Reference: | 一、 中文部分 1. 朱富春,股票本益比理論及其應用,台灣經濟金融月刊第十一卷第十一期,民 國64年。 2. 王明仁,股票益本比與公司年度盈餘對投資組合投資績效影響之研究,東海大 學企業管理研究所未出版之碩士論文,民國78年。 3. 林伶如,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,中興大 學企業管理研究所未出版之碩士論文,民國79年。 4. 方淑莉,公司規模、本益比與股票報酬之研究,東海大學企業管理研究所未出 版之碩士論文,民國79年。 5. 劉美蘭,台灣股票本益比與報酬率關係之研究,中興大學企業管理研究所未出 版之碩士論文,民國80年。 pp.9-16 26. Loughran T. “Book-to-market across firm size, exchange, and seasonality: Is there an effect?” Journal of Financial and Quantitative Analysis, Sep 1997, Vol.32, pp.249-268 27. Bauman, W. S. and Miller, R. E. “Investor expectations and the performance of value stocks versus growth stocks.” Journal of Portfolio Management, Spring 1997, Vol. 23, pp. 57-68 6. 劉維琪、李佳玲,運用隨機優勢模式再探討台灣股市本益比效應,會計評論, 民國82年,第27期,第1-24頁。 7. 廖東亮,以隨機優勢理論測試價銷比策略之研究,台灣科技大學管理技術研究 所未出版之博士論文,民國83年。 8. 胡玉雪,本益比、淨值市價比及公司規模對股票報酬之影響─相似無關法之應 用,台灣大學商學研究所未出版之碩士論文,民國83年。 9. 陳志和,價值導向投資策略在台灣股市之實證研究,政治大學財務管理研究所 未出版之碩士論文,民國86年。 10. 黃淑娟,傳統的與強化的價值導向投資策略在台灣股票市場之實證研究,政治大學 財務管理研究所未出版之碩士論文,民國87年。 11. 林季甫,價值特徵在台灣股票市場之實證研究,政治大學財務管理研究所未出版之 碩士論文,民國88年。 12. 留政鈺,貨幣政策與股票報酬之關係—台灣實證研究,淡江大學財務金融研究所未 出版之碩士論文,民國88年。 13. 薛仲男,成長型與價值型股票選時策略之研究,政治大學財務管理研究所未出版之 碩士論文,民國89年。 14. 廖淑惠,本益比與成長機會策略組合之投資報酬研究,國防管理學院國防財務資源 研究所未出版之碩士論文,民國91年。 15. 繆燕鴦,亞太地區貨幣政策與股市報酬之關聯性分析—以向量自我迴歸及共整合模 型為例,中原大學企業管理研究所未出版之碩士論文,民國91年。 二、 英文部分 1. Black, A. “The Impact of Monetary Policy on Value and Growth Stocks: An International Evaluation.” Journal of Asset Management, Sep 2002, Vol.3, pp.142-172 2. Arshanapalli, B., T. D. Coggin, and J. Doukas. “Multifactor asset pricing analysis of international value investment strategies.” Journal of Portfolio Management, Summer 1998, Vol. 24, pp.10-23 3. Banz, R., W., “The Relationship Between Return and Market Value of Common Stocks.” Journal of Financial Economics, Mar 1981, Vol. 9, pp. 3-18 4. Barbee, William C., Sandip Mukherji, and Gary A. Raines. “Do sales-price and debt-equity explain stock returns better than book-market and firm size?” Financial Analysts Journal, Mar/Apr 1996, Vol. 52, pp.56-60 5. Basu, S. “Investment Performance of Common Stocks In Relation To Their Price-Earnings Ratios – A Test of The Efficient Market Hypothesis.” The Journal of Finance, June 1977, Vol. 32, pp.663-682 6. Capual, C., I. Rowley, and W. F. Sharpe “International value and growth stock returns.” Financial Analysts Journal, Jan/Feb 1993, Vol. 49, pp.27-36 7. Chan, L., Y. Hamao, and J. Lakonishok “Fundamentals and Stock Returns in Japan.” The Journal of Finance, Dec 1991, Vol. 46, pp.1739-1764 8. Davis, James L. “The cross-section of realized stock returns: The pre-COMPUST.” The Journal of Finance, Dec 1994, Vol.49, pp. 1579-1593 9. De Bondt, W. F. M. and R. H. Thaler “Further Evidence on Investor Overreaction and Stock Market Seasonality.” The Journal of Finance, Jul 1987, Vol. 42, pp. 557-581 10. Dreman, David N., and Michael A. Berry. “Overreaction, underreaction, and the low-p/e effect.” Financial Analysts Journal, Jul/Aug 1995, Vol. 51, pp. 21-30 11. Fama, E. F. and K. R. French. “The Cross-Section of Expected Stock Returns.” The Journal of Finance, Jun 1992, Vol. 47, pp.427-465 12. Jensen, Gerald R., and Robert R. Johnson “Discount rate changes and security returns in the U.S., 1962-1991.” Journal of Banking & Finance, Apr 1995, Vol. 19 pp. 79-95 13. Jensen, G.R., R.R.Johnson and J.M.Mercer “New evidence on size and price-to-book effects in stock returns.” Financial Analysts Journal, Nov/Dec 1997, Vol. 53, pp.34-42 14. Jensen, G. R. and Mercer, J. M. “Monetary policy and the cross-section of expected stock returns.” The Journal of Financial Research, Spring 2002, Vol. 25, pp. 125-139 15. Harris, R.S., and F.C. Marston. “Value versus Growth Stocks: Book-to-Market, Growth and Beta.” Financial Analysts Journal, September/October 1994, pp.18-24. 16. Lakonishok, J., Shleifer, A. and Vishny, R. “Contrarian investment, extrapolation, and risk.” The Journal of Finance, Dec 1994, Vol. 49, pp.1541-1578 17. Jaffe, J., D. Keim, and R. Westerfield “Earnings Yields, Market Values, And Stock Returns.” The Journal of Finance, Mar 1989, Vol.44, pp. 135-148 18. James P. O’Shaughnessy, “What Works on Wall Street: A Guide to the Best- Performing Investment Strategies of All Time.” McGraw-Hill: New York, 1996. 19. Scott, J. and M. Stumpp and P. Xu “Behavioral bias, valuation, and active management.” Financial Analysts Journal, Jul/Aug 1999, Vol.55, pp. 49-57 20. Beneda, N. “Growth stocks outperform value stocks over the long term.” Journal of Asset Management, Sep 2002, Vol. 3, pp.112-23 21. Goodman, David A and John W. Peavy “The Significance of Ps for Portfolio Returns.” Journal of Portfolio Management, Winter 1983, Vol.9, pp. 43-47 22. Ahmed, Parvez, and Sudhir Nanda. “Style investing: Incorporating growth characteristics in value stocks.” Journal of Portfolio Management, Spring 2001, Vol. 27, pp.47-59 23. Reinganum, M. R. “Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings` Yields and Market Values.” Journal of Financial Economics, Mar 1981, Vol. 9, pp. 19-46 24. Harris, R.D.F. “The accuracy, bias and efficiency of analysts` long run earnings growth forecasts.” Journal of Business Finance & Accounting, Jun/Jul 1999, Vol. 26, pp. 725-755 25. Rosenberg, B., K. Reid, and R. Lanstein “Persuasive Evidence of Market Inefficiency.” Journal of Portfolio Management, Spring 1985, Vol. 11, |