師資陣容-周賓凰 教授兼退休榮譽教授 Pin-Huang Chou

周賓凰 教授兼退休榮譽教授 Pin-Huang Chou

學歷
美國華盛頓大學經濟學系博士
研究專長
計量經濟、投資學、行為財務學
辦公室
管二館828
教學專長
財務計量、綠色經濟學、數量方法
分機
66270
聯絡信箱
choup@cc.ncu.edu.tw
個人簡歷

https://www.mgt.ncu.edu.tw/~choup/

期刊論文
  1.  T.-Y. Chen, P.-H. Chou, N.-T. Yang, 2019, Momentum and reversals: are they really separate phenomena? forthcoming in Finance Research Letters. (SSCI)
  2.  T.-Y. Chen, P.-H. Chou, N.-T. Yang, 2019, Momentum and reversals: are they really separate phenomena? forthcoming in Finance Research Letters. (SSCI)
  3.  T.-Y. Chen, P.-H. Chou,  2018, Median momentum, forthcoming in European Financial Management.
  4.  H.-Y. Chen, P.-H. Chou, C.-H. Hsieh, 2018, Persistency of momentum effect, European Financial Management 24, 856-892.
  5.  P.-H. Chou, T.-Y. Lu, P.-H. Ting, 2018, Margin trading, differences of opinion, and stock returns, Academia Economic Papers 46:3,323–366 (in Chinese)
  6.  P.-H. Chou, G.-Y. Huang, M.-J. Liu, 2016, Culture and market efficiency, Review of Securities and Futures Markets 28:3, 1-48. (in Chinese)
  7.  P.-H. Chou, C.-H. Hsieh, Carl H. Shen, 2016, What explains the orange juice puzzle: Fundamentals, sentiment, or smart money?, Journal of Financial Markets 29, 47-65. (SSCI)
  8.  P.-H. Chou, T.-S. Huang, H.-J. Yang, 2013, Arbitrage risk and the turnover anomaly, Journal of Banking and Finance 37, 4172-4182. (SSCI)
  9. P.-H. Chou, Robin K. Chou, K.-C. Ko and C.-Y. Chao, 2013, What affects the cool-off period under price limits?, Pacific-Basin Finance Journal 24, 256-278. (SSCI)
  10.  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 36, 355-370. (SSCI)
  11. T.-H. Liao, C.-C. Chang, and P.-H. Chou, 2012, Fitting and testing for the implied volatility curve using parametric models, Journal of Futures Markets 32, 1171-1191. (SSCI)
    Letters. (SSCI)
  12. 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 12, 369-382. (SSCI)
  13. M.-C. Lin and P.-H. Chou, 2011, Prospect theory and the effectiveness of price limits, Pacific-Basin Finance Journal 19, 330-349. (SSCI).
  14.  P.-H. Chou, K.-C. Ko, and S.-J. Lin, 2010, Do relative leverage and relative distress really explain asset-pricing anomalies?, Journal of Financial Markets 13, 77-100. (SSCI) Data for FS factors
  15.  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 30, 405-420. (SSCI)
  16. 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 17:4, 31-55. (TSSCI)
  17. H.-H. Chih, Y.-E. Lin, P.-H. Chou, 2009, Disposition effect, escalated commitment, and fund performance, Management Review 28:4, 1-18. (TSSCI; 2009 Best Paper Award)
  18.   P.-H. Chou, H.-H. Chih, Y.-E. Lin, W.-J. Chen, 2009, Does CEO coverage affect firm performance?, Chiao Da Management Review 29:1, 139-173. (TSSCI)
  19.  P.-H. Chou, R. K. Chou, and K.-C. Ko, 2008, Prospect theory and risk-return paradox: Some recent evidence, Review of Quantitative Finance and Accounting 33, 193-208.
  20. Wang, J.-S., J.-T. Chen, and Pin-Huang Chou, 2008, Market reactions to the passage of financial holding company act in Taiwan, Pacific Economic Review 13, 453-472. (SSCI)
  21.  Chou, P.-H. and K.-C. Ko, 2007, Characteristics, Covariances, and Structural Breaks, Economics Letters 100, 31-34. (SSCI)
  22.  P.-H. Chou, Y.-C. Chang, and M.-C. Lin, 2007, Investor sentiment and stock returns in Taiwan,  Review of Securities and Futures Markets 19, No. 2, 153-190. (in Chinese). (TSSCI)
  23.  H.-H. Chih, Y.-E. Lin, and P.-H. Chou, 2007, Performance persistence and the smart money effect: Evidence from Taiwan, Journal of Management 24, 307-330. (in Chinese). (TSSCI)
  24.  P.-H. Chou, Huimin Chung, and K. C. Wei, 2007, Sources of contrarian profits in Japanese markets, Journal of Empirical Finance 14, 261-286（lead article）.
  25.  P.-H. Chou, Wen-Shen Li, S. Ghon Rhee and Jane-Sue Wang, 2007, Do macroeconomic factors subsume asset-pricing anomalies in long investment horizons?, Managerial Finance 33, 534-552.
  26.   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. (SSCI)
  27.   P.-H. Chou and G. Zhou, 2006, Bootstrap tests of Portfolio efficiency, Annals of Economics and Finance 2, 217-249. (lead article)
  28.   P.-H. Chou, Wen-Shen Li and Guofu Zhou, 2006, Portfolio optimization under asset-pricing anomalies, Japan and the World Economy 18, 121-142.  (SSCI, lead article)
  29.   P.-H. Chou, W.-S. Li, J.-B. Lin, and J.-S. Wang, 2005, Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading, International Review of Financial Analysis 15, 363-376.
  30.   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. (SSCI)
  31.  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.
  32.  P.-H. Chou, 2004, "Bootstrap tests for multivariate event studies," Review of Quantitative Finance and Accounting 23, 275-290.
  33.  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.
  34.  M.-C. Lin and P.-H. Chou, 2003, The Pitfall of Using Sharpe Ratio, Finance Letters 1, Issue 3, 84-89.
  35.  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. (SSCI)
  36.  S.-Y. Chen, C.-C. Lin, Pin-Huang Chou and D.-Y. 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 5, 277-300.
  37.  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.
  38. P.-H. Chou and Mei-Chen Lin, 2002, "Tests of the international CAPM with and without a risk-less asset," Applied Financial Economics 12, 873-883.
  39. P.-H. Chou , H. Chih, R. Chou, and Y. Gong, 2002, "Behavioral Finance: A Literature Review,"  Review of Securities and Futures Markets 14:2, 1-48. (in Chinese).
  40.  P.-H. Chou and Yi-Feng Liu, 2000, "On the cross sections of stock returns: Characteristics, single-factor or multi-factors? "  Review of Securities and Futures Markets 12:1, 1-32. (in Chinese).
  41. P.-H. Chou, J.-H. Lee and C.-S. Lee, 2000, "An investigation of day-trade related regulations in Taiwan's futures market," Review of Securities and Futures Markets 11:3, 21-48, (in Chinese).
  42. 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.
  43.  P.-H. Chou, 2000, "Alternative tests of the zero-beta CAPM," Journal of Financial Research 23, 469-494.
  44.  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. (SSCI)
  45.  P.-H. Chou, 1999, "Modeling daily price limits," International Review of Financial Analysis 8:3, 283-301.
  46.  P.-H. 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.
  47. P.-H. Chou, Y. Liu, and H. Lin, 1998, "Evaluating the performance and mean-variance efficiency of five Taiwanese stock indexes," Review of Securities and Futures Markets 10:4, 1-26. (in Chinese), 1998.
  48.  P.-H. Chou and Shoushan Wu, 1998, "A further investigation of daily price limits,"  Journal of Financial Studies 6, No. 2, 19-48, (in Chinese).
  49.  P.-H. Chou and Kung-Fang Tsai, 1997, "Event study methodologies in Taiwan,"  Review of Securities and Futures Markets, Vol. 9, No. 2, 1-27. (in Chinese). Best Annual Paper Award.
  50.  P.-H. Chou, 1997, "A test of relative efficiency between two sets of securities," Applied Financial Economics, Vol. 7, 193-196
  51.  P.-H. 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.
  52.  P.-H. Chou and Chung-Hua Shen, 1997, "Weekday effect, autocorrelation and price limits in Taiwan: An application of Gibbs sampler," Academia Economic Papers, Vol. 25, No. 1, 21-44. (in Chinese).
  53. P.-H. Chou and Cathy Chiu, 1996, "Evaluating the performance of the U.S.-based Asia-Pacific region mutual funds," Review of Securities and Futures Markets, Vol. 8, No. 3, 117-145. (in Chinese).
  54.  P.-H. Chou and Soushan Wu, 1996, "A risk-and-return analysis of price limits on Taiwan's stock market," Review of Securities and Futures Markets, Vol. 8, No. 1, 1-31. (in Chinese).
研討會論文

1.    P.-H. Chou, Cognitive dissonance and its implications in finance, 貨幣觀測與信用評等，第38期，15-22.
2.    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.
3.    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.
4.    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.
5.    P. -H. Chou and H. Wang, 2000, Alternative tests for event studies: A bootstrap approach, Proceedings of the 2000 Chinese Finance Association Annual Meeting, Taiwan: Taipei.
6.    "Mutual fund styles, performance evaluation and investment horizons: Evidence from Taiwanese mutual funds," (with S. Lin and M. Lin), 2000, Securities Finance 65, 55-82.
7.    "Using Bootstrap to test portfolio efficiency," (with Guofu Zhou), 1998 Proceedings of the 1998 NTU Conference on Finance, Vol. 2, 117-145. National Taiwan University, Taipei, Taiwan. Best Paper Award.
8.    A microstructure investigation of Barings crisis: Information trading and trading mechanisms. (with J. Lee and Gang Shyy), Proceedings of the Eighth Annual Asia-Pacific Futures Research Symposium, 39-72, 1997.
9.    Hedging effectiveness and price transmission of individual share futures, (with Gang Shyy), Proceedings of the Seventh Annual Asia-Pacific Futures Research Symposium, 83-92, 1996.

 
專書及其他
  1. Translation: Green Economics: Theory, Policy and Practice (author: Molly Scott Cato), Best-Wise Publishing Co., 2011
  2. Econometrics: Theory, Concept and Applications, Best-Wise Publishing Co., 2010.
  3. Financial Econometrics with Applications in Eviews, with Huimin Chung and Er-Yin Sun, 2009.
  4. Financial Econometrics with SAS, with Huimin Chung, Soushan Wu and Hwei-Wen Fan, 2002.
  5. Securities Markets, with Yue-Jane Liu and Jie-Haun Lee, 2001.
 
研究計畫
  1. “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。
  2. “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。
  3. “拔靴複製事件研究法”（NSC 88-2416-H-008-009），計劃經費：530,900。
  4. “交易策略績效與成因之研究”（NSC 89-2416-H-0088-008），計劃經費：597,800。
  5. “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。
  6. “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。
  7. “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。
  8. “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。
  9. “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。
  10. “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。
  11. “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。
  12. “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。
  13. “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。
  14. “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。