Reference: | 中文部分: 林季甫(1999)。價值特徵在台灣股票市場之實証研究。國立政治大學財務管理研究所碩士論文。 施雅芬(2010)。 從價值溢酬的觀點剖析台灣股票報酬。國立高雄應用科技大學商務經營研究所碩士論文。 張金龍(2006)。台股風格投資法之研究與探討(未出版之碩士論文)。國立中央大學財務金融研究所碩士論文。 陳建良(1990)。我國股票市場異常現象之實證研究。國立交通大學管理科學所碩士論文。 黃一祥(2009)。人力所得、條件資本資產評價模式、及橫斷面股票報酬。財務金融學刊,17,41-74。 楊踐為、陳玲慧(1998)。臺灣股票之系統風險與無風險利率於不同景氣市場時之穩定性探討。企銀季刊,21:3,57-72。 楊淑媛(2006)。台灣證券市場之規模溢酬與價值溢酬。國立臺灣科技大學財務金融研究所碩士論文。 劉秉龍(2002)。成長型與價值型投資策略之實證分析-以台灣股票市場為例。靜宜大學企業管理研究所碩士論文。
英文部分: Adrian, T., and Franzoni, F. (2005) Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM. Working paper. Federal Reserve Bank of New York and HEC School of Management, Paris. Ang, A., and Chen, J. (2002). Asymmetric correlations of equity portfolios. Journal of Financial Economics,63, 443-494. Braun, P A., Daniel B.N. and Alain M.S (1995). Good news, bad news, volatility, and betas. Journal of Finance‚50:5‚1575-1603. Chen, N. F. and Zhang F (1998). Risk and return of value stocks. Journal of Business,71:4, 501-535. Cochrane, J. (2001). Asset Pricing. Princeton University Press, Princeton, NJ. Dybvig, P. and Ross, S. (1985). Differential information and performance measurement using a security market line. Journal of Finance,40:2, 383-399. Fama, E. F. and French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance,47:2, 427-465. Fama, E. F. and French, K. R. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance,51:1,55-84. Fama, E. F. and French, K. R. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives,18:3, 25-46. Ghysels, E. (1998). On stable factor structures in the pricing of risk: do time-varying betas help or hurt?. Journal of Finance,53:2, 549-573. Hansen, L.P. and Richard, S. (1987). The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica, 55:3, 587-613. Huang, Ho Chuan (2003). Tests of regime-switching CAPM under price limits. International Review of Economics & Finance,12:3, 305-326. Jagannathan, R. and Wang, Z. (1996). The conditional CAPM and the cross-section of expected returns. Journal of Finance,51:1, 3-53. Jensen, M.C. (1968) The performance of mutual funds in the period 1945-1964. Journal of Finance,23:2, 389-416. Lakonishok, Josef, Andrei Shleifer, and Robert, W.V. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance,49:5, 1541-1578. Lettau, Martin, and Sydney, L. (2001) Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying. Journal of Political Economy,109, 1238-1287. Lewellen, J. and Nagel, S. (2006). The conditional CAPM does not explain asset-pricing anomalies. Journal of Financial Economics,82:2, 289-314. Petkova, R. and Zhang, L. (2005). Is value riskier than growth?. Journal of Financial Economics,78:1, 187-202. Wang, K.Q. (2003). Asset pricing with conditioning information: A new test. Journal of Finance,58:1. 161-196. Zhang, L. (2005). The value premium. Journal of Finance,60:1, 67-103. |