| Reference: | 中文部分
1. 王秀琴，辛欣(2006)。CAPM和Fama-French模型的比較研究。許昌學院學報，
25卷5期，頁23-25。
2. 李春旺(1988)。股價行為與規模效應：台灣股票市場實證研究。國立政治大學，企業管理研究所博士班，台北市。
3. 吳幸娟(2009)。資本資產評價模型之實證研究-以臺灣證劵市場為例。銘傳大學，管理研究所，台北市。
4. 林伶如(1990)。股票本益比與公司規模對股票報酬之影響─以台灣股市為例。國立中興大學，企業管理研究所，台中市
5. 林天中(1998)。台灣股票市場三因子：系統風險、公司規模及淨值市價比實證研究。未出版碩士論文，國立清華大學，經濟學研究所，新竹市。
6. 周賓凰、劉怡芬(1999)。「台灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？」。證券市場發展季刊，12卷1期，頁1-32。
7. 林建廷(2001)。台灣股票市場因子探討。未出版碩士論文，國立東華大學，國際經濟研究所，花蓮市。
8. 陳建良(1994)。我國股票市場異常現象之實證研究。國立交通大學，管理科學研究所，新竹市。
9. 陳惠萍(1998)。股票橫斷面之橫斷面分析-以台灣與上海股票市場為例。未出版碩士論文，逢甲大學，企業管理研究所，台中市。
10. 楊明栽(1997)。資本資產訂價理論在臺灣股票市場之實證研究。淡江大學，財務金融學系，新北市。
11. 楊淑媛(2007)。台灣證券市場之規模溢酬與價值溢酬。Size Premium and Value Premium based on Taiwanese Stock Market。國立台灣科技大學，財務金融碩士在職專班，台北市。
英文部分
1. Black, F., Jensen, M. C., Scholes, M. (1972). “The capital asset pricing model: some empirical tests”, Studies in the Theory of Capital Market, Praeger Publishers Inc.
2. Ball, Ray. (1978). “Anomalies in relationships between securities` yields and yield-surrogates”, Journal of Financial Economics, Vol. 6, Iss. 2-3, pp 103-126.
3. Banz, R. W. (1981). “The relationship between return and market value of common stocks”, Journal of Financial Economics, Vol. 9, Iss. 1, pp 3-18.
4. Basu, S. (1983). “The relationship between earnings’ yield, market value and return for NYSE common stocks: Further evidence”, Journal of Financial Economics, Vol. 12, Iss. 1, pp 129-156.
5. Bhandari, L.C. (1988). “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence”, Journal of Finance, Vol. 43, No. 2, pp 507-528.
6. Bleiberg, Steven. (1989). “How Little We Know...About P/Es, But Also Perhaps More Than We Think”, Journal of Portfolio Management, Vol. 15, Iss. 4, pp26-31.
7. Blanco, Belen. (2012). “The use of CAPM and Fama and French Three Factor Model: portfolios selection”, Public and Municipal Finance, Vol. 1, Iss. 1, pp 61-70.
8. Chan, L.K.C., Hamao Y., and Lakonishok J. (1991). “Fundamentals and Returns in Japan”, Journal of Finance, Vol. 46, Iss. 5, pp 1739-1764.
9. Chordiaa, T. and Shivakumar, L. (2006). “Earnings and price momentum”, Journal of Financial Economics, Vol. 80, Iss. 3, pp 627-656.
10. De Bondt, Werner F.M. and Thaler, Richard H. (1995). “Chapter 13 Financial decision-making in markets and firms: A behavioral perspective”, Handbook in OR & MS, Vol. 9, pp 385-410.
11. Fama, E.F. and MacBeth, J. D. (1973). “Risk, return, and equilibrium: Empirical tests”, Journal of Political Economy, Vol. 81, No. 3, pp 607-636.
12. Fama, E.F. and K.R. French (1992). “The Cross-Section of Expected Stock Returns”, Journal of Finance, Vol. 47, No. 2, pp 427-465.
13. Fama, E.F. and K.R. French (1993). “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, Vol. 33, pp 3-56.
14. Fama, E.F. and K.R. French (1995). “Size and Book-to-Market Factors in Earnings and Returns”, Journal of Finance, Vol. 50, pp 131-155.
15. Fama, E.F. and K.R. French (1996). “Multifactor Explanations of Asset Pricing Anomalies”, Journal of Finance, Vol. 51, pp 55-84.
16. Fama, E. F. and Kenneth R. French (2006). “The Value Premium and the CAPM”, Journal of Finance, Vol. 61, No. 5, pp 2163-2185.
17. Fant, L.F. and Peterson, D.R. (1995). “The effect of size, book-to-market equity, prior returns, and beta on stock returns：January versus the remainder of the year”, Journal of Finance Research, Vol. 18, pp 129-142.
18. Friend, I. and Blume, M. (1970). “Measurement of Portfolio Performance Under Uncertainty”, The American Economic Review, Vol. 60, No. 4, pp 561-575.
19. Lintner, J. (1965). “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets”, The Review of Economics and Statistics, Vol. 47, No. 1, pp 13-37.
20. Markowitz, H. (1952). “Portfolio selection”, Journal of Finance, Vol. 7, No. 1, pp 77-91.
21. Petkova, Ralitsa and Zhang, Lu (2005). “Is value riskier than growth?”, Journal of Financial Economics, Vol. 78, pp 187-202.
22. Petkova, Ralitsa (2006). “Do the Fama–French Factors Proxy for Innovations in Predictive Variables?”, Journal of Finance, Vol. 61, No. 2, pp 581-612.
23. Reinganum, Marc R. (1981). “A new empirical perspective on the CAPM”, Journal of Financial and Quantitative Analysis, Vol. 16, pp 439-462.
24. Rosenberg, B., Reid, K. and Lanstein, R. (1985). “Persuasive evidence of market inefficiency”, Journal of Portfolio Management, Vol. 11, No. 3, pp 9-16.
25. Sharpe, W. F. (1964). “A theory of market equilibrium under conditions of risk”, Journal of Finance, Vol. 19, No. 3, pp 425-442.
26. Stattman, D. (1980). “Book values and stock returns”, The Chicago MBA: A Journal of Selected Papers, Vol. 4, pp 25-45.
27. Sattar, Mahnoor (2017). “CAPM Vs Fama-French Three-Factor Model: An Evaluation of Effectiveness in Explaining Excess Return in Dhaka Stock Exchange”, International Journal of Business and Management, Vol. 12, No. 5, pp 119-129. |
