參考文獻: | 英文文獻
01.Ang, A., and Geert Bekaret (2007), “Stock Return
Predictability: Is It There?” Review of Financial Studies
20, 651-707.
02.Banz, R. W. (1981), “The Relationship between Return and
Market Value of Common Stocks,” Journal of Financial
Economics 9, 3-18.
03.Campbell, J. (1996), “Understanding Risk and Return,”
Journal of Political Economy 104, 298-345.
04.Campbell, J., and Motohiro Yogo (2006), “Efficiency Tests
of Stock Return Predictability,” Journal of Financial
Economics 81, 27-60.
05.Campbell, J., and Tuomo Vuolteenaho (2004), “Bad Beta, G
Good Beta,” American Economic Review 94, 1249-1275.
06.Chan, L. K. C., Jason Karceski and Josef Lakonishok
(2000), “New Paradigm or Same Old Hype in Equity
Investing,” Financial Analysts Journal 56, 23-36.
07.Chan, L. K. C., and Nai-fu Chen (1991), “Structural and
Return Characteristics of Small and Large Firms,” Journal
of Finance 46, 1467-1484.
08.Cornell, B. (1999), “Risk, Duration, and Capital
Budgeting: New Evidence on Some Old Questions,” Journal
of Business 72, 183-200.
09.Fama, E. F. (1990), “Stock Returns, Expected return, and
Real Activity,” Journal of Finance, 1089-1108.
10.Fama, E. F., and K. R. French (1989), “Business
Conditions and Expected Returns on Stocks and Bonds,”
Journal of Financial Economics 25, 23-49.
11.Fama, E. F., and K. R. French (1992), “The Cross-Section
of Expected Stock Returns,” Journal of Finance 46, 427-
446.
12.Fama, E. F., and K. R. French (1993), “Common Risk
Factors in the Returns on Stocks and Bonds,” Journal of
Financial Economics 33, 3-56.
13.Fama, E. F., and K. R. French (1996), “Multifactor
Explanations of Asset Pricing Anomalies,” Journal of
Finance 51, 55-84.
14.Fama, E. F., and J. MacBeth (1973), “Risk, Return and
Equilibrium: Empirical Tests,” Journal of Political
Economy 81, 607-636.
15.Fant, L. F., and D. R. Peterson (1995), “The Effect of
Size, Book-to-Market Equity, Prior Returns, and Beta on
Stock Returns: January versus the Remainder of the Year,”
Journal of Financial Economics 12, 129-142.
16.Gordon, M. J. (1962), “The Investment, Financing, and
Valuation of the Corporation,” Homewood, IL, Irwin.
17.Hahn, J., and Hangyong Lee (2003), “Yield Spreads as
Alternative Risk Factors for Size and Book-to-Market,”
Working paper, University of Washington.
18.Horowitz, J. J., Tim Loughran and N. E. Savin (2000),
“The Disappearing Size Effect,” Research in Economics 54,
83-100.
19.Horowitz, J. J., Tim Loughran and N. E. Savin (2000),
“Three Analyses of the Firm Size Premium,” Journal of
Empirical Finance 7, 143-53.
20.Jagannathan, R., and Zhenyu Wang (1996), “The Conditional
CAPM and the Cross-Section of Expected Returns,” Journal
of Finance 51, 3-53.
21.Jagannathan, R., and Zhenyu Wang (1998), “Asymptotic
Theory for Estimating Beta Pricing Models Using Cross-
Sectional Regressions,” Journal of Finance 53, 1285-1309.
22.Jonathan H. W. (2006), “The Yield Curve and Predicting
Recessions,” Finance and Economics Discussion Series,
Divisions of Research & Statistics and Monetary Affairs
Federal Reserve Board, Washington, D.C.
23.Keim, D. B. (1983), “Size-Related Anomalies and Stock
Return Seasonality: Further Empirical Evidence,” Journal
of Financial Economics 12, 13-32.
24.Keim, D. B. (1987), “Daily Returns and Size-Related
Premiums: One More Time,” Journal of Portfolio
Management, 41-47.
25.Lettau, M., and Jessica Wachter (2007), “Why Is Long-
Horizon Equity Less Risky? A Duration-Based Explanation
of the Value Premium” Journal of Finance 62, 55-92.
26.Lettau, M., and Stijn Van Nieuwerburgh (2008),
“Reconciling the Return Predictability Evidence,” Review
of Financial Studies 21, 1607-1652.
27.Lettau, M., and Sydney Ludvigson (2001), “Resurrecting
the (C)CAPM: A Cross-Sectional Test When Risk Premia Are
Time-Varing,” Journal of Political Economy 109, 1238-
1287.
28.Liew, J., and Maria Vassalou (2000), “Can Book-to-Market,
Size, and Momentum Be Risk Factors That Predict Economic
Growth?” Journal of Financial Economics 57, 221-245.
29.Linter, J. (1965), “The Valuation of Risk Assets and the
Selection of Risky Investments in Stock Portfolios and
Capital Budgets,” Review of Economics and Statistics 47,
13-37.
30.Loughran, T. (1997), “Book-to-Market across Firm Size,
Exchange, and Seasonality: Is there an Effect?” Journal
of Financial and Quantitative Analysis 32, 249-268.
31.Marc W. S., and Sanjay Ramchander (2008), “An Inquiry
into the Economic Fundamentals of the Fama and French
Equity Factors,” Journal of Empirical Finance 15, 801-
815.
32.Merton, R. C. (1973), “An Intertemporal Capital Asset
Pricing Model,” Econometrica 41, 867-887.
33.Opler, T., and Titman, S. (1994), “Financial Distress and
Corporate Performance,” Journal of Finance 49, 1015-1040.
34.Petkova, R. (2006), “Do the Fama-French Factors Proxy for
Innovations in Predictive Variables?” Journal of Finance
61, 581-612.
35.Petkova, R., and Lu Zhang (2004), “Is Value Riskier than
Growth?” Journal of Financial Economics 78, 187-202.
36.Polk, C. (2002), “The Market as A Hedge,” Working paper,
Northwestern University.
37.Shanken, J. (1992), “On the Estimation of Beta-Pricing
Models,” Review of Financial Studies 5, 1-34.
38.Sharpe, W. F. (1964), “Capital Asset Prices: A Theory of
Market Equilibrium under Conditions of Risks,” Journal of
Finance 19, 425-442.
39.Reinganum, M. R. (1981), “Misspecification of Capital
Asset Pricing: Empirical Anomalies Based on Earnings
Yields and Market Values,” Journal of Finance Economics
9, 19-46.
40.Roll, R. (1981), “A Possible Explanation of the Small
Firm Effect,” Journal of Finance 36, 879-888.
41.Rosenberg, B., Kenneth R., and Ronald Lanstein (1985),
“Persuasive Evidence of Market Inefficiency,” Journal of
Portfolio Management 11, 9-16.
42.Tolga, C. (2011), “Size, Book-to-Market Ratio and
Macroeconomic News,” Journal of Empirical Finance 18,
248-270.
43.Vassalou, M. (2003), “News Related to Future GDP Growth
as a Risk Factor in Equity Returns,” Journal of Financial
Economics 68, 47-73.
中文文獻
01.呂偉傑,「股價、景氣狀態與貨幣政策─台灣證券交易所發行量加權指數實證研
究」,私立朝陽科技大學財務金融研究所論文,民國九十五年六月。
02.林秋炭,「經濟因素、公司規模與股票報酬關係之研究」,私立東海大學企業管
理研究所碩士論文,民國八十年六月。
03.周賓凰、劉怡芬,「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,第45期,1-31,民國八十七年。
04.胡玉雪,「益本比、淨值/市價比及公司規模對股票報酬之影響─相似無關回歸
法之應用」,國立台灣大學商學研究所碩士論文,民國八十三年六月。
05.陳俊屹,「公司規模、淨值市價比對效率投資組合選取的影響評估─平均數-左
尾部分動差模型之應用」,國立交通大學經營管理研究所碩士論文,民國九十年
六月。
06.許維真,「何種益本比資料有助於選股?─台灣股市橫斷面報酬率影響因素之研
究」,國立台灣大學國際貿易研究所碩士論文,民國八十五年六月。
07.彭火樹,「股票報酬決定因素及股票報酬與盈餘間關係之研究」,國立政治大學
會計研究所博士論文,民國八十六年六月。
08.張眾卓、王祝三,「臺灣時間序列與橫斷面股票報酬之研究:不同模型設定、投
資組合建構以及樣本選擇下之再檢測」,經濟研究,49:1,31-38,民國一百
零一年三月。
09.張尊悌,「貝他、公司規模及淨值市價比三因子評價模型之研究:以台灣股市為
例」,國立清華大學經濟研究所碩士論文,民國八十五年六月。
10.彭玉鳳,「公司規模、淨值市價比和股票報酬關係之探討」,國立中央大學企業
管理研究所碩士論文,民國八十七年六月。
11.雷雅淇,「公司規模、股價、益本比、淨值市價比與股票超常報酬關係之實證研
究」,國立中央大學企業管理研所碩士論文,民國八十八年六月。
12.鄭燕茹,「盈餘、股利與股票預期報酬之橫斷面分析」,國立中央大學企業管理
研究所碩士論文,民國九十三年六月。
13.顧廣平,「台灣上市公司股票報酬與重要財務資訊關聯性之探討」,國立交通大
學經營管理研究所博士論文,民國八十八年六月。 |