| Reference: | 參考文獻
一、中文部份
1.高明瑞:「貨幣理論與政策」課堂筆記，民國七十二年。
2.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。
3.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。
4.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。
5.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。
6.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。
二、英文部份
1. 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.
2. Arrow Kenneth J. and Intriligator Michael D. ed. Handbook of Mathematical Economics Volume 1. 1981, North-Holland.
3. Bachelier, L. Theorie de la Speculation, Paris : Gauthier -Villars , 1900 Reprinted in English in(Cootner , 1967 ) , pp.l7-78 .
4 . Ball, Ray "Anomalies in Relationships Between Securities` yields and Yield-surrogates", 1978, JFE 6: pp. 103-26
5. Begg. D.K.H. The Rational Expectations Revolution in Macroeconomics Theory & Evidence, 1982, Ch.8, pp. 205-52.
6. 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
7. Black, F. "Capital Market Equilibrium with Restrieted Borrowing", Journal of Business, 1972 July: pp.44-55 .
8. 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.
9. Bray Margaret, "Rational Expectations, Information and Asset Markets: An Introduction," Oxford Economic Papers, 1985, 37, pp.l61-95.
10. Carlson, J .A. "Short-term interest rates as predictors of inflation: comment ," AER 1977, Vol.67, pp. 469-75.
11. Cootner, Paul(ed), The Random Character of Stock Market Prices, 1967, Cambridge, Mass .: M.I.T. Press.
12. Fama, E.F. "Efficient Capital Markets: A review of theory and Empirical work," JF , 1970, 25:pp.383-423.
13._________ , "Short-Term interest Rates as Predictors of Inflation, " AER 1975 , 65 : pp.269-82 .
14._________ , Foundations of Finance: Portfolio Decision and Securities Prices, 1976 , New York.
15._________ , "Interest rates and inflation: the message of the entrails , " AER 1977, Vol. 67, pp.487-96.
16.__________, and A.B. Laffer, "Information and Capital Market", Journal of Business 44, 1971, July, pp.289-98.
17.__________ and G. "Pilliam Schwert, "Asset Returns and Inflation," JFE , Vo1.5 , (Nov.l977)pp. 115-46 .
18. Flavin, Marjorie A. "Excess Volatility in the Financial Markets : A Reassessment of the Empirical Evidence," JPE 1983, Vol. 91, pp.929-56.
19. Fraser, Donald R., "On the Accuracy and Usefulness of interest Rate Forecasts," Business Economics" 1977, Vol.l2, pp.38-44.
20. Gibbons Michael R. and Ferson Wayne, "Testing Asset pricing Models with changing. Expectations and an unobservable Market Portfolio," JFE 1985, pp.217-36.
21. Gibson, W. E. "Interest rates and Inflationary expectation: new evidence," AER 1972, Vol.62, pp.854-65.
22. Grossman, Sanford, "On the efficiency of competitive Stock Markets Where Traders have Diverse Information," JF 1976 31, pp.537-85.
23.________________, "Further results on the informational Efficiency of competitive Stock Markets," Journal of Economic Theory" 1978, 18 , pp.81-101.
24.________________ and Stiglitz Joseph E. "Information and Competitive price Systems," AER, 1976 May Vol-66 pp. 246-53.
25.__________________________________,, "The Impossibility of Informationally Efficient Markets," AER, 1980, 70:PP-393-408
26. Harris Laurence, Monetary Theory, 1981 McGraw-Hill, Inc. Ch.l7, pp.322-341
27. Hayek, F.A. "The use of knowledge in Society," AER 1945, pp.519-30
28. 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
29. ____________ and Reinganum Hare R. "Efficient Capital Markets," ed. by James L. Bicksler Handbook of Financial Economics 1979, North-Holland
30. Hellwig, M.F. "Rational expectations eouilibrium with conditioning on past prices, A mean variance example," Journal of Economic Theory 1982, 26, pp. 279-312.
31. Hicks, J.R. Value and Capital, 1939, clarendon press, Oxford
32. Holden, K., D. A. Peel and J. L. Thompson , Expectations : Theory and Evidence, 1985 , St. Martin`s Press, Ch.4
33. Jensen, Michael, "Tests of Capital Market Theory and Implications of the Evidence," in Handbook of Financial Economics, North-Holland, 1979
34. 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.
35. Joines, D. "Short-term interest rates as predictors of inflation: Comment," AER , 1977, Vol.67, pp.476-77
36. Kendall, Maurice G. "The Analysis of Economic Time-Series, Part I Prices," Journal of the Royal Statistical Society, 1953, 96, pp. 11-25.
37. LeRoy, Stephen F. and Richard D. Porter, "The Present-Value Relation: Tests Based on Implied Variance Bounds,`` Econometrica, 1981, 49: pp. 555-74
38. Lintner John, "Security Prices, Risk, and Maximal gains from Diversification," JF , 1965a Dec. pp. 587-615
39._______, "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.
40. 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
41. Mandelbrot, B. "Forecasts of Future Prices, unbiased Markets, and Martingale Models," Journal of Business 39, 1966 Jan., pp.242-55
42. Mankiw N. Gregory, and Summers Lawrence H., "Do Long-term Interest Rates overreact to short-term Interest Rates?" BPEA 1984 , 1, pp.223- 42
43. Mayshar, Joram, "On Divergence of opinion and Imperfections in Capital Markets , " AER , 1983 March, Vol.73, pp. 114-28
44. Mishkin, Frederic S, "Efficient-Markets Theory: Implication for Monetary Policy ," BPEA 1978, Vol.3, pp.707-68
45._________________ , "Are Market forecasts Rational? , 198la AER71, pp. 293-306
46._________________, "Monetary policy and Long-term interest rates: An efficient Markets Approach," JME 1981b, 7, pp.29-55
47._________________ , "Monetary policy and Short-term interest rates : An efficient Markets-Rational Expectations Approach," JF 1982, pp.63-72.
48.__________________, A Rational Expectations Approach to Macroeconometrics, Chicago Press, 1983
49. Minford P. and D. Peel, Rational Expections and the New Macroeconomics, 1983, Ch.7, pp. 118-43.
50. Modigliani Franco and Shiller Robert J. "Inflation, Rational Expectations, and the term structure of interest Rates, " Economica 1973 Feb. Vol. 40, pp. 12-43.
51. Mossin, J. "Equilibrium in a Capital Asset Market," Econometrica, 1966, 34, pp. 768-83
52. 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
53. Oakeshort, Michael, Rationalism in Politics, 1962 New York
54. Pearce, D.K. "Comparing survey and rational measures of expected inflation," JMCB , 1979, Vol. 11, pp. 447-56
55. 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
56._______________ "On Forecasting Interest Rates : An Efficient Markets perspective , " JME , 1981 , 8, pp. 305-18
57. 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.
58. Poole william, "Rational expectations in the Macro Model," BPEA 1976, 2, pp. 463-505.
59. Prell Michael J. "How well Do the Experts Forecast interest rates?,`` Federal Reserve Bank of Kansas City, Monthly Review 1973, pp.3-13.
60. Roll, E. "Interest rates on monetary assets and commodity price index changes,", JP 1972, Vol.27, pp.251-77
61. 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.
62. Samuelson, P.A. "Proof that Anticipated Prices Fluctuate Randomly," Industrial Management Rev., 6, 1965 Spring, pp.41-9.
63. Sharpe William F. "Capital Asset Prices : A theory of Market Equilibrium under conditions of Risk," JF 1964 Sep. 19, pp.425-42
64. Sheffrin S.M. Rational Expectations 1983, Ch.4, pp. 112-150
65. Shiller, Robert J. "Rational Expectations and the Structure of Interest Rates," 1972, M.I.T. Ph. D. dissertation
66._______________ "Do stock prices Move Too Much to Be Justified by Subsequent changes in Dividends?," 1981a, AER 71, pp.421-36
67._______________ "The use of volatility Measures in Assessing Market Efficiency," JF 198lb 36: pp. 291-304
68._______________ "Stock prices and Social Dynanimcs," BPEA , 1984, 2, pp.457-98
69._______________ 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
70. 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
71. Theil Henri, Principles of Econometrics, 1971, John Wiley & Sons, Inc
72. Watts, Ross L. "Systemic `Abnormal` Returns After Quarterly Earnings Announcement, " JFE, 1978, 6, pp. 127-50
73. Working, H. "Note on the correlation of First Differences of Average in a Random Chain," 1960, Econometrica 28, pp.916-18
AER : American Economic Review
BPEA : Brookings Papers on Economic Activity
JF : Journal of Finance
JFE : Journal of Financial Economics
JMCB : Journal of Money, Credit, and Banking
JME : Journal of Monetary Economics
JPE : Journal of Political Economy |
