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專任老師
周賓凰 教授
學歷: 美國華盛頓大學經濟博士
專長: 計量經濟、投資學、行為財務學
辦公室:
分機: 66270
聯絡信箱 : choup@cc.ncu.edu.tw
個人網頁 : http://www.mgt.ncu.edu.tw/~choup/

期刊論文

  1. P.-H. Chou, Robin K. Chou, K.-C. Ko and C.-Y. Chao (2013), What affects the cool-off duration under price limits?, Pacific-Basin Finance Journal.
  2. P.-H. Chou, T.-S. Huang, H.-J. Yang (2013), Arbitrage risk and the turnover anomaly, Journal of Banking and Finance.
  3. C.-C. Chang, P.-H. Chou, and T.-H. Liao (2012), Fitting and Testing for the Implied Volatility Curve using Parametric Models, Journal of Futures Markets.
  4. P.-H. Chou, K.-C. Ko, S.-T. Kuo, S.-J. Lin (2012), Firm characteristics, alternative factors, and asset-pricing anomalies: Evidence from Japan, Quantitative Finance.
  5. P.-H. Chou, P.-H. Ho, and K.-C. Ko (2012), Do industries matter in explaining stock returns and asset-pricing anomalies?, Journal of Banking and Finance.
  6. M.-C. Lin and P.-H. Chou (2011), Prospect Theory and the Effectiveness of Price Limits, Pacific-Basin Finance Journal.
  7. Chih, Hsiang-Lin, Hsiang-Hsuan Chih, and Pin-Huang Chou (2010), Being Good or Being Known: Corporate Governance, Media Coverage, and Earnings Announcements, The Service Industries Journal.
  8. 周賓凰、池祥萱、林煜恩 (2009), 處份效果、強化承諾與共同基金績效, 管理評論 Management Review.
  9. H.-S. Chih, P.-H. Chou, H. Chung, and Y.-E. Lin (2009), Smart money effect and past performance: Evidence from U.S. mutual funds, Journal of Financial Studies.
  10. P.-H. Chou, R. K. Chou, and K.-C. Ko (2009), Prospect theory and risk-return paradox: Some recent evidence, Review of Quantitative Finance and Accounting.
  11. 周賓凰、池祥萱、林煜恩、陳韋如 (2009), 公司執行長的媒體曝光度會影響公司績效嗎?, 交大管理學報Chiao Da Mangement Review.
  12. Pin-Huang Chou, Wang, J.-S., J.-T. Chen (2008), Market reactions to the passage of financial holding company act in Taiwan, Pacific Economic Review.
  13. Pin-Huang Chou and K. C. Ko (2008), Characteristics, Covariances, and Structural Breaks, Economics Letters.
  14. P.-H. Chou, Huimin Chung, and K. C. Wei (2007), Sources of contrarian profits in Japanese markets, Journal of Empirical Finance , 14, 261-286.
  15. 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 , 19,第二期,153-190.
  16. 池祥萱、林煜恩、周賓凰 (2007), 基金績效與聰明錢效果:台灣實證, 管理學報, 24,第三期,307-330.
  17. P.-H. Chou, Wen-Shen Li and Guofu Zhou (2006), “Portfolio optimization under asset-pricing anomalies,”, Japan and the World Economy , 18, 121-142.
  18. P.-H. Chou, M.-C. Lin and M.-T. Yu (2006), “Margins and price limits in Taiwan's stock index futures market,”, Emerging Markets Finance and Trade , 42, 65-91.
  19. P.-H. Chou, W.-S. Li, J.-B. Lin, and J.-S. Wang (2006), “Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading,”, International Review of Financial Analysis , 15, 363-376.
  20. P.-H. Chou and G. Zhou (2006), Bootstrap tests of Portfolio efficiency, Annals of Economics and Finance , 2, 217-249.
  21. P.-H. Chou, M.-C. Lin and M.-T. Yu (2005), “Risk Aversion and Price Limits in Futures Markets,” , Finance Research Letters , 2, 173-184.
  22. P.-H. Chou, Huimin Chung, and Erh-Yin Sun (2005), “Detecting mutual fund timing ability using the threshold model,”, Applied Economics Letters , 12, 829-834.
  23. P.-H. Chou, Robin K. Chou and J.-S. Wang (2004), “On the Cross-section of Expected Stock Returns: Fama-French Ten Years Later,”, Finance Letters 2, Issue 1, 18-22.
  24. Pin-Huang Chou (2004), “Bootstrap tests for multivariate event studies,” , Review of Quantitative Finance and Accounting , 23, 275-290.
  25. P.-H. Chou, M.-C. Lin and M.-T. Yu (2003), "Coordinating price limits across spot and futures markets,", Journal of Futures Markets , 23, 577-602.
  26. Mei-Chen Lin and Pin-Huang Chou (2003), “The pitfall of using sharpe ratio,” , Finance Letters, 1, 84-89.
  27. S. Chen, C. Lin, P.-H. Chou and D. Hwang (2002), A Comparison of Hedge Effectiveness and Price Discovery between TAIFEX TAIEX Index Futures and SGX MSCI Taiwan Index Futures, Review of Pacific Basin Financial Markets and Policies , Vol. 5, No. 2, 277-300.
  28. 周賓凰、池祥萱、周冠男、龔怡霖 (2001), 行為財務學: 文獻回顧與展望,, 證券市場發展季刊, Volume 14, No. 2, 1-48.
  29. P.-H. Chou, Mei-Chen Lin and Min-Teh Yu (2000), "Price limits, default risks, and margin requirements,", Journal of Futures Markets , 20, 573-602.
  30. 周賓凰、劉怡芬 (2000), 台灣股市橫斷面報酬解釋因子:特徵、單因子、或多因子, 證券市場發展季刊, Vol. 12, No. 1, 1-32.
  31. Pin-Huang Chou (1999), "Modeling daily price limits," , International Review of Financial Analysis , 8:3, 283-301.
  32. 周賓凰與吳壽山 (1998), 漲跌幅限制之再探討,, 中國財務學刊, Vol. 6, No. 2, 19-48.
  33. 周賓凰、劉貽芳、林惠雪 (1998), 五種台股指數績效與均異效率性之評估, 證券市場發展季刊, Vol. 10, No. 4, 1-26.
  34. 沈中華與周賓凰 (1997), 漲跌幅限制下的股市星期效應與自我相關, 經濟論文,中央研究院經研所, Vol. 25, No. 1, 21-44.
  35. Pin-Huang Chou (1997), "A Gibbs sampling approach to the estimation of linear regression models under daily price limits,", Pacific Basin Finance Journal , Vol. 5, 39-62.
  36. Pin-Huang Chou (1997), "A test of relative efficiency between two sets of securities,", Applied Financial Economics, Vol. 7, 193-196.
  37. 周賓凰與蔡坤芳 (1997), 臺灣股市日資料特性與事件研究法, 證券市場發展季刊, Vol. 9, No. 2, 1-27.
  38. 吳壽山與周賓凰 (1996), 衡量漲跌幅限制對股票報酬與風險的影響, 證券市場發展季刊, Vol. 8, No. 1, 1-31.
  39. 周賓凰與邱湘靈 (1996), 美國亞太地區國際型共同基金績效之評估, 證券市場發展季刊, Vol. 8, No. 3, 117-145.
  40. P.-H. Chou, Wen-Shen Li, S. Ghon Rhee and Jane-Sue Wang ( 2007), “Do macroeconomic factors subsume market anomalies in long investment horizons?”, Managerial Finance , 33, 534-552.
  41. Chou, P.-H. and K.-C. Ko ( 2007), Characteristics, Covariances, and Structural Breaks, forthcoming in Economics Letters.
  42. Pin-Huang Chou and Mei-Chen Lin ( 2002), "Tests of the international CAPM with and without a risk-less asset," , Applied Financial Economics, 12, 873-883.
  43. P.-H. Chou, Edward Chow and Gang Shyy ( 2002), “Exchange rate risk exposure and capital market integration of the Asian emerging markets,”, Taiwan Academy of Management Journal 2, No. 2, 165-182.
  44. Pin-Huang Chou ( 2000), "Alternative tests of the zero-beta CAPM," , Journal of Financial Research , 23, 469-494.
  45. P.-H. Chou, Y.-L. Hsu and Guofu Zhou ( 2000), "Investment horizon and the cross-section of expected returns: Evidence from the Tokyo Stock Exchange,", Annals of Economics and Finance 1, No. 1, 79-100.
  46. 周賓凰、李志宏、李進生 ( 2000), 當沖相關制度之比較與我國應採行之作法, 證券市場發展季刊 , 11:3, 21-48.
  47. Pin-Huang Chou and Huimin Chung ( 1999), "Formulation versus holding horizon, time series predictability, and the performance of contrarian strategies," , Journal of Financial Studies , 7:2, 1-27.
  48. P.-H. Chou, K.-C. Ko, and S.-J. Lin ( ), Do relative leverage and relative distress really explain size and book-to-market anomalies?, Journal of Financial Markets.

研討會

  1. Pin-Huang Chou (2013), Sources of the Liquidity Premium, .
  2. Pin-Huang Chou, Robin K. Chou and Kuan-Cheng Ko (2012), What Affects the Cool-off Duration under Price Limits?, .
  3. Pin-Huang Chou, Kuan-Cheng Ko and K.C. John Wei (2011), What Drives the Liquidity Premium: Factors or Characteristics?, .
  4. Pin-Huang Chou, Kuan-Cheng Ko, Szu-Tsen Kuo and Shinn-Juh Lin (2010), Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan, .
  5. Pin-Huang Chou, Kuan-Cheng Ko, Szu-Tsen Kuo and Shinn-Juh Lin (2010), Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan, .
  6. Pin-Huang Chou, Robin K. Chou and Kuan-Cheng Ko (2010), Empirical Determinants of Limit-hit Durations: Rational and Behavioral Perspectives, .
  7. Pin-Huang Chou, Kuan-Cheng Ko and Shinn-Juh Lin (2009), Do Relative Leverage and Relative Distress Really Explain Size and Book-to-Market Anomalies?, .
  8. Pin-Huang Chou, Kuan-Cheng Ko and Shinn-Juh Lin (2008), Do Relative Leverage and Relative Distress Really Explain Size and Book-to-Market Anomalies?, .
  9. Pin-Huang Chou, Robin K. Chou and Kuan-Cheng Ko (2007), Empirical Determinants of Limit-hit Durations: Rational and Behavioral Perspectives, .
  10. Pin-Huang Chou, Robin K. Chou and Kuan-Cheng Ko (2007), Empirical Determinants of Limit-hit Durations: Rational and Behavioral Perspectives, .
  11. P.-H. Chou and Mei-Chen Lin (2001), Assessing the size of asset-pricing tests under perfect ex ante efficiency , Proceedings of the 10th Conference on the Theories and Practices of Securities and Financial Markets, Taiwan. (NSC 90-2416-H-008-003).
  12. P. -H. Chou and H. Wang (2000,), Alternative tests for event studies: A bootstrap approach (NSC 88-2416-H-008-009), Proceedings of the 2000 Chinese Finance Association Annual Meeting, Taiwan: Taipei.
  13. “Mutual fund styles, performance evaluation and investment horizons: Evidence from Taiwanese mutual funds,” (with S. Lin and M. Lin) (2000), , Securities Finance .
  14. P.-H. Chou and Wen-Shen Li (2000), Factors, characteristics, and portfolio optimization, Proceedings of the 9th Conference on the Theories and Practices of Securities and Financial Markets, Taiwan.
  15. “Using Bootstrap to test portfolio efficiency,” (with Guofu Zhou) (1998), , Proceedings of the 1998 NTU Conference on Finance,National Taiwan University, Taipei, Taiwan. Best Paper Award.
  16. A microstructure investigation of Barings crisis: Information trading and trading mechanisms, (with J. Lee and Gang Shyy) (1997), , Proceedings of the Eighth Annual Asia-Pacific Futures Research Symposium.
  17. Hedging effectiveness and price transmission of individual share futures, (with Gang Shyy) (1996), , Proceedings of the Seventh Annual Asia-Pacific Futures Research Symposium.
  18. P.-H. Chou and Mei-Chen Lin ( 2002), Effectiveness of price limits when investors are overconfident, Proceedings of the 10th Conference on the Theories and Practices of Securities and Financial Markets, Taiwan.
  19. P.-H. Chou (), Cognitive dissonance and its implications in finance, 貨幣觀測與信用評等.

著作

  1. 周賓凰、徐耀南、王絹淑合譯 2011 綠色經濟學—理論‧政策與實務 智勝出版社
  2. 周賓凰 2010 計量經濟學:理論、觀念與應用 智勝出版社
  3. 鍾惠民、周賓凰、孫而音 2009 財金計量: Eviews的應用 新陸書局
  4. 與劉玉珍、李志宏合著 2005 證券市場(Securities Markets)第三版 證基會
  5. 與鍾惠民、吳壽山、范懷文合著 2004 財金計量(Financial Econometrics Using SAS)修訂版 雙葉書廊

專利

研究計畫


年度 研究計畫名稱 研究計畫經費 補助單位
“亞太地區證券、期貨及債券關聯資料庫基地的建立與使用--亞洲新興市場與全球系統性風險溢酬之研究”(NSC 84-2416-H-008-016-E8) 計劃經費:584,200
“法規相關(多變量)事件研究 - 拔靴複製法”(NSC 87-2416-H008-018) 計劃經費:442,200
“拔靴複製事件研究法”(NSC 88-2416-H-008-009) 計劃經費:530,900
“交易策略績效與成因之研究”(NSC 89-2416-H-0088-008) 計劃經費:597,800
“日內價格反轉與交易策略之研究”(NSC 89-2416-H-008-024) 計劃經費:519,300
“完全事前效率下效率性檢定之績效評估”(NSC 90-2416-H-008-003) 計劃經費:621,900
“貝他與市值關係的進一步探討:理論與實證”(NSC 91-2416-H-008-010) 計劃經費:712,100
“展望理論與風險報酬關係再探”(NSC 92-2416-H-008-023) 計劃經費:835,900
“行為財務學與行為會計學整合型計畫-子計畫七:總體因子、市場情緒、與資產定價”(NSC 92-2416-H-008-033-EF) 計劃經費:263,500
“論產業因子在股票報酬橫斷面與時間序列中的角色(1/2)”(NSC 93-2416-H-008-019) 計劃經費:917,396
“論產業因子在股票報酬橫斷面與時間序列中的角色(2/2)”(NSC 94 -2416-H-008 -003) 計劃經費:1,067,000
“金融控股公司法的市場反應之檢測:多變量事件研究法之應用”(NSC 94-2416-H-008-031) 計劃經費:405,000
“規模與帳面市值比效果深探:計量與理論相關議題”(NSC 95-2416-H-008-015-MY3) 計劃經費:2,265,000
“衍生性金融商品的資訊內涵整合型研究-子計畫三:選擇權微笑型態探討:計量與行為相關議題”(NSC 95-2416-H-008-014-MY3) 計劃經費:2,337,000