Reference: | Altman, Edward I, 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, The Journal of Finance 23, 589–609. Alwathainani, Abdulaziz M, 2009, Consistency of firms’ past financial performance measures and future returns, The British Accounting Review 41, 184–196. Ball, Ray, Joseph Gerakos, Juhani T Linnainmaa, and Valeri Nikolaev, 2016, Accruals, cash flows, and operating profitability in the cross section of stock returns, Journal of Financial Economics 121, 28–45. Ball, Ray, SP Kothari, and Jay Shanken, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79–107. Banz, Rolf W, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18. Basu, Sanjoy, 1977, Investment performance of common stocks in relation to their priceearnings ratios: A test of the efficient market hypothesis, The Journal of Finance 32, 663–682. Black, Fischer, 1993, Beta and return, Journal of Portfolio Management 20, 8–18. Bradshaw, Mark T, Scott A Richardson, and Richard G Sloan, 2006, The relation between corporate financing activities, analysts'forecasts and stock returns, Journal of Accounting and Economics 42, 53–85. Brown, Stephen J, and William N Goetzmann, 1995, Performance persistence, The Journal of Finance 50, 679–698. Brown, Stephen J, William N Goetzmann, and Stephen A Ross, 1995, Survival, The Journal of Finance 50, 853–873. Cakici, Nusret, Kudret Topyan, and Chia-Jane Wang, 2014, Cross-sectional return predictability in Taiwan stock exchange: An empirical investigation, Review of Pacific Basin Financial Markets and Policies 17, 1450010. Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82. Chan, Louis KC, Josef Lakonishok, and Theodore Sougiannis, 2001, The stock market valuation of research and development expenditures, The Journal of Finance 56, 2431–2456. Chen, Andrew Y, and Tom Zimmermann, 2022, Open source cross sectional asset pricing, Critical Finance Review 27, 207 264. Chopra, Navin, Josef Lakonishok, and Jay R Ritter, 1992, Measuring abnormal performance: Do stocks overreact?, Journal of Financial Economics 31, 235–268. Chordia, Tarun, Avanidhar Subrahmanyam, and Qing Tong, 2014, Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?, Journal of Accounting and Economics 58, 41–58. Chui, Andy CW, and KC John Wei, 1998, Book-to-market, firm size, and the turn-ofthe- year effect: Evidence from Pacific-Basin emerging markets, Pacific-Basin Finance Journal 6, 275–293. Cochrane, John H, 1999, Portfolio advice for a multifactor world, FRB Chicago Economic Perspective 23, 59–78. Cochrane, John H, 2011, Presidential address: Discount rates, The Journal of Finance 66, 1047–1108. Cooper, Michael J, Huseyin Gulen, and Michael J Schill, 2008, Asset growth and the cross-section of stock returns, The Journal of Finance 63, 1609–1651. Daniel, Kent, and Sheridan Titman, 2006, Market reactions to tangible and intangible information, The Journal of Finance 61, 1605–1643. Desai, Hemang, Shivaram Rajgopal, and Mohan Venkatachalam, 2004, Value-glamour and accruals mispricing: One anomaly or two?, The Accounting Review 79, 355–385. Dichev, Ilia D, 1998, Is the risk of bankruptcy a systematic risk?, The Journal of Finance 53, 1131–1147. Fairfield, Patricia M, J Scott Whisenant, and Teri Lombardi Yohn, 2003, Accrued earnings and growth: Implications for future profitability and market mispricing, The Accounting Review 78, 353–371. Fama, Eugene F, 1991, Efficient capital markets: II, The Journal of Finance 46, 1575–1617. Fama, Eugene F, and Kenneth R French, 1992, The cross section of expected stock returns, The Journal of Finance 47, 427–465. Fama, Eugene F, and Kenneth R French, 1998, Value versus growth: The international evidence, The Journal of Finance 53, 1975–1999. Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22. Francis, Jennifer, Ryan LaFond, Per M Olsson, and Katherine Schipper, 2004, Costs of equity and earnings attributes, The Accounting Review 79, 967–1010. Hafzalla, Nader, Russell Lundholm, and E Matthew Van Winkle, 2011, Percent accruals, The Accounting Review 86, 209–236. Haugen, Robert A, and Nardin L Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics 41, 401–439. Hirshleifer, David, Kewei Hou, Siew Hong Teoh, and Yinglei Zhang, 2004, Do investors overvalue firms with bloated balance sheets?, Journal of Accounting and Economics 38, 297–331. Holthausen, Robert W, and David F Larcker, 1992, The prediction of stock returns using financial statement information, Journal of Accounting and Economics 15, 373-411. Hovakimian, Armen, Tim Opler, and Sheridan Titman, 2001, The debt-equity choice, Journal of Financial and Quantitative Analysis 36, 1–24. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance 48, 65–91. Jiang, Jia-Ying, 2022, Cross-Sectional Return Predictability of Financial Indicators in Taiwan, Master’s thesis, National Chengchi University. Jones, Jennifer J, 1991, Earnings management during import relief investigations, Journal of Accounting Research 29, 193–228. Ko, Kuan-Cheng, Shinn-Juh Lin, Hsiang-Ju Su, and Hsing-Hua Chang, 2014, Value investing and technical analysis in taiwan stock market, Pacific-Basin Finance Journal 26, 14–36. Kothari, Sagar P, Jay Shanken, and Richard G Sloan, 1995, Another look at the crosssection of expected stock returns, The Journal of Finance 50, 185–224. Lakonishok, Josef, Andrei Shleifer, and Robert W Vishny, 1994, Contrarian investment, extrapolation, and risk, The Journal of Finance 49, 1541–1578. Lamont, Owen, Christopher Polk, and Jesús Saá-Requejo, 2001, Financial constraints and stock returns, The Review of Financial Studies 14, 529–554. LeBaron, Blake, 2000, The stability of moving average technical trading rules on the Dow Jones Index, Derivative Use, Trading and Regulation 5. Li, Dongmei, 2011, Financial constraints, R&D investment, and stock returns, The Review of Financial Studies 24, 2974-3007. Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615. Liu, Qi, Lei Lu, Bo Sun, and Hongjun Yan, 2015, A model of anomaly discovery, FRB International Fianace Discussion Paper. Lo, Andrew W, and A Craig MacKinlay, 1990, Data-snooping biases in tests of financial asset pricing models, The Review of Financial Studies 3, 431–467. Loughran, Tim, and Jay W Wellman, 2011, New evidence on the relation between the enterprise multiple and average stock returns, Journal of Financial and Quantitative Analysis 46, 1629–1650. McLean, R David, and Jeffrey Pontiff, 2016, Does academic research destroy stock return predictability?, The Journal of Finance 71, 5–32. Merton, Robert C, 1973, An intertemporal capital asset pricing model, Econometrica 41, 867–887. Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783. Muth, John F, 1961, Rational expectations and the theory of price movements, Econometrica 29, 315–335. Ortiz-Molina, Hernán, and Gordon M Phillips, 2014, Real asset illiquidity and the cost of capital, Journal of Financial and Quantitative Analysis 49, 1–32. Penman, Stephen H, Scott A Richardson, and Irem Tuna, 2007, The book-to-price effect in stock returns: accounting for leverage, Journal of Accounting Research 45, 427–467. Pontiff, Jeffrey, and Artemiza Woodgate, 2008, Share issuance and cross-sectional returns, The Journal of Finance 63, 921–945. Richardson, Scott A, Richard G Sloan, Mark T Soliman, and Irem Tuna, 2005, Accrual reliability, earnings persistence and stock prices, Journal of Accounting and Economics 39, 437–485. Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 11, 9–16. Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341–360. Rouwenhorst, K Geert, 1998, International momentum strategies, The Journal of Finance 53, 267–284. Sharpe, William F, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442. Shumway, Tyler, 1997, The delisting bias in CRSP data, The Journal of Finance 52, 327–340. Sloan, Richard G, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings?, The Accounting Review 289–315. Soliman, Mark T, 2008, The use of DuPont analysis by market participants, The Accounting Review 83, 823–853. Stattman, Dennis, 1980, Book values and stock returns, The Chicago MBA 4, 25–45. Welch, Ivo, and Amit Goyal, 2008, A comprehensive look at the empirical performance of equity premium prediction, The Review of Financial Studies 21, 1455–1508. Xie, Hong, 2001, The mispricing of abnormal accruals, The Accounting Review 76, 357–373. |