Reference: | Banz, R., (1981), The relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3-18. Blume, M. E. and R. F. Stambaugh, 1983, Biases in Computed Returns: An Application to Size Effect, Journal of Financial Economics 12, 387-404 Breiman, L., Friedman J., Olsen R., and Stone C., 1984, Classification and Regression Trees, Wadsworth, Pacific Grove. Chevalier, J., and G. Ellison, 1999, Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance, Journal of Finance 56, 875-899 Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, Journal of Finance 52, 1035-1058. Dybvig, Phillip H., and Ross, Stephen A., 1985, Differential information and performance measurement using a security market line, Journal of Finance 40, 383-399. Elton, E. J., Martin J. Gruber, and Christopher R. Blake, 1996, The Persistence of Risk-Adjusted Mutual Fund Performance. Journal of Business 69, 453-472 Fama, E. F., and French, K. R., 1993, Common Risk factors In the Return on Stocks and Bonds, Journal of Financial Economics 33, 3-56 Ferson, W.E., and R.W. Schadt, 1996, Measuring Fund Strategy and Performance in Changing Economic Conditions, Journal of Finance 51, 452-459. Gallagher, T. J, 1988, Mutual Fund Size and Risk-Adjusted Performance, Illinois Business Review 45, 11-13 Hendricks, D., J. Patel, and R. Zeckhauser , 1993, Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988. The Journal of Finance 48, 93-130 Indro, Daniel C., Christine X. Jiang, Michael Y Hu, and Wayne Y Lee, 1999, Mutual Fund Performance: Does Fund Size Matter? Financial Analysis Journal 55, 74-87. Ippolito, R. A., 1989, Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965-1984, Quarterly Journal of Economics 104, 1-23. Jegadeesh, N. and S. Titman, 1993, Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65-91. Jenson, M., 1968, The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance 23, 389-416. Kao, Duen-Li and R. D. Schumaker, 1999, Equity Style Timing, Financial Analysts Journal 55, 37-49. Kothari, S. P., Jay Shanken, and Richard G. Sloan, 1995, Another Look at the Cross-Section of Expected Stock Returns, Journal of Finance 50, 185-224. Lin, Anchor Y. and Swanson, Peggy E., 2003, The Behavior and Performance of Foreign Investors in Emerging Equity Markets: Evidence from Taiwan, International Review of Finance 4, 189-210. Mark Grinblatt and Sheridan Titman, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Jul. 1989, The Journal of Business 62, 393-416 Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1995, Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior, American Economic Review 85, 1088-1105 Merikas, G. A., Merikas, A.A., and Sorros I., 2005, Is There an Appropriate Measure of Managerial Skill and Performance?, The American Economic Review 31, 87-100. Moskowitz, T. J. and M. Grinblatt, 1999, Do Industries Explain Momentum? , Journal of Finance 54, 1249-1290. Robertson K., 2001, The information ratio, 401 (k) Advisor 8, 3. Roll, R., 1981, A Possible Explanation of The Small Firm Effect, Journal of Finance 36, 879-888 Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442. Treynor, J. L., 1965, How to Rate Management Investment Funds, Harvard Business Review 43, 63-75 韋端、鄭宇庭、鄧家駒、匡宏波、謝邦昌,2003,Data Mining 概述—以Clementine 7.0 為例,中華資料採礦協會。 |