author (作者) 林文晃 zh_TW dc.creator (作者) 林文晃 zh_TW dc.date (日期) 1986 en_US dc.date.accessioned 5-五月-2016 16:32:39 (UTC+8) - dc.date.available 5-五月-2016 16:32:39 (UTC+8) - dc.date.issued (上傳時間) 5-五月-2016 16:32:39 (UTC+8) - dc.identifier (其他 識別碼) B2002006785 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=103931 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description.tableofcontents 目錄\n第壹章 緒論………1\n第一節 研究動機及目的………1\n第二節 本文架構………2\n第貳章 效率市場理論之基本概念及個體基礎………3\n第一節 效率市場理論之基本概念………3\n第二節 效率市場理論與理性預期的關係………7\n第?章 效率市場理論之文獻回顧………21\n第一節 效率市場假設實證之一般概念………21\n第二節 早期效率市場假設之實證研究的回顧………23\n第三節 對效率市場假設之爭議………34\n第肆章 效率市場假設之應用………50\n第一節 在利率期限結構理論之應用………50\n第二節 在Fisher方程式之應用………58\n第三節 貨幣政策與利率之間關係之應用………63\n第四節 計量模型預測之應用………68\n參考文獻………78 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002006785 en_US dc.title (題名) 效率市場假設在利率理論之應用 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻\n一、中文部份\n1.高明瑞:「貨幣理論與政策」課堂筆記，民國七十二年。\n2.葉志鴻:「證券市場的效率:台灣股票交易的實證研究」政大經研所碩士論文，民國六十五年。\n3.張清福:「台灣股票市場情報效率性的再探討──春節前後資料之運用」，淡江管研所碩士論文，民國七十三年。\n4.李榮瑞:「實質利率與預期物價膨脹」，台大經研所碩士論文，民國七十二年。\n5.簡仁德:「臺灣證券市場價格變動習性為隨機漫步假定之實證分析」，淡江管研所博士論文，民國七十年。\n6.林煜宗:「效率市場假設」，貨幣市場簡訊，20，國際票券金融股份有限公司，民國七十二年三月十五日。\n\n二、英文部份\n1. Alexander, Sidney S. "Price movements in Speculative Markets: Trends or Random Walks", in The Random Character of Stock Market Prices, 1964 edited by Paul Cootner, Cambridge, Mass: M.I.T. Press.\n2. Arrow Kenneth J. and Intriligator Michael D. ed. Handbook of Mathematical Economics Volume 1. 1981, North-Holland.\n3. Bachelier, L. Theorie de la Speculation, Paris : Gauthier -Villars , 1900 Reprinted in English in(Cootner , 1967 ) , pp.l7-78 .\n4 . Ball, Ray "Anomalies in Relationships Between Securities` yields and Yield-surrogates", 1978, JFE 6: pp. 103-26\n5. Begg. D.K.H. The Rational Expectations Revolution in Macroeconomics Theory & Evidence, 1982, Ch.8, pp. 205-52.\n6. Benninga Simon, and protopapadakis Aris, "Real and Nominalinterest rates under uncertainty : The Fisher theorem and the term structure," JPE 1983 , Vol.91, pp.856-67\n7. Black, F. "Capital Market Equilibrium with Restrieted Borrowing", Journal of Business, 1972 July: pp.44-55 .\n8. Black, F., M.C. Jensen, and M. Scholes, "The Capital As set Pricing Model : Some Empirical Tests", In Studies in the Theory of Capital Markets, 1972, edited by M.C . Jens en , New York Praeger.\n9. Bray Margaret, "Rational Expectations, Information and Asset Markets: An Introduction," Oxford Economic Papers, 1985, 37, pp.l61-95.\n10. Carlson, J .A. "Short-term interest rates as predictors of inflation: comment ," AER 1977, Vol.67, pp. 469-75.\n11. Cootner, Paul(ed), The Random Character of Stock Market Prices, 1967, Cambridge, Mass .: M.I.T. Press.\n12. Fama, E.F. "Efficient Capital Markets: A review of theory and Empirical work," JF , 1970, 25:pp.383-423.\n13._________ , "Short-Term interest Rates as Predictors of Inflation, " AER 1975 , 65 : pp.269-82 .\n14._________ , Foundations of Finance: Portfolio Decision and Securities Prices, 1976 , New York.\n15._________ , "Interest rates and inflation: the message of the entrails , " AER 1977, Vol. 67, pp.487-96.\n16.__________, and A.B. Laffer, "Information and Capital Market", Journal of Business 44, 1971, July, pp.289-98.\n17.__________ and G. "Pilliam Schwert, "Asset Returns and Inflation," JFE , Vo1.5 , (Nov.l977)pp. 115-46 .\n18. Flavin, Marjorie A. "Excess Volatility in the Financial Markets : A Reassessment of the Empirical Evidence," JPE 1983, Vol. 91, pp.929-56.\n19. Fraser, Donald R., "On the Accuracy and Usefulness of interest Rate Forecasts," Business Economics" 1977, Vol.l2, pp.38-44.\n20. Gibbons Michael R. and Ferson Wayne, "Testing Asset pricing Models with changing. Expectations and an unobservable Market Portfolio," JFE 1985, pp.217-36.\n21. Gibson, W. E. "Interest rates and Inflationary expectation: new evidence," AER 1972, Vol.62, pp.854-65.\n22. Grossman, Sanford, "On the efficiency of competitive Stock Markets Where Traders have Diverse Information," JF 1976 31, pp.537-85.\n23.________________, "Further results on the informational Efficiency of competitive Stock Markets," Journal of Economic Theory" 1978, 18 , pp.81-101.\n24.________________ and Stiglitz Joseph E. "Information and Competitive price Systems," AER, 1976 May Vol-66 pp. 246-53.\n25.__________________________________,, "The Impossibility of Informationally Efficient Markets," AER, 1980, 70:PP-393-408\n26. Harris Laurence, Monetary Theory, 1981 McGraw-Hill, Inc. Ch.l7, pp.322-341\n27. Hayek, F.A. "The use of knowledge in Society," AER 1945, pp.519-30\n28. Hess, P.J. and J.L. Bicksler, "Capital asset prices verses time Series models and Predictors of inflation: the expected real rate of interest and market efficiency," JFE , 1975, Vol.2, pp. 341-60\n29. ____________ and Reinganum Hare R. "Efficient Capital Markets," ed. by James L. Bicksler Handbook of Financial Economics 1979, North-Holland \n30. Hellwig, M.F. "Rational expectations eouilibrium with conditioning on past prices, A mean variance example," Journal of Economic Theory 1982, 26, pp. 279-312.\n31. Hicks, J.R. Value and Capital, 1939, clarendon press, Oxford\n32. Holden, K., D. A. Peel and J. L. Thompson , Expectations : Theory and Evidence, 1985 , St. Martin`s Press, Ch.4\n33. Jensen, Michael, "Tests of Capital Market Theory and Implications of the Evidence," in Handbook of Financial Economics, North-Holland, 1979\n34. Jones, David S. and Roley V. Vance, "Rational Expectations and the Expectations Model of the term Structure: A Test Using Weekly Data," JME 1983, pp.453-65.\n35. Joines, D. "Short-term interest rates as predictors of inflation: Comment," AER , 1977, Vol.67, pp.476-77\n36. Kendall, Maurice G. "The Analysis of Economic Time-Series, Part I Prices," Journal of the Royal Statistical Society, 1953, 96, pp. 11-25.\n37. LeRoy, Stephen F. and Richard D. Porter, "The Present-Value Relation: Tests Based on Implied Variance Bounds,`` Econometrica, 1981, 49: pp. 555-74\n38. Lintner John, "Security Prices, Risk, and Maximal gains from Diversification," JF , 1965a Dec. pp. 587-615\n39._______, "The Valuation of Risk Assets and the selection of Risky Investments in Stock portfolios and Capita l Budgets, " Review of Economics and Statistics, 1965b Feb. 47 , pp. l3-37.\n40. Lucas Robert Z., Jr. "Econometric policy Evaluation : A Critique," in Karl Brunner and Allan H. Meltzer, eds, The Phillip scurve and Labor Market, 1976, Amsterdam and New York, North-Holland\n41. Mandelbrot, B. "Forecasts of Future Prices, unbiased Markets, and Martingale Models," Journal of Business 39, 1966 Jan., pp.242-55\n42. Mankiw N. Gregory, and Summers Lawrence H., "Do Long-term Interest Rates overreact to short-term Interest Rates?" BPEA 1984 , 1, pp.223- 42\n43. Mayshar, Joram, "On Divergence of opinion and Imperfections in Capital Markets , " AER , 1983 March, Vol.73, pp. 114-28\n44. Mishkin, Frederic S, "Efficient-Markets Theory: Implication for Monetary Policy ," BPEA 1978, Vol.3, pp.707-68\n45._________________ , "Are Market forecasts Rational? , 198la AER71, pp. 293-306\n46._________________, "Monetary policy and Long-term interest rates: An efficient Markets Approach," JME 1981b, 7, pp.29-55\n47._________________ , "Monetary policy and Short-term interest rates : An efficient Markets-Rational Expectations Approach," JF 1982, pp.63-72.\n48.__________________, A Rational Expectations Approach to Macroeconometrics, Chicago Press, 1983\n49. Minford P. and D. Peel, Rational Expections and the New Macroeconomics, 1983, Ch.7, pp. 118-43.\n50. Modigliani Franco and Shiller Robert J. "Inflation, Rational Expectations, and the term structure of interest Rates, " Economica 1973 Feb. Vol. 40, pp. 12-43.\n51. Mossin, J. "Equilibrium in a Capital Asset Market," Econometrica, 1966, 34, pp. 768-83\n52. Nelson, C.R. and G.H. Schwert, "On Testing the hypothesis that the real rate of interest is constant," AER 1977, 67, pp.478-86\n53. Oakeshort, Michael, Rationalism in Politics, 1962 New York\n54. Pearce, D.K. "Comparing survey and rational measures of expected inflation," JMCB , 1979, Vol. 11, pp. 447-56\n55. Pesando, James E. "On the Random Walk Characteristics of Short-and Long-term Interest rates In an Efficient Market" JMCB , 1979 Vol. 11, pp .457-66\n56._______________ "On Forecasting Interest Rates : An Efficient Markets perspective , " JME , 1981 , 8, pp. 305-18\n57. Phillips Liad and John Pippenger, "Preferred Habitat vs. Efficient Market : A Test of Alternative Hypothesis," Federal Reserve Bank of St . Louis, 1976, May, Review Vol. 58, pp. 11-19.\n58. Poole william, "Rational expectations in the Macro Model," BPEA 1976, 2, pp. 463-505.\n59. Prell Michael J. "How well Do the Experts Forecast interest rates?,`` Federal Reserve Bank of Kansas City, Monthly Review 1973, pp.3-13.\n60. Roll, E. "Interest rates on monetary assets and commodity price index changes,", JP 1972, Vol.27, pp.251-77\n61. Roll, Richard, "A critique of the asset pricing theory`s test－part 1: on past and potential testability of the theory," JFE 1977, 4, pp. l29-76.\n62. Samuelson, P.A. "Proof that Anticipated Prices Fluctuate Randomly," Industrial Management Rev., 6, 1965 Spring, pp.41-9.\n63. Sharpe William F. "Capital Asset Prices : A theory of Market Equilibrium under conditions of Risk," JF 1964 Sep. 19, pp.425-42\n64. Sheffrin S.M. Rational Expectations 1983, Ch.4, pp. 112-150\n65. Shiller, Robert J. "Rational Expectations and the Structure of Interest Rates," 1972, M.I.T. Ph. D. dissertation\n66._______________ "Do stock prices Move Too Much to Be Justified by Subsequent changes in Dividends?," 1981a, AER 71, pp.421-36\n67._______________ "The use of volatility Measures in Assessing Market Efficiency," JF 198lb 36: pp. 291-304\n68._______________ "Stock prices and Social Dynanimcs," BPEA , 1984, 2, pp.457-98\n69._______________ and Campbell John Y., and Schaen-holtz Kermit L., "Forward Rates and Future Policy: Interpreting the term structure of Interst Rates," BPEA 1983, 1, pp. l73-217\n70. Summers, L.H. "The non-adjustment of nominal interest rates: A study of the Fisher effect, "1983, in J. Tobin (ed.) Macroeconomics, Prices and Quantities, Basil Blackwell, Oxford \n71. Theil Henri, Principles of Econometrics, 1971, John Wiley & Sons, Inc\n72. Watts, Ross L. "Systemic `Abnormal` Returns After Quarterly Earnings Announcement, " JFE, 1978, 6, pp. 127-50\n73. Working, H. "Note on the correlation of First Differences of Average in a Random Chain," 1960, Econometrica 28, pp.916-18\n\nAER : American Economic Review\nBPEA : Brookings Papers on Economic Activity\nJF : Journal of Finance\nJFE : Journal of Financial Economics\nJMCB : Journal of Money, Credit, and Banking\nJME : Journal of Monetary Economics\nJPE : Journal of Political Economy zh_TW
