| 參考文獻: | 一、中文部分(依作者姓名筆畫大小排列)：
1. 王介志,2000,“資產組合績效評估分析”,台灣大學經濟所碩士論文。
2. 向淑文,2000, “投資期限與資產定價因子”,中央大學財務管理研究所碩士論文。
3. 李文聖,2000,“因子、特徵與資產配置”,國立中央大學財務管理研究所碩士論文。
4. 林詩芸,2004,“美國股票型基金經理人績效評估-選股能力及擇時能力分析”,交通大學科管所碩士論文。
5. 姜志堅,2004, “基金波動擇時能力之研究”, 南華大學財務管理研究所碩士論文。
6. 陳松男,1977, “現代投資學”,新陸書局。
7. 陳欣怡,2004, “台灣股票型共同基金波動擇時能力之研究”,南華大學財務管理研究所碩士論文。
8. 陳榮昌,2002, “台灣股票報酬之結構分析”,中山大學財務管理研究所在職專班碩士論文。
9. 楊奕農,2005, “時間序列分析-經濟與財務上之應用”,雙葉書廊有限公司,145~173。
10. 謝劍平,2004, “現代投資學-分析與管理”,智勝出版公司出版。
二、英文部分(依作者姓氏字母順序排列)
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31. Fama, E. F., and K.R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance, 51, 55-84.
32. Ferson, W., and R. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51, 425-461.
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34. Ferson, W. E., and V. A. Warther, 1996, “Evaluating Fund Performance in a Dynamic Market,” Financial Analysis Journal, 52, 20-28.
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38. Henriksson, R. D. and R. C. Merton,1981, “On Market Timing and Investment Performance. II. Statistical procedures for evaluating forecasting skills,” Journal of Business, 54, 513-534.
39. Jensen, M. C., “Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance,” in G. P. Szego and Karl Shell, Eds.: Mathematical Methods in Investment and Finance. (North-Holland, Amsterdam).
40. Kon, S., 1983, “The Market-Timing Performance of Mutual Fund Managers,” Journal of Business, 56, 323-347.
41. Kon, S. and F. Jen, 1978, “Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression,” Journal of Finance, 33, 457-475.
42. Lee, Cheng-Few, and S. Rahman, 1990, “Market Timing, Selectivity and Mutual Fund Performance: An Empirical Investigation,” Journal of Business,63, 261-278.
43. Lehmann, Bruce N., and David M. Modest, 1987, “Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons,” The Journal of Finance, 42, 233-265.
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