| Reference: | 王鳳榮．趙建 (2006), “基於投資者異質性信念的證券定價模型”, 《經濟管理》, 18, 41-46。
張維．張永杰(2006) , “異質信念﹑賣空限制與風險資產價格”, 《管理科學學報》,4, 58-62。
陳國進．王景(2007), “異質信念與金融異象研究新發展”, 《經濟學動態》, 9, 75-79。
Banerjee, Snehal (2008), “Learning from prices and the dispersion in beliefs”, Working paper, Kelogg School of management, Northwestern University.
Barth, M and Hutton, A. (2000), “Information intermediaries and the pricing of accruals”, Working paper, Stanford University.
Brown, L. D. and Rozeff, M. S. (1979), “Adaptive expectations, time-series models, and analyst forecast revision”, Journal of Accounting Research,17(2), 341–351.
Brown, R. Hagerman P. A. Griffin, L. D. and Zmijewski, M. (1987), “Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings”, Journal of Accounting and Economics, 19(1), 61–87.
Campbell, John Y. and Cochrane, John H. (1999), “By force of habit: A comsumption-based explanation of aggregate stock market behavior”, The Journal of Political Economy, 107(2), 205–251.
Doukas, F. Kim, John A. and Pantzalis, C. (2006),
“Divergence of opinion and equity returns”, Journal of Financial and Quantitative Analysis, 41(3), 573–605.
Francis, J. and Soffer, L. (1997), “The relative informativeness of analysts’stock recommendations and earnings forecast revisions”, Journal of Accounting Research, 35(2), 193–211.
Givoly, Dan and Lakonishok, J. (1979), “The information content of financial analysts’ forecasts of earnings: Some evidence on semi-strong inefficiency”, Journal of Accounting and Economics, 1(3), 165–185.
Harris, Milton and Raviv, A. (1993), “Differences of opinion make a horse race”, The Review of Financial Studies, 6(3), 473–506.
Harrison, M. J. and Kreps, D. M. (1979), “Martingales and arbitrage in multiperiod securities markets”, Journal of Economics Theory, 20, 381–408.
He, Xue-Zhong and Shi, L. (2007), “Heterogeneity, bounded rationality, and market dysfunctionality”, Technical report, University of Technology, Sydney.
Heij, P. de Boer P. H. Franses T. Kloek, C. and k. van Dijk, H. (2004), Econometric Methods with Applications in Business and Economics, Oxford: Oxford University Press, 1st edition.
Hong, H. and Stein, J. C. (2007), “Disagreement and the stock market”, Journal of Economic Perspectives, 21(2), 109–128.
Hong, H. and Stein, Jeremy C. (1999), “A unified theory of underreaction, momentum trading, and overreaction in asset markets”, The Journal of Finance, 54(6), 2143–2183.
Hong, T. Lim, H. and Stein, J. C. (2000), “Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies”, The Journal of
Finance, 55(1), 265–295.
Jiang, D. Xu, G. and Yao, T. (2005), “The information content idiosyncratic volatility”, Technical report, University of Arizona.
Kandel, E. and Pearson, N. D. (1995), “Differential interpretation of public signals and trade in speculative markets”, The Journal of Political Economy, 103(4), 831–872.
La Porta, J. Lakonishok A. Shleifer, R. And Vishny, R. (1997), “Good news for value stocks: Further evidence on market efficiency”, The Journal of Finance, 52(2), 859–874.
Lang, Mark and Lundholm, R. (1993), “Cross-sectional determinants of analyst ratings of corporate disclosures”, Journal of Accounting Research,31(2), 246–271.
Lys, T. and Shon, S. (1990), “The association between revisions of financial analysts’earnings forecasts and security-price changes”, Journal of Accounting and Economics, 13(4), 341–363.
Miller, Edward M. (1977), “Risk, uncertainty and divergence of opinion”, The Journal of Finance, 32(4), 1151–1168.
Shefrin, H. and Statman, M. (2000), “Behavioral portfolio theory”, The Journal of Financial and Quantitative Analysis, 35(2), 127–151.
Tirole, J (1982), “On the possibility of speculation under rational expectations”, Econometrica, 50(5), 1163–1181.
Varian, Hal R. (1985), “Divergence of opinion in complete markets: a note”, The Journal of Finance, 32(4), 1151–1168. |
