| Reference: | 一、中文部分(依作者姓名筆畫大小排列)：
1. 王介志,2000,“資產組合績效評估分析”,台灣大學經濟所碩士論文。
2. 向淑文,2000, “投資期限與資產定價因子”,中央大學財務管理研究所碩士論文。
3. 李文聖,2000,“因子、特徵與資產配置”,國立中央大學財務管理研究所碩士論文。
4. 林詩芸,2004,“美國股票型基金經理人績效評估-選股能力及擇時能力分析”,交通大學科管所碩士論文。
5. 姜志堅,2004, “基金波動擇時能力之研究”, 南華大學財務管理研究所碩士論文。
6. 陳松男,1977, “現代投資學”,新陸書局。
7. 陳欣怡,2004, “台灣股票型共同基金波動擇時能力之研究”,南華大學財務管理研究所碩士論文。
8. 陳榮昌,2002, “台灣股票報酬之結構分析”,中山大學財務管理研究所在職專班碩士論文。
9. 楊奕農,2005, “時間序列分析-經濟與財務上之應用”,雙葉書廊有限公司,145~173。
10. 謝劍平,2004, “現代投資學-分析與管理”,智勝出版公司出版。
二、英文部分(依作者姓氏字母順序排列)
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13. Backus, D. K. and A. W. Gregory, 1993, “Theoretical Relations Between Risk Premiums and Conditional Variances,” Journal of Business and Economic Statistics, 11, 177-185.
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18. Carhart, M. M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance, 52, 57-82.
19. Chang, E. C. and W. G. Lewellen, 1984, “Market Timing and Mutual Fund Investment Performance,” Journal of Business, 57, 57-72.
20. Christopherson, J. A., W. E. Ferson, and D. A. Glassman, 1994, “Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance,” The Review of Financial Studies, 11, 111-142.
21. Christopherson, J. A., W. E. Ferson, and D.A. Glassman, 1998, “Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance, ”Review of Financial Studies,11,111-142
22. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, “Measuring Mutual Fund Performance with Characteristic-Based Benchmarks,” Journal of Finance, 52, 1035-1058.
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24. Dimson, E., 1979, “Risk Measurement when Shares are Subject to Infrequent Trading,” Journal of Financial Economics, 7, 197-226.
25. Dickey, D. and Fuller, W. (1979) “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427-431.
26. Elton, E. J., M. J. Gruber, and C.R. Blake, 1996b, “Survivorship Bias and Mutual Fund Performance,” Review of Financial Studies, 9, 1097-1120.
27. Elton, E. J., M. J. Gruber, S Das, and M. Hlavka, 1993, “Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios,” Review of Financial Studies, 6, 1-22.
28. Enders, W., 2004, “Applied Econometric Time-Series,” 2nd Edition.
29. Fama, E. F. 1972, “Components of Investment Performance,” Journal of Finance, 27, 551-567.
30. Fama, E. F., and K.R. French, 1993, “Common Risk Factors in the Returns on Bonds and Stocks,” Journal of Financial Economics, 33, 3-56.
31. Fama, E. F., and K.R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance, 51, 55-84.
32. Ferson, W., and R. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51, 425-461.
33. Ferson, W. E., and R. W. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51,425-461.
34. Ferson, W. E., and V. A. Warther, 1996, “Evaluating Fund Performance in a Dynamic Market,” Financial Analysis Journal, 52, 20-28.
35. Fleming, J., C. Kirby, and B. Ostdiek, 2001, “The Economic Value of Volatility Timing,” Journal of Finance, 56, 329-352.
36. Goetzmann, W. N., J. Ingersoll and Z. Ivkovic, 2000, “Monthly Measurement of Daily Timers,” Journal of Financial and Quantitative Analysis, 35, 257-290.
37. Granger, C. and P. Newbold, 1974, “Spurious regressions in econometrics,” Journal of Econometrics, 2, 111-120.
38. Henriksson, R. D. and R. C. Merton,1981, “On Market Timing and Investment Performance. II. Statistical procedures for evaluating forecasting skills,” Journal of Business, 54, 513-534.
39. Jensen, M. C., “Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance,” in G. P. Szego and Karl Shell, Eds.: Mathematical Methods in Investment and Finance. (North-Holland, Amsterdam).
40. Kon, S., 1983, “The Market-Timing Performance of Mutual Fund Managers,” Journal of Business, 56, 323-347.
41. Kon, S. and F. Jen, 1978, “Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression,” Journal of Finance, 33, 457-475.
42. Lee, Cheng-Few, and S. Rahman, 1990, “Market Timing, Selectivity and Mutual Fund Performance: An Empirical Investigation,” Journal of Business,63, 261-278.
43. Lehmann, Bruce N., and David M. Modest, 1987, “Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons,” The Journal of Finance, 42, 233-265.
44. Merton, R. C., 1981, “On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts,” Journal of Business, 54, 363-406.
45. Nelson, D. B., 1991, “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347-370.
46. Scholes, M., and J. Williams, 1977, “Estimating Betas from Nonsynchronous Data,” Journal of Financial Economics, 5, 309-328.
47. Scruggs, J. T., 1998, “Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach,” Journal of Finance, 53, 575-603.
48. Sharpe, W. F.,1966, “Mutual Fund Performance,” Journal of Business, 39,119-138.
49. Sharpe, W. F., 1992, “Asset Allocation: Management Style and Performance Measurement,” Journal of Portfolio Management, 18, 7-19.
50. Treynor, J. L., 1965, “How to Rate Management of Investment Funds,” Harvard Business Review, 43, 63-75.
51. Treynor, J. and F. Black, 1973, “How to Use Security Analysis to Improve Portfolio Selection,” Journal of Business, 46, 66-86.
52. Treynor, J. L. and K. Mazny, 1966, “Can Mutual Funds Outguess the Market,” Harvard Business Review, 44, 131-136.
53. Whitelaw, R. F., 1994, “Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns,” Journal of Finance, 49, 515-541. |
