教師資料查詢 | 類別: 期刊論文 | 教師: 林建志 Lin, Chien-chin (瀏覽個人網頁)

標題:Heterogeneous Beliefs and Price Efficiency
學年102
學期1
出版(發表)日期2014/01/01
作品名稱Heterogeneous Beliefs and Price Efficiency
作品名稱(其他語言)
著者林建志;林豐騰;廖美華
單位淡江大學財務金融學系
出版者
著錄名稱、卷期、頁數Journal of Information and Optimization Sciences 35(1). pp.1-15
摘要An asset pricing formula is derived under an economic model incorporating investors’ heterogeneous beliefs. Applying this pricing formula, the autocorrelation of the asset returns is computed. An analysis of the autocorrelation reveals the influence of agents’ heterogeneous beliefs on asset price efficiency. Using the dataset coming from the Weighted Index of the Taiwan Stock Exchange, we test whether the heterogeneous beliefs between the institutional investors in the Taiwan stock market have a significant effect on price efficiency.
關鍵字Autocorrelation;heterogeneous beliefs;price efficiency;state-price density;trading volume
語言中文
ISSN
期刊性質國內
收錄於
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
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