Reference: | Amihud, Y. B. J., Christensen, and Mendelson, H., 1992, Further evidence on the risk-return relationship, Working paper, New York University. Brigham E. F., Gapenski L. C., and Ehrhardt M. C., 1999, Financial Management: Theory and Practice, 9th ed., Orlando: The Dryden Press. Chan, L. K. C. and Lakonishok, J., 1992, Robust measurement of beta risk. Journal of Financial and Quantitative Analysis 27, 265-282. Chang, E., 1998, The correlation research of the stock prices of the upper middle lower stream of the electronic companies, master article, National Chung Hsing University. Chen, N. F., Roll, R., and Ross, S. A., 1986, Economic forces and the stock market, Journal of Business 59, 383-403. Cullis, B. R. and McGilchrist, C. A., 1990, A model for the analysis of growth data from designed experiments, Biometrics 42, 909-917. Davidian, M. and Giltinan, D. M., 1995, Nonlinear Models for Repeated Measurement Data, London: Chapman & Hall. Davies, L., 1992, The asymptotics of Rousseeuw’s minimum volume ellisoid estimator, The Annals of Statistics 20, 1828-1843. Diggle, P. J., Liang, K. Y., and Zeger S. L., 1996, Analysis of Longitudinal Data, Oxford: Clarendon Press. Draper, N. R. and Smith, H., 1998, Applied Regression Analysis, 3rd ed., New York: John Wiley. Fama, E. F., 1965, The behavior of stock prices, Journal of Business 38, 34-105. Fama, E. F. and French, K. R., 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427-465. Fama, E. F. and French, K. R., 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56. Fama, E. F. and French, K. R., 1995, Size and book-to-market factors in earnings and returns, The Journal of Finance 50, 131-155. Fama, E. F. and French, K. R., 1997, Industry costs of equity, Journal of Financial Economics 44, 153-193. Fama, E. F., and James M, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636. Harville, D., 1974, Bayesian inference for variance components using only error contrasts, Biometrika 61, 383-385. Hsiao, C., 1986, Analysis of Panel Data, Cambridge University Press. Huber, P. J., 1981, Robust Statistics, New York: John Wiely and Sons. Hubert, M. and Rousseeuw, P. J., 1995, Robust regression with both continuous and binary regressors, Journal of Statistical Planning and Inference 57, 153-163. Jagannathan, R. and Wang, Z., 1996, The conditional CAPM and the cross-section of expected returns, Journal of Finance 51, 3-53. Kenz, P. J. and Ready, M. J., 1997, On the robustness of size and book-to-market on cross-sectional regressions, Journal of Finance, Vol. LII, No. 4, 1355-1382. Kon, S., 1984, Models of stock returns-a comparison, Journal of Finance 39, 147-165. Laird, N. M. and Ware, J. H., 1982, Random-effects model for longitudinal data, Biometrics 38, 963-974. Lakonishok, J. and Shapiro, A. C., 1986, Systematic risk, total risk and size as determinants of stock market returns, Journal of Banking and Finance 10, 115-132. Levy, H., 1997, Risk and return: an empirical analysis, International Economic Review 38(1), 119-149. Lin, H., 2000, The correlation reseration of the stock price of the upper middle and lower stream of the electronic companies, master article, Da-Yeh University. Lindsey, J. K. 1999, Models for Repeated Measurements, 2nd ed., Oxford: New York. Mandelbrot, B. 1963, The variation of certain speculative prices, Journal of Business 36, 394-419. Martin, R. D. and Simin, T., March 1999, Robust estimation of beta, Technical Report NO. 350, 1-38. Martin, R. D. and Simin, T., May 1999, Estimates of small-stock betas are often very distorted by outliers, Technical Report NO. 351, 1-19. Merton, R. C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887. Patterson, H. D. and Thompson, R., 1971, Recovery of inter-block information when block sizes are unequal, Biometrika 58, 545-554. Pinheiro, J. C. and Bates, D. M. B., 2000, Mixed-Effects Models in S and S-PLUS, New York: Springer. Radcliffe, R. C., 1997, Investment: Concepts, Analysis, Strategy, 5th ed., Addison- Wesley. Reinganum, M. R., 1981, A new empirical perspective on the CAPM, Journal of Finance and Quantitative Analysis 16, 439-462. Roll, R., 1988, R2, Journal of Finance 43, 541-566. Ross, S. A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360. Rosseeuw, P. J., 1984, Least median of squares regression, Journal of the American Statistical Association 79, 871-880. Rosseeuw, P. J., 1985, Multivariate estimation with high breakdown point, Mathematical Statistics and Applications, Vol. B, W. Grossmann, G. Pflug, I. Vincze and W. Wertz, Eds., Reidel, Dordrecht, 283-297. Rousseeuw, P. J. and Leroy, A. M., 1987, Robust Regression and Outlier Detection, New York: Wiley. Ruppert, D. and Carroll, R., 1980, Trimmed least squares estimations in the linear model, Journal of the American Statistical Association 75, 828-838. Shalit, H. and Yitzhaki, S., 2001, Estimating beta, Working paper, Hebrew University of Jerusalem. Verbyla, A. P. and Cullis, B. R., 1990, Modelling in repeated measures experiments, Biometrika 75, 129-138. Zeger, S. L., Liang, K. Y., and Albert, P. S., 1988, Models for Longitudinal data: a generalized estimation equation approach, Biometrics 44, 1049-1060. |