Reference: | Banz,Rolf W.,1981,“The relationship between return and market value of common stock”,Journal of Financial Economics 9,3-18. Bernstein, Peter L. & Aswath Damodaran,1998,“Investment Management”John Wiley & Sons,Inc. Daniel,Kent & Sheridan Titman,1997,“Evidence on the Characteristics of Cross Sectional Variation in Stock Returns”,The Journal of Finance 52,1-33. De Bondt,W. & R.Thaler,1985,“Does the Stock Market Overreact?”,The Journal of Finance 40,793-805. Fama,Eugene F. & Kenneth R. French,1988a,“Permanent and temporary components of stock prices”,Journal of Political Economy 96,246-273. Fama,Eugene F. & Kenneth R. French,1988b,“Dividend yields and expected stock returns”,Journal of Financial Economics 22,3-25. Fama,Eugene F. & ,Kenneth R. French,1992, “The cross-section of expected stock returns”,The Journal of Finance 47,427-465. Hill,Joanne M. & Humza Naviwala,1999,“Synthetic and enhanced index strategies using futures on U.S. indexes“, The Journal of Portfolio Management,May,61-74. Jones, Charles P., & Jake W. Wilson,1995,“Probabilities Associated with Common Stock Returns”,The Journal of Portfolio Management,Fall,21-32. Keim,D.B.,1999,“An analysis of mutual fund design:the case of investing in small-cap stocks”,Journal of Financial Economics 51,173-194. Kothari,S.P. & Jay Shanken,1997,”Book-to-market, dividend yield,and expected market returns:A time-series analysis”,Journal of Financial Economics 44,169-203. Lee,Charles M.C. & Bhaskaran Swaminathan,1999,“Valuing the Dow:a bottom-up approach”,Financial Analysts Journal, September/October, 4-23. Malkiel,Burton G.,1999,“A Random Walk Down Wall Street Including a Life-cycle Guide to Personal Investing”New York:Norton,c1999. Miller,Todd & Timothy S.Meckel,1999,“Beating index funds with derivatives”, The Journal of Portfolio Management,May,75-87. Neal,Gregory S.,1999,“Inside an enhanced index fund”,Journal of Financial Planning, April,64-68. O’Shaughnessy,James P,1997,“What Works on Wall Street” New York : McGraw-Hill,c1997. Riepe,Mark W. & Matthew D. Werner,1998,“Are enhanced index mutual funds worthy of their name?”,The Journal of Investing,Summer,6-15. 王金火,2001,“指數期貨套利在台灣股票及期貨巿場之獲利性-事前分析日內資料之實證研究”,國立成功大學會計研究所未出版碩士論文 李春旺,1989,“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未出版博士論文 杜幸樺,1998,“影響台灣股票報酬之共同因素與企業特性之研究”,國立中山大學企業管理研究所未出版碩士論文 周行一,劉璞,2000,“投資學的世界”,天下遠見出版 林昇德,2000,“台股指數期貨市場之套利績效與市場特性研究”,國防管理學院資源管理研究所未出版碩士論文 邵朝賢,1999,“超額報酬投資組合之研究”,國立政治大學金融研究所未出版碩士論文 胡玉雪,1994,“益本比、淨值/市價比及公司規模對股票投資報酬之影響:相似無關迴歸法之應用”,國立台灣大學商學研究所未出版碩士論文 郭逢春,1993,“台灣上市公司在不同投資區間下淨值/市價比效果”, 國立台灣大學財務金融研究所未出版碩士論文 陳啟斌,1999,“台灣加權指數期貨之套利實證”,國立台灣大學國際企業研究所未出版碩士論文 楊美齡 譯,1996,“漫步華爾街:股市的終身理財之道”天下文化出版 蔣炤坪、李進生、盧陽正、吳壽山,1997,“指數期貨與選擇權”,新陸書局 盧麗安,1996,“財務基本分析與台灣股價表現”,國立中山大學財務管理研究所未出版碩士論文 謝明瑞、徐中琦、劉聰衡,1999,“期貨市場”,國立空中大學 |