Reference: | Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.
Chen, Andrew Y, and Mihail Velikov, 2023, Zeroing in on the expected returns of anomalies, Journal of Financial and Quantitative Analysis 58, 968–1004.
Chen, Andrew Y., and Tom Zimmermann, 2022, Open source cross-sectional asset pricing, Critical Finance Review 27, 207–264.
Chung, Kee H, and Hao Zhang, 2014, A simple approximation of intraday spreads using daily data, Journal of Financial Markets 17, 94–120.
Fama, Eugene F, and Kenneth R French, 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427–465.
Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22.
Hanna, J Douglas, and Mark J Ready, 2005, Profitable predictability in the cross section of stock returns, Journal of Financial Economics 78, 463–505.
Hasbrouck, Joel, 2009, Trading costs and returns for U.S. equities: Estimating effective costs from daily data, The Journal of Finance 64, 1445–1477.
Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach, The Review of Financial Studies 28, 650–705.
Hou, Kewei, Chen Xue, and Lu Zhang, 2020, Replicating anomalies, The Review of Financial Studies 33, 2019–2133.
Li, Feifei, Tzee-Man Chow, Alex Pickard, and Yadwinder Garg, 2019, Transaction costs of factor-investing strategies, Financial Analysts Journal 75, 62–78.
Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.
Merton, Robert C, 1973, An intertemporal capital asset pricing model, Econometrica 41, 867–887.
Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783.
Novy-Marx, Robert, and Mihail Velikov, 2016, A taxonomy of anomalies and their trading costs, The Review of Financial Studies 29, 104–147.
Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341 – 360
Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442
蔣佳穎, 2022, 以財務指標預測台股橫斷面期望報酬, 碩士論文, 國立政治大學國際經營與貿易學系.
詹場、謝俊魁、池祥麟、徐崇閔, 2016, 「臺灣、上海及深圳股市交易成本之比較」, 《證券市場發展季刊》 28, 107–152.
錢邦彥, 2005, 台灣股市價格衝擊成本之研究, 碩士論文, 國立政治大學國際經營與貿易學系. |