Reference: | (一)中文文獻 王崇育,2013。「總體商業訊息與台灣股票報酬之關係: 以Fama-MacBeth兩階段方法實證」,國立政治大學經濟學系碩士論文。
古今安,2012。「投資人情緒與個別股票風險對股票報酬的橫斷面影響」,國立東華大學會計與財務碩士學位學程論文。
李智揚,2015。「違約利差和期間利差作為風險因子的適用性—由橫斷面資料研究」,國立政治大學國際經營與貿易研究所碩士論文。
沈俞瑄,2011。「台灣股票市場中個別公司報酬率風險和報酬的關係」,國立中央大學經濟學系碩士論文。
林昭芃,2007。「股市之價值溢酬及多因子模型之探討—以台灣股票市場為例」,國立中央大學產業經濟研究所碩士論文。
林欣蓉,2018。「Comoment Risks and Cross-section of Stock Returns: Evidence From Taiwan After 2008 Financial Crisis」,國立中正大學財務金融研究所。
周賓凰、劉怡芬,2000。「台灣股市橫斷面報酬解釋因子:特徵、單因子或多因子?」,Review of Securities &Futures Markets,12:1,1-32。
胡星陽,1998。「流動性對臺灣股票報酬率的影響」,Journal of Financial Studies,5:4,1-19。
陳信儒,2015。「台灣股票報酬率之實證研究: Fama-MacBeth 方法之應用」,世新大學管理學院財務金融學系碩士學位論文。
張眾卓、王祝三,2012。「台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。
顧廣平,2002。。「臺灣上市(櫃)公司股東期望報酬橫斷面差異解釋因子之探討」,Asia Pacific Review of Social Science and Technology,2:1,139-164。
(二)英文文獻 Ansari, V. A. (2000). Capital asset pricing model: Should we stop using it? Vikalpa: The Journal for Decision Makers, 25 (1), 55–64.
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3–18.
Bajpai, S and A. K. Sharma (2015). “An Empirical Testing of Capital Asset Pricing Model in India,” Procedia - Social and Behavioral Sciences Volume 189,p 259-265.
Black, F (1993). "Beta and Return," Journal of Portfolio Management, Vol 20, pp 8-18.
Black, F; MC. Jensen and M. Scholes (1972). "The Capital Asset Pricing Model: Some Empirical Tests," in Jensen (ed.), Studies in the Theory of Capital Markets, New York: Praeger, p79-121.
Bodie, Z, A. Kane, A. J. Marcus (2013). “Investments, 10th Edition”.
Fama, E. F., and K. R. French (1992). The Cross-section of expected stock returns. The Journal of Finance, 47(2), 427–465.
Fama, E. F., and K. R. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56.
Fama, E. F., and K. R. French (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 50(1), 131–155.
Fama, E. F., and K. R. French (2004a). The capital asset pricing model: Theory and evidence. The Journal of Economic Perspectives, 18 (3), 25–46.
Fama, E. F., and K. R. French (2004b). The capital asset pricing model: Theory and evidence. The Journal of Economic Perspectives, 18(3), 25–46.
Fama, E. F., and J. D. MacBeth (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636.
Friend, I., and M. Blume (1970). Measurement of portfolio performance under uncertainty. The American Economic Review, 60(4), 561–575.
Gupta, O. P., and S. Sehgal (1993). An empirical testing of capital asset pricing model in India. Finance India, 7(4),863–874.
Jensen, M. C., F. Black and M. S. Scholes (n.d.). The Capital Asset Pricing Model: Some Empirical Tests (SSRN Scholarly Paper No. ID 908569).
Madhusoodanan, T. P. (1997). Risk and Return: A New Look at the Indian Stock Market. Finance India, 1(2), 285–304.
Obaidullah, M. (1994). Indian Stock Market: Theories and Evidence. Hyderabad, ICFAI.
Roll, R. (1977). A critique of the asset pricing theory’s tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4 (2), 129–176.
Varma, J. R. (1988). Asset Pricing Model under Parameter, Non-stationarity (Doctoral Dissertation). Indian Institute of Management, Ahmedabad.
Wang, F. (2013). “A Test of CAPM in China’s Stock Market,” dissertation, degree of Master of Finance, Saint Mary’s University.
Yalawar, Y. B. (1988). Bombay stock exchange: Rates of return and efficiency. Indian Economics Journal, 35(4),68–121. |