Reference: | [1] Black, F., Jensen, M. C., Scholes. (1972). ” The capital asset pricing model: Some empirical tests”, Studies in the Theory of Capital Market, Praeger Publishers. [2] Chan, Louis K. C., Hamao, Y., Lakonishok, J. (1991). “Fundamentals and stock returns in Japan”, Journal of Finance, Vol. 46, No. 5, pp 1739-1764. [3] Chen, S. N. (1982). “An examination of risk-return relationship in bull and bear markets using time-varying betas”, Journal of Financial and Quantitative Analysis, Vol. 17, No. 2, pp 265-286. [4] Fama, E. F.,& MacBeth, J. D. (1973). ” Risk, return, and equilibrium: Empirical tests”, Journal of Political Economy, vol. 81, No. 3, pp 607-636. [5] Fama, E. F.,& French, K. R. (1992). “The cross-section of expected stock returns”, The Journal of Finance, Vol. 47, No. 2, pp 427-465. [6] Fabozzi, F. J., rancis, J. C. (1978). “Beta as random coefficient”, Journal of Financial and Quantitative Analysis, pp 101-115. [7] Kim, K. M., Zumwalt, J. K. (1979). “An analysis of risk in bull and bear markets”, Journal of Financial and Quantitative Analysis, Vol. 14, No. 5,pp 1015-1025. [8] Lakonishok, J.,& Shapiro, A. C. (1984). “Stocks returns, beta, variance and size: an empirical analysis”, Financial Analysis Journal, July/ August, pp 36-41. [9] Levy, P. (1974). “Generalizability studies in clinical settings”, British Journal of Social and Clinical Psychology, Vol. 13, issue 2, pp 161-172. [10] Lintner, J. (1965). “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets: A Reply” ,The Review of Economics and Statistics, Vol. 47, No. 1, pp 13-37. [11] Markowitz,H. (1952). “Portfolio Selection”, Journal of Finance, Vol. 7, No. 1,pp 77-91. [12] Maheu J., McCurdy T. (2000). “Identifying bull and bear markets in stock returns”, Journal of Bussiness & Economic Statistics, Vol. 18, issue 1, pp 100-112. [13] Mossin, J. (1966). “Equilibrium in a capital asset market”, Econometrica, Vol. 34, No. 4,pp 768-783. [14] Nikolaos G., Vassilios P., Dimitrios I. (2010). “Testing the relation between beta and returns in the Athens stock exchange”, Managerial Finance, Vol. 36, No. 12,pp 1043-1056. [15] Pettengill G. N., Sundaram S.,& Mathur I. (1995). “The conditional relation between beta and returns”, Journal of Financial and Quantitative Analysis, Vol. 30, No. 1,pp 101-16. [16] Reinganum, M. R. (1981). “A new empirical perspective on the CAPM”, The Journal of Financial and Quantitative Analysis, Vol. 16, No. 4,pp 439-462. [17] Sharpe W. F. (1964). “Capital asset prices: A theory of market equilibrium under conditions of risk”, Journal of Financial, Vol. 19, No. 3, pp 425-442. [18] Theriou N., Maditinos D.,& Aggelidis V. (2004). “Testing the relationship between beta and returns using CAPM and APT: the case of Athens stock exchange”, Proceedings of the 2nd International Conference on Accounting and Finance in Transition-ICAFT 2004, 9-11 July, Kavala. 中文部分 [19]金傑敏(1996)。公司規模,權益帳面價值對市值比,前期報酬及系統性風險對股票報酬之影響。未出版之碩士論文,淡江大學,財務金融學系,新北市。 [20] 黃柏農、鄭素姻、侯翰、王祝三(2009)。台灣股票市場之動態系統風險研究。經濟研究Taipei Economic Inquiry,45(2),237-272。 [21] 黃郁珊(2019)。金融海嘯前後台灣股市一因子和二因子條件是CAPM之比較。未出版碩士論文,國立政治大學,國際貿易與經營學系,台北市。 [22] 張健邦,卓哲玄(2008)。台灣上市公司股票報酬之集群多因子模型研究。財金論文叢刊,第八期,106-121頁。 [23] 張偉玲(2018)。股票風險與報酬分析-台灣實證。未出版碩士論文,國立暨南國際大學,國際企業學系,南投縣。 [24] 楊明栽(1997)。資本資產訂價理論在台灣股票市場之實證研究。未出版之碩論文,淡江大學,財務金融學系,新北市。 |