Son-Nan Chen

Personal Details

First Name:	Son-Nan
Middle Name:
Last Name:	Chen
Suffix:
RePEc Short-ID:	pch1380
	[This author has chosen not to make the email address public]

Affiliation

Shanghai Advanced Institute of Finance (SAIF)
Shanghai Jiao Tong University

Shanghai, China
http://www.saif.sjtu.edu.cn/
RePEc:edi:ifsjtcn (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi, 2014. "Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model," Finance Research Letters, Elsevier, vol. 11(2), pages 161-172.

   Cited by:

   1. Lin, Lisha & Li, Yaqiong & Gao, Rui & Wu, Jianhong, 2021. "The numerical simulation of Quanto option prices using Bayesian statistical methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
   2. Lian, Yu-Min & Chen, Jun-Home, 2022. "Foreign exchange option pricing under regime switching with asymmetrical jumps," Finance Research Letters, Elsevier, vol. 46(PA).
   3. Lian, Yu-Min & Chen, Jun-Home, 2023. "Valuation of chooser options with state-dependent risks," Finance Research Letters, Elsevier, vol. 52(C).
   4. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2016. "Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy," Finance Research Letters, Elsevier, vol. 16(C), pages 208-219.
   5. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "European quanto option pricing in presence of liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 230-244.
   6. Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2022. "Foreign equity lookback options with guarantees," Finance Research Letters, Elsevier, vol. 48(C).

2. Wei-Hsiung Wu & Hui-Hwang Tsai & Shyan-Yuan Lee & Son-Nan Chen, 2008. "Extend the debt as it is not deeply out-of-the-money," Economics Bulletin, AccessEcon, vol. 7(16), pages 1-6.

   Cited by:

   1. Franck Moraux & Patrick Navatte, 2015. "How do reservation prices impact distressed debt rescheduling?," Post-Print halshs-01116887, HAL.
      • Moraux, Franck & Navatte, Patrick, 2015. "How do reservation prices impact distressed debt rescheduling?," Economic Modelling, Elsevier, vol. 46(C), pages 269-282.
   2. Wu, Wei-Hwa, 2021. "Extendible stock loan," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).

3. Chen, Son-Nan & Jeon, Kisuk, 1998. "Mean reversion behavior of the returns on currency assets," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 185-200.

   Cited by:

   1. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
   2. Yuval Arbel & Danny Ben-Shahar & Eyal Sulganik, 2009. "Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 316-335, October.
   3. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
   4. Chen, Son-Nan & Hsu, Pao-Peng, 2018. "Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 330-346.

4. Byun, Jong-Cook & Chen, Son-Nan, 1996. "International real interest rate parity with error correction models," Global Finance Journal, Elsevier, vol. 7(2), pages 129-151.

   Cited by:

   1. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A., 2005. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 2007.
      • Ahmad Zubaidi Baharumshah & Chan Tze Haw & A.Mansur M. Masih & Evan Lau, 2011. "Financial integration of East Asian economies: evidence from real interest parity," Applied Economics, Taylor & Francis Journals, vol. 43(16), pages 1979-1990.
   2. Nazlioglu, Saban & Kucukkaplan, Ilhan & Kilic, Emre & Altuntas, Mehmet, 2022. "Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence," Research in International Business and Finance, Elsevier, vol. 62(C).

5. Chen, Son-Nan & Jang, Hoyoon, 1994. "On selectivity and market timing ability of U.S.-based international mutual funds: Using refined Jensen's measure," Global Finance Journal, Elsevier, vol. 5(1), pages 1-15.

   Cited by:

   1. Brahmadev Panda & Rudra Prasanna Mahapatra & Samson Moharana, 2015. "Myth of Equity Mutual Fund Performance," Vision, , vol. 19(3), pages 200-209, September.
   2. Galatis Nikolaos & Nitsi Ekaterini & Theloura Chrysoula, 2020. "Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 11(1), pages 107-123, April.

6. Chen, Son-Nan, 1991. "Optimal Asset Abandonment and Replacement: Tax and Inflation Considerations," The Financial Review, Eastern Finance Association, vol. 26(2), pages 157-177, May.

   Cited by:

   1. B. Anthony Billings & Sergei N. Glazunov, 2004. "The Effect of Taxes on the Retirement of Machinery and Equipment," Public Finance Review, , vol. 32(3), pages 235-268, May.

7. Chang, S J & Chen, Son-Nan, 1989. "A Study of Call Price Behavior under a Stationary Return Generating Process," The Financial Review, Eastern Finance Association, vol. 24(3), pages 335-354, August.

   Cited by:

   1. Sriplung, Kai-one, 1993. "Mispricing in the Black-Scholes model: an exploratory analysis," ISU General Staff Papers 1993010108000011187, Iowa State University, Department of Economics.

8. Son-Nan Chen & Cheng F. Lee, 1986. "The Effects of the Sample Size, the Investment Horizon and Market Conditions on the Validity of Composite Performance Measures: A Generalization," Management Science, INFORMS, vol. 32(11), pages 1410-1421, November.

   Cited by:

   1. Chiou, Wan-Jiun Paul & Lee, Alice C. & Lee, Cheng-Few, 2010. "Stock return, risk, and legal environment around the world," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 95-105, January.
   2. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
   3. Mahmoud Haddad & Ghassem Homaifar & Said Elfakhani & Hikmat Ahmedov, 2008. "Intertemporal Test of Beta Stationarity Performance of Islamic Sector Structured Mutual Funds," Working Papers 427, Economic Research Forum, revised 09 Jan 2008.

9. Chen, Son-Nan & Moore, William T, 1985. "Uncertain Inflation and Optimal Portfolio Selection: A Simplified Approach," The Financial Review, Eastern Finance Association, vol. 20(4), pages 343-356, November.

   Cited by:

   1. Alain Bensoussan & Jussi Keppo & Suresh P. Sethi, 2009. "Optimal Consumption And Portfolio Decisions With Partially Observed Real Prices," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 215-236, April.
   2. Richard C. Burgess & Roger P. Bey, 1988. "Optimal Portfolios: Markowitz Full Covariance Versus Simple Selection Rules," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(2), pages 153-163, June.

10. Chen, Son Nan, 1984. "Capital budgeting and uncertain inflation," Journal of Economics and Business, Elsevier, vol. 36(3), pages 335-344, August.

    Cited by:

    1. Vantreese, Valerie L. & Reed, Michael R. & Skees, Jerry R., 1986. "The Mystery Of Inflation And Real Farmland Values," Staff Papers 140086, University of Kentucky, Department of Agricultural Economics.
    2. Frank Richter, 2011. "Barwert von Cashflows und Residualgewinnen bei unsicheren Inflationserwartungen," Schmalenbach Journal of Business Research, Springer, vol. 63(5), pages 430-457, August.

11. Robert A. Pari & Son-Nan Chen, 1984. "An Empirical Test Of The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 121-130, June.

    Cited by:

    1. Colin Lizieri & Stephen Satchell & Qi Zhang, 2007. "The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 569-598, December.
       • Colin Lizieri & Stephen Satchell & Qi Zhang, 2006. "The Underlying Return Generating Factors for REIT Returns: An Application of Independent Component Analysis," Real Estate & Planning Working Papers rep-wp2006-12, Henley Business School, University of Reading.
    2. G. Kling & U. Weitzel, 2009. "Endogenous mergers: Bidder momentum and market reaction," Working Papers 09-22, Utrecht School of Economics.
    3. Maryam Abid & Danish Ahmed Siddique, 2020. "Impact of Financial Market Uncertainty on Market Returns: A Global Analysis," Business and Economic Research, Macrothink Institute, vol. 10(3), pages 216-244, September.
    4. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, University Library of Munich, Germany.
    5. Saqib Muneer & Babar Zaheer Butt & Kashif Ur Rehman, 2011. "A Multifactor Model of Banking Industry Stock Returns: An Emerging Market Perspective," Information Management and Business Review, AMH International, vol. 2(6), pages 267-275.
    6. Alvaro Aguirre & César Calderón, 2005. "Real Exchange Rate Misalignments and Economic Performance," Working Papers Central Bank of Chile 316, Central Bank of Chile.
    7. Michael C. Ehrhardt, 1987. "Arbitrage Pricing Models: The Sufficient Number Of Factors And Equilibrium Conditions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 111-120, June.
    8. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group.
    9. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    10. N. Groenewold, 2000. "Fundamental Share Prices and Aggregate Real Output," Economics Discussion / Working Papers 00-05, The University of Western Australia, Department of Economics.
    11. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.
    12. Severine Cauchie & Martin Hoesli, 2004. "The integration of securitized real estate and financial assets," ERES eres2004_574, European Real Estate Society (ERES).
        • Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
    13. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    14. Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
    15. Gao, Lei & Kling, Gerhard, 2006. "Regulatory changes and market liquidity in Chinese stock markets," Emerging Markets Review, Elsevier, vol. 7(2), pages 162-175, June.

12. Chen, Son-Nan & Brown, Stephen J, 1983. "Estimation Risk and Simple Rules for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 38(4), pages 1087-1093, September.

    Cited by:

    1. Lence, Sergio H & Hayes, Dermot J., 1994. "The Empirical Minimum-Variance Hedge," ISU General Staff Papers 199401010800001138, Iowa State University, Department of Economics.
       • Sergio H. Lence & Dermot J. Hayes, 1994. "The Empirical Minimum-Variance Hedge," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(1), pages 94-104.
       • Sergio H. Lence & Dermot J. Hayes, 1993. "Empirical Minimum Variance Hedge, The," Center for Agricultural and Rural Development (CARD) Publications 93-wp109, Center for Agricultural and Rural Development (CARD) at Iowa State University.
       • Lence, Sergio H. & Hayes, Dermot J., 1994. "Empirical Minimum-Variance Hedge (The)," Staff General Research Papers Archive 11565, Iowa State University, Department of Economics.
    2. Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000. "Incorporating Estimation Risk in Portfolio Choice," Discussion Paper 2000-65, Tilburg University, Center for Economic Research.
    3. F. Douglas Foster & Charles H. Whiteman, 2002. "Bayesian Cross Hedging: An Example From the Soybean Market," Australian Journal of Management, Australian School of Business, vol. 27(2), pages 95-122, December.
    4. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
    5. Lence, Sergio H. & Hayes, Dermot J., 1995. "Land Allocation in the Presence of Estimation Risk," ISU General Staff Papers 199507010700001008, Iowa State University, Department of Economics.
       • Lence, Sergio H. & Hayes, Dermot J., 1995. "Land Allocation in the Presence of Estimation Risk," Staff General Research Papers Archive 995, Iowa State University, Department of Economics.
       • Lence, Sergio H. & Hayes, Dermot J., 1995. "Land Allocation In The Presence Of Estimation Risk," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 20(1), pages 1-15, July.
    6. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
    7. Richard C. Burgess & Roger P. Bey, 1988. "Optimal Portfolios: Markowitz Full Covariance Versus Simple Selection Rules," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(2), pages 153-163, June.
    8. Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000. "Incorporating Estimation Risk in Portfolio Choice," Other publications TiSEM 30107fbe-2dc9-43d5-a086-e, Tilburg University, School of Economics and Management.
    9. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    10. Sebehela, Tumellano, 2015. "Rationally financing an acquisition," Journal of Economics and Business, Elsevier, vol. 81(C), pages 1-20.
    11. Elton, Edwin J. & Gruber, Martin J., 1997. "Modern portfolio theory, 1950 to date," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1743-1759, December.
    12. Mitra, Sovan & Karathanasopoulos, Andreas & Sermpinis, Georgios & Dunis, Christian & Hood, John, 2015. "Operational risk: Emerging markets, sectors and measurement," European Journal of Operational Research, Elsevier, vol. 241(1), pages 122-132.

13. Chen, Son-Nan & Moore, William T., 1982. "Investment Decisions under Uncertainty: Application of Estimation Risk in the Hillier Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 425-440, September.

    Cited by:

    1. Rajaratnam, Myuran & Rajaratnam, Bala & Rajaratnam, Kanshukan, 2014. "A novel equity valuation and capital allocation model for use by long-term value-investors," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 483-494.
    2. Jean-Paul Paquin & Alain Charbonneau & David Tessier, 2015. "The derivation of the NPV variance of a risky capital investment project with first-order autoregressive cash flows and autoregressive conditional heteroscedastic variances," Applied Economics, Taylor & Francis Journals, vol. 47(12), pages 1170-1186, March.

14. Chen, Son-Nan, 1982. "An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(2), pages 265-286, June.

    Cited by:

    1. Yu-Lieh Huang, 2009. "Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1477-1481.
    2. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, University Library of Munich, Germany.
    3. Szczepocki Piotr, 2019. "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 63-79, June.
    4. Don U.A. Galagedera & Roland Shami, 2003. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers 20/03, Monash University, Department of Econometrics and Business Statistics.
       • Don U.A. Galagedera & Roland Shami, 2004. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Finance 0406011, University Library of Munich, Germany.
    5. Cogneau, Philippe & Hübner, Georges, 2015. "The prediction of fund failure through performance diagnostics," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 224-241.
    6. Moon K. Kim & Badr E. Ismail, 1998. "An accounting analysis of the risk‐return relationship in bull and bear markets," Review of Financial Economics, John Wiley & Sons, vol. 7(2), pages 173-182.
    7. Kumar, Gaurav & Misra, Arun Kumar, 2018. "Commonality in liquidity: Evidence from India’s National Stock Exchange," Journal of Asian Economics, Elsevier, vol. 59(C), pages 1-15.
    8. Eduardo Roca & Victor Wong & Gurudeo Tularam, 2010. "The Market Sensitivity of Australian Superannuation Socially Responsible Investment Funds. Evidence from a Markov Regime Switching Approach," Discussion Papers in Finance finance:201012, Griffith University, Department of Accounting, Finance and Economics.
    9. Dębski Wiesław & Feder-Sempach Ewa & Świderski Bartosz, 2014. "Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 270-286, December.
    10. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Intertemporal risk–return relationships in bull and bear markets," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 308-325.
    11. Shyh-Wei Chen & Chung-Hua Shen, 2007. "Evidence of the duration-dependence from the stock markets in the Pacific Rim economies," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1461-1474.
    12. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
    13. Korkmaz, Turhan & Cevik, Emrah Ismail & Birkan, Elif & Özataç, Nesrin, 2010. "Testing CAPM using Markov switching model: the case of coal firms," MPRA Paper 71479, University Library of Munich, Germany, revised 2010.
        • Turhan Korkmaz & Emrah I. Çevik & Elif Birkan & Nesrin ÖzataÇ, 2010. "Testing Capm using Markov Switching Model: The Case of Coal Firms," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 23(2), pages 44-59, January.
    14. Timmermann, Allan & Lunde, Asger, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers.
        • Asger Lunde & Allan Timmermann, 2000. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Econometric Society World Congress 2000 Contributed Papers 1216, Econometric Society.
        • Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
    15. Peter Xu & Rich Pettit, 2014. "No-arbitrage conditions and expected returns when assets have different β’s in up and down markets," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 62-71, February.
    16. Bejaoui, Azza & Karaa, Adel, 2016. "Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models," Economic Modelling, Elsevier, vol. 59(C), pages 529-545.
    17. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
    18. Wasim, Ahmad & Bandi, Kamaiah, 2011. "Identifying regime shifts in Indian stock market: A Markov switching approach," MPRA Paper 37174, University Library of Munich, Germany, revised 08 Mar 2012.
    19. Bekiros, Stelios D., 2013. "Irrational fads, short-term memory emulation, and asset predictability," Review of Financial Economics, Elsevier, vol. 22(4), pages 213-219.
        • Stelios D. Bekiros, 2013. "Irrational fads, short‐term memory emulation, and asset predictability," Review of Financial Economics, John Wiley & Sons, vol. 22(4), pages 213-219, November.
    20. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
    21. Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.
    22. S. D. Bekiros & D. A. Georgoutsos, 2008. "Direction-of-change forecasting using a volatility-based recurrent neural network," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 407-417.
        • Bekiros, S. & Georgoutsos, D., 2006. "Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network," CeNDEF Working Papers 06-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    23. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
    24. Srikanta Kundu & Nityananda Sarkar, 2016. "Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 53-71, September.
    25. Safari, Meysam & TahmooresPour, Reza, 2011. "Moderation Effect of Market Condition on the Relationship between Dividend Yield and Stock Return," MPRA Paper 28913, University Library of Munich, Germany.
    26. Tsai, Li-Ju & Shu, Pei-Gi & Chiang, Sue-Jane, 2019. "Foreign investors’ trading behavior and market conditions: Evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 52.
    27. Octave JOKUNG & Jean-Christophe MEYFREDI, 2004. "Improving the Market Model: The 4-State Model Alternative," Finance 0403006, University Library of Munich, Germany.
    28. Dębski Wiesław & Feder-Sempach Ewa & Świderski Bartosz, 2016. "Beta Stability Over Bull and Bear Market on the Warsaw Stock Exchange," Folia Oeconomica Stetinensia, Sciendo, vol. 16(1), pages 75-92, December.
    29. Kim, Moon K. & Ismail, Badr E., 1998. "An accounting analysis of the risk-return relationship in bull and bear markets," Review of Financial Economics, Elsevier, vol. 7(2), pages 173-182.
    30. Woodward, George & Marisetty, Vijaya B., 2005. "Introducing non-linear dynamics to the two-regime market model: Evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 559-581, September.
    31. Terence Tai-Leung Chong & Zimu Li & Haiqiang Chen & Melvin Hinich, 2010. "An investigation of duration dependence in the American stock market cycle," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(8), pages 1407-1416.
    32. Prabhdeep Kaur & Jaspal Singh & Sidharath Seth, 2021. "Investigating the Dynamics of Exchange Traded Funds Across the Bear and Bull Markets: Evidence from Indian Equity ETFs," Vision, , vol. 25(3), pages 350-360, September.
    33. Safari, Meysam, 2009. "Dividend Yield and Stock Return in Different Economic Environment: Evidence from Malaysia," MPRA Paper 23841, University Library of Munich, Germany.

15. Chen, Son-Nan & Lee, Cheng F., 1982. "Bayesian and mixed estimators of time varying betas," Journal of Economics and Business, Elsevier, vol. 34(4), pages 291-301.

    Cited by:

    1. Szczepocki Piotr, 2019. "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 63-79, June.
    2. Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009. "Predicting Betas: Two new methods," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    3. N. Groenewold & P. Fraser, 1999. "Forecasting Beta: How well does the 'five year rule of thumb' do?," Economics Discussion / Working Papers 99-01, The University of Western Australia, Department of Economics.
    4. Burnett, John E. & Carroll, Carolyn & Thistle, Paul, 1995. "Implications of multiple structural changes in event studies," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(4), pages 467-480.
    5. Bill McDonald & William D. Nichols, 1984. "Nonstationarity Of Beta And Tests Of Market Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(4), pages 315-322, December.

16. Chen, Son-Nan, 1981. "Beta Nonstationarity, Portfolio Residual Risk and Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(1), pages 95-111, March.

    Cited by:

    1. Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 117-130.
    2. Huang, Ho-Chuan (River), 2003. "Tests of regime-switching CAPM under price limits," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 305-326.
    3. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 36981, University Library of Munich, Germany.
    4. Amjad Taha & Gulcay Tuna, 2023. "Oil Price and Composite Risk Exposure within International Capital Asset Pricing Model: A Case of Saudi Arabia and Turkey," Energies, MDPI, vol. 16(7), pages 1-18, March.
    5. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
    6. Thomas T. Cheng, 1986. "Standard setting and security returns: A time series analysis of FAS No. 8 events," Contemporary Accounting Research, John Wiley & Sons, vol. 3(1), pages 226-241, September.
    7. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    8. Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan, 2010. "Testing the international capital asset pricing model with Markov switching model in emerging markets," MPRA Paper 71481, University Library of Munich, Germany, revised 2010.
    9. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 39874, University Library of Munich, Germany.
    10. Michael Basch & Gonzalo García-Huidobro, 1997. "Costo de Capital en Segmentos Industriales: Una Estimación Robusta," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 139-160.
    11. Romain Bocher, 2022. "The Intersubjective Markets Hypothesis," Journal of Interdisciplinary Economics, , vol. 34(1), pages 35-50, January.
    12. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, University Library of Munich, Germany.

17. Son-Nan Chen & Cheng F. Lee, 1981. "The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions," Management Science, INFORMS, vol. 27(6), pages 607-618, June.

    Cited by:

    1. Chiou, Wan-Jiun Paul & Lee, Alice C. & Lee, Cheng-Few, 2010. "Stock return, risk, and legal environment around the world," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 95-105, January.
    2. Lin, Chang-Chun & Liu, Yi-Ting, 2008. "Genetic algorithms for portfolio selection problems with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 185(1), pages 393-404, February.

18. Chen, Son-Nan & Keown, Arthur J, 1981. "An Examination of the Relationship between Pure Residual and Market Risk: A Note," Journal of Finance, American Finance Association, vol. 36(5), pages 1203-1209, December.

    Cited by:

    1. Chien‐Yun Chang & Jian‐Hsin Chou & Hung‐Gay Fung, 2012. "Time dependent behavior of the Asian and the US REITs around the subprime crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(3), pages 282-303, April.
    2. Haensly, Paul J., 2020. "Risk decomposition, estimation error, and naïve diversification," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).

19. Chen, Son-Nan & Keown, Arthur J, 1981. "Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note," Journal of Finance, American Finance Association, vol. 36(4), pages 941-947, September.

    Cited by:

    1. Chien‐Yun Chang & Jian‐Hsin Chou & Hung‐Gay Fung, 2012. "Time dependent behavior of the Asian and the US REITs around the subprime crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(3), pages 282-303, April.
    2. Brockett, Patrick L. & Chen, Hwei-Mei & Garven, James R., 1999. "A new stochastically flexible event methodology with application to Proposition 103," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 197-217, November.
    3. Lin, Carl, 2012. "Less Myth, More Measurement: Decomposing Excess Returns from the 1989 Minimum Wage Hike," IZA Discussion Papers 6269, Institute of Labor Economics (IZA).
    4. Haensly, Paul J., 2020. "Risk decomposition, estimation error, and naïve diversification," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    5. Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February.
    6. Kanungo, Rama Prasad, 2021. "Uncertainty of M&As under asymmetric estimation," Journal of Business Research, Elsevier, vol. 122(C), pages 774-793.
    7. Brooks, Robert D. & Faff, Robert W. & Ariff, Mohamed, 1998. "An investigation into the extent of beta instability in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 87-101, May.
    8. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
    9. Georgina Benou & Nivine Richie, 2003. "The reversal of large stock price declines: The case of large firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 19-38, March.
    10. Srikanth Parthasarathy & Kannadas Sendilvelu, 2022. "On Stock Return Patterns Following Large Monthly Price Movements: Empirical Evidence from India," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 249-268.
    11. Krouse, Clement G. & Park, Jongsur, 2003. "Local exchange competition and the Telecommunications Act of 1996," Information Economics and Policy, Elsevier, vol. 15(2), pages 223-241, June.
    12. Mahmoud Haddad & Ghassem Homaifar & Said Elfakhani & Hikmat Ahmedov, 2008. "Intertemporal Test of Beta Stationarity Performance of Islamic Sector Structured Mutual Funds," Working Papers 427, Economic Research Forum, revised 09 Jan 2008.

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