Reference: | 劉宗聖、許家榮、粘瑞益、張力文,2007。計量化投資策略:資產管理的創新與應用。台北市:財訊
Ang, A., & Bekaert, G. (2007). "Stock return predictability: Is it there?. " Review of Financial studies, 20(3), 651-707.
Campbell, J. Y., & Thompson, S. B. (2005). "Predicting the Equity Premium out of sample: Can anything beat the historical average? " (No. w11468). National Bureau of Economic Research.
Ding, Z. (2010). "The Fundamental Law of Active Management: Time Series Dynamics and Cross-Sectional Properties. " Available at SSRN 1625834.
Goetzmann, W. N., & Jorion, P. (1993). "Testing the predictive power of dividend yields. " The Journal of Finance, 48(2), 663-679.
Grinold, Richard C. (1994) "Alpha is volatility times IC times score." The Journal of Portfolio Management 20.4: 9-16.
Guo, H. (2002). "On the out-of-sample predictability of stock market returns. " Available at SSRN 315089.
Lamont, O. (1998). "Earnings and expected returns. " The journal of Finance, 53(5), 1563-1587.
Menzly, L., Santos, T., & Veronesi, P. (2004). "Understanding predictability. " Journal of Political Economy, 112(1), 1-47.
Pontiff, J., & Schall, L. D. (1998). "Book-to-market ratios as predictors of market returns. " Journal of Financial Economics, 49(2), 141-160.
Qian, Edward, and Ronald Hua. (2004) "Active risk and information ratio." Journal of Investment Management 2.3: 20-34.
Richard Lawson and George Platt, (August 2004)" The A-Z Quant", Macquarie Research Equity Richard C. Grinold and Ronald N. Kahn, (Spring 1992) “Information analysis”, The Journal of Portfolio Management, vol.18, no.3:14-21
Rozeff, M. S. (1984). "Dividend yields are equity risk premiums. " Journal of Portfolio management, 68-75.
Welch, Ivo, and Amit Goyal. (2008) "A comprehensive look at the empirical performance of equity premium prediction." Review of Financial Studies 21.4: 1455-1508. |