Aarts Ferdi ＆ Lehnert Thorsten, On style momentum strategies, Applied Economics Letters 12, 795-799, 2005.
Avramov, Chordia T., Jostova G. ＆ Philipov A., Momentum and Credit Rating, The Journal of Finance Oct No5, 2503-2520, 2007.
Ball, Kotheri and Shanken, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79-107, 1995.
Barberis Nicholas, Shleifer A. ＆ Vishny R., A Model of Investor Sentiment, Journal of Financial Economics 49, 307-343, 1998.
Barberis Nicholas, Shleifer A. ＆ Vishny R., Style Investing, Journal of Financial Economics 68, 161-199, 2003.
Bauman, W.S., Conover C.M. and Miller R.E., Growth versus Value and Large-Cap versus Small-Cap stocks in International Markets, Financial Analysts Journal 3(4), 75-89, 1998.
Berk, J, Green R.C. ＆ Naik V., Optimal Investment, Growth Options and Security Returns , Journal of Finance 54 , 1153-1608, 1999.
Black, F. M. C., Jensen, M. C. and Scholes, M., The capital asset pricing model: Some empirical tests’, Studies in the Theory of Capital Market, New York：Praeger Publishers, 1972.
Bird, Ron ＆ Casavecchia Lorenzo, Insights into the Momentum Life Cycle for European Stocks, Journal of Investing 15(3), 105-118, 2006.
Chan L.K., Jegadeesh N. and Lakonishok J., Momentum Strategies, Journal of Finance 5, 1681-1713, 1996.
Chan, K., Hameed A., and Tong, W., Profitability of Momentum Strategies in the International Equity Markets, The Journal of Financial and Quantitative Analysis 35(2), 153-172, 2000.
Chopra, Navin, Lakonishok Josef, and Ritter Jay R., Measuring Abnormal Performance: Do Stocks Overreact?, Journal of Financial Economics 31, 235-268, 1992.
Cutler D., Poterba J. ＆ Summers L. , Speculative Dynamics, Review of Economic Studies 58, 529-546, 1991.
Chen Hong-Kun, The Research of Momentum Life Cycle and Trading volume, the dissertation of Tamkang University, department of Banking and Finance, 2000 (in Chinese). 陳鴻崑，「動量週期與成交量之研究」，淡江大學財務金融研究所碩士論文，民國89年。
Chen J. and Hong H., Discussion of Momentum and Autocorrelation in stock returns, Review of financial studies 15(2), 565-573, 2002.
Chen Hsiu-Lang, On Characteristics momentum, the Journal of Behavioral Finance 4(3), 137-156, 2003.
Chen N., Essays on liquidity risk and asset pricing, the dissertation of University of California, Berkeley, 2005.
Chen Cheng-Yu and Shyu So-De, The Industrial Momentum Strategies and the investment profit: the Empirical Researches of Taiwan’s stock index mutual fund, Sun Yat-Sen Management Review 10(2), 203-230, 2002. (in Chinese) 陳正佑、徐守德，產業別動量投資策略與投資績效，中山管理評論，頁203-230，民國九十一年夏季號。
Chordia, T. and Shivakumar L., Momentum, Business Cycle, and Time-Varying Expected Returns, The Journal of Finance 57(2), 985-1019, 2002.
Cohen Lauren ＆ Frazzini A., Economic Links and Predictable Returns, Journal of Finance LXIII(4), 1977-2011, 2008.
Conrad, J., Gultekin, M. N. ＆ Kaul, G., Profitability of short-term contrarian strategies: Implications for market efficiency, Journal of Business and Economics Statistics Vol 15, 379-386, 1997.
Conrad J. S. ＆ Kaul G., An anatomy of Trading Strategies, Review of Financial Studies Vol. 11, 489-519, 1998.
Cooper, M., Gutierrez Jr., R., Hameed, A., Market States and Momentum, Journal of Finance Vol 3, 1345-1365, 2004.
Copeland Maggie and Copeland Tom, Leads, Lags, and Trading in Global Markets, Financial Analysts Journal 54(4), 70-80, 1998.
Cutler, David M ＆ Poterba, James M ＆ Summers, Lawrence H, 1991, Speculative Dynamics, Review of Economic Studies 58(3), 529-46.
Dijk Ronald van ＆ Huibers Fred, European Price Momentum and Analyst Behavior, Financial Analysts Journal 58(2), 96-116, 2002.
De Bondt, W. F. M., and Thaler R. H., Does the stock market overreact, Journal of Finance 40, 557-581, 1985.
Daniel K, Grinblatt M., Titman S. ＆ Wermers R., Measuring Mutual Fund performance with Characteristic-Based Benchmarks, The Journal of Finance, 1035-1059, 1997.
Daniel K, Hirshleifer D. ＆ Subrahmanyam, Investors Psychology and Security Market Under- and Overractions, Journal of Finance 6, 1839-1885, 1998.
Doukas, John ＆ McKnight, Phillip, European Momentum Strategies, Information Diffusion, and Investor Conservatism, European Financial Management 11(3), 313-338, 2005.
Ellis, Mark ＆ Thomas, Dylan, Momentum and the FTSE 350, Journal of Asset Management 5(1), 25-36, 2004.
Elton E.J. and Gruber M.J., Modern Portfolio Theory and Investment Analysis, John Wiley ＆ Sons, Inc, 1995.
Fama, Eugene and Kenneth French, The Cross-Section of Expected Stock Returns, Journal of Finance, 427-466, 1992.
Fama, E. F. and MacBeth, J. D., Risk, return and equilibrium: empirical test, Journal of Political Economy 81, 607-636, 1993.
Fama, E.F. and French K.R., Size and Book-to-Market Factors in Earnings and Returns, Journal of Finance 50, 131-155, 1995.
Fama, E.F., Discounting under Uncertainty, Journal of Business 69, 415-428, 1996.
Frazzini A., The disposition Effect and Underreaction to News, Journal of Finance, 2017-2044, 2006.
Gibbons, M and Hess P., Day-of-the-week effects and asset returns, Journal of Business, Vol54, 579-596, 1981.
Gebhardt William, Hvidkjaer, Soeren ＆ Swaminathan, Bhaskaran, Stock and bond market interaction: Does momentum spill over?, Journal of Financial Economics 75(3), 651-690, 2005.
George T. J. ＆ Hwang C.Y., The 52-Week High and Momentum Investing, The Journal of Finance 5, 2145-2176, 2004.
Grinblatt, M., Titaman S. and Wermers R., Momentum Investment Strategies, Portfolio Performance, and Hedging: A Study of Mutual Fund Behavior, The American Economic Review, 1088-1105, 1995.
Griffin, John M., Ji, Xiuqing ＆ Martin, J. Spencer, Global Momentum Strategies, Journal of Portfolio Management 31 (2), 23-39, 2004.
Grundy, B. D. and Martin J. S., Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing, The Review of Financial Studies 14(1), 29-78, 2001.
Hameed A. and Kusnadi Y., Momentum strategies: evidence from Pacific Basin stock markets, Journal of Financial Research 25, 383–397, 2002.
Hong, H. and Stein J. C., A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets, The Journal of Finance 54(6), 2143-2184, 1999.
Hong Harrison, Lim Terence ＆ Stein J.C., Bad News Travels Slowly: Size, Analyst Coverage, and the profitability of momentum strategies, The Journal of Finance LV(1), 265-295, 2000.
Hong Harrison, Torous W. ＆ Valkanov R., Do Industries Lead the Stock Markets?, Journal of Financial EconomicsVol 83, 367-396, 2007.
Hong Dong, Essays in predictability of stock returns in international markets, the dissertation of Cornell University, 2003.
Ho I-Man ＆ Kang Hsin Hong, The Empirical Research of Contrarian strategy in Taiwan’s Stock Market, Chiao Da Management Review 19(2), 81-202, 1999. (in Chinese) 何怡滿，康信鴻，台灣股票市場反修正現象之實証研究，交大管理學報 第19卷第2期，181-202頁，1999年。
Huang, Dayong, Market states and international momentum strategies, Quarterly Review of Economics ＆ Finance 46(3), 437-446, 2006.
Hou Kewei, Industry information diffusion and the lead-lag effect in stock returns, the dissertation of the University of Chicago, 2002.
Hsieh Chow-Shen, The Empirical Research of Momentum strategy: the Re-test of the Efficency of Taiwan’s Stock Market, Master dissertation, department of finance, National Taiwan University, 1994. (in Chinese) 謝朝顯，追漲殺跌投資組合策略之實證研究－台灣股市效率性之再檢定，國立臺灣大學財務金融所碩士論文，1994。
Iihara, Yoshio, Hideaki Kiyoshi Kato, and Toshifumi Tokunaga, The winner-Loser Effect in Japanese stock returns, Japan and the World Economy l16, 471-485, 2004.
Jegadeesh, N., Evidence of predictable behavior of security returns, Journal of Finance 45, 881-898, 1990.
Jegadeesh, N. and Titman S., Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance 48, 65-91, 1993.
Jegadeesh, N. and Titman S., Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, The Journal of Finance 56(2), 699-720, 2001.
Jegadeesh, N. and Titman S., Cross-Sectional and Time-Series Determinants of Momentum Returns, The Review of Financial Studies 15(1), 143-157, 2002.
Karolyi, G. Andrew ＆ Kho, Bong-Chan, Momentum strategies: some bootstrap tests, Journal of Empirical Finance 11(4), 509-536, 2004.
Keim, D.B., Size-related anomalies and stock return seasonality, Journal of Financial Economics 12, 13-32, 1983.
Kim Kenneth and Nofsinger John, The Behavior of Japanese Individual investors during Bull and Bear Markets, the Journal of Behavioral Finance 8(3), 138-153, 2007.
Korajczyk Robert ＆ Sadka, Ronnie, Are Momentum Profits Robust to Trading Costs?, Journal of Finance 59 (3), 1039-1082, 2004.
Lakonishok, Shleifer J.A. and Vishny R.W., Contrarian Investment, Extrapolation and Risk, Journal of Finance 49(5), 1541-1578, 1994.
Lee C.M.C.＆ Swaminathan B., Price Momentum and Trading Volume, Journal of Finance, 2017-2069, 2000.
Lehmann B., Fads, martingales and market efficiency, Quarterly Journal of Economics 105, 1-28, 1990.
Lintner, J., The Valuation of risk assets and the selection of risky investments in stock portfolio and capital budgets, Review of Economics and Statistics 47, 13-37, 1965.
Lewellen, J., Momentum and Autocorrelation in Stock Returns, The Review of Financial Studies 15(2), 533-563, 2002.
Lo, A.W. ＆ MacKinlay A.C., When are contrarian profits due to overreaction?, Review of Financial Studies 2, 175-205, 1990.
Marshall, Ben R. ＆ Cahan, Rachael M., Is the 52-week high momentum strategy profitable outside the US?, Applied Financial Economics 15(18), 1259- 1267, 2005.
Mengoli, Stefano, On the source of contrarian and momentum strategies in the Italian equity market, International Review of Financial Analysis 13(3), 301-331, 2004.
Menzly Lior ＆ Ozbas Oguzhan, Cross-Industry Momentum,Working paper, 2006.
Moskowitz, T. J. and M. Grinblatt, 1999, Do Industries Explain Momentum?, The Journal of Finance 54(4), 1249-1290, 2006.
Nijman Theo, Swinkels Laurens, Verbeek Marno, Do countries or industries explain momentum in Europe?, Journal of Empirical Finance 11(4), 461-481, 2004.
Nofsinger J.R ＆ Richard W Sias, Herding and Feedback Trading by Institutional and Individual Investors, The Journal of Finance 54, 2263–2295, 1999.
Nofsinger J., The Impact of Public Information on Investors, Journal of Banking and Finance 25, 1339-1366, 2001.
Odean Terrance, Are Investors Reluctant to Realize Their Losses?, The Journal of Finance 5, 1775-1798, 1998.
Olsen Robert A., Behavioral Finance and its Implications for stock- pricevolatility, Financial Analysts Journal, 10-18, 1998.
Pan Ming-Shiun, Liano Kartono, Huang Gow-Cheng, Industry Momentum Strategies and Autocorrelations in Stock Returns, Journal of Empirical finance 11(2), 185-202, 2004.
Patro, Dilip K ＆ Wu, Yangru, Predictability of short-horizon returns in international equity markets, Journal of Empirical Finance 11 (4), 553-584, 2004.
Piotroski J D, Value Investing: The Use of Historical Financial Information to Separate Winners from Losers, The Journal of Accounting Research 38, 1-41, 2000.
Reinganum, M. R., The anomalous stock market behavior of small firms in January: empirical tests for tax-loss effects, Journal of Financial Economics 12, 89-104, 1983.
Ritter, J., The buying and selling behavior of individual investors at the turn of the year, The Journal of Finance43, 701-717, 1988.
Rouwenhorst, K. G.., International Momentum Strategies, Journal of Finance 53 267-284, 1998.
Sadka Ronnie, Essays on stock momentum and asset liquidity, the dissertation of Northwestern University, 2003.
See Wen-Ming, To Discuss the relationship between overreaction and Risk Change in Taiwan’s Stock Market, Review of Securities and Futures Markets 24, 1-40, 1994. (in Chinese) 絲文銘，股票市場過度反應與風險變化關係之探討，國立台灣大學財務金融研究所碩士論文，1994。Shen, Qian ＆ Szakmary, Andrew ＆ Sharma, Subhash, Momentum and contrarian strategies in international stock markets: Further evidence, Journal of Multinational Financial Management 15(3), 235-255, 2005.
Sharpe,W.F.，Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance 19, 425-442, 1964.
Shefrin, H. ＆ Statman M., The Disposition to Sell Winners too Early and Ride Losers too Long: Theory and Evidence, The Journal of Finance 40, 777-790, 1985.
Shu Shien-Gee, The comparison between the momentum and contrarian strategies in Taiwan’s Stock Market, dissertation of the Fu Jen Catholic University, department of management, 1997. (in Chinese) 許勝吉，台灣股市追漲殺跌策略與反向策略之實證分析比較，輔仁大學管理學研究所碩士論文，民國88年。
Siganos, A. andChelley-Steeley P. (2006), “Momentum profits following bull and bear markets, Journal of Asset Management, vol. 6(5), pp. 381-388.
Swinkels Laurens, International Industry Momentum, Journal of Asset Management 3(2), 124-141, 2002.
Swinkels Laurens, Momentum investing: A survey, Journal of Asset Management 5(2), 120-143, 2004.
Thompson J. R., Edward E. Williams ＆ M. Chapman Findlay III, Model for Investors in Real World Markets, John Wiley ＆ Sons, Inc. , 2003.
Verardo M., Heterogeneous beliefs and momentum profits, the dissertation of the University of Rochester, 2005.
Wang Hui, Essays on two financial market anomalies, the dissertation of Yale University, 2005.
Wang J, An empirical study of momentum and reversal in United States equity market, the dissertation of the State University of New Jersey – Newark, 2005.
Wang Yi-Ching, Price Momentum and Liquidity in Taiwan, the dissertation of National Tsing Hua University, 2005. (in Chinese) 王怡靜，台灣股市價格動能與流動性之整合研究，清華大學科技管理研究所碩士論文，民國 94年。
Wermers R, Mutual Fund Herding and the Impact on Stock Prices, The Journal of Finance 2, 581-622, 1999.
Yong Jack Jam-Wei, To Discuss the Overreaction in Taiwan’s Stock Market, The Quarterly Journal of the Business Bank 21(1), 46-53, 1997. (in Chinese) 楊踐為，臺灣股市之過度反應現象探討，企銀季刊 21:1,頁46-53，民國86年7月。
You I-Chi, The Empirical Research of the Relationship Between Momentum and Industry in Taiwan’s Stock Market, the dissertation of National Chengchi University, department of financial management, 2000. (in Chinese) 游奕琪，台灣股市產業與價格動能策略關聯性之實證研究，政治大學財務管理研究所碩士論文，民國 89年。
Yu, Chih-Hsien and Yao Y. C., On the Trading Strategies of Taiwan’s Mutual Funds, Journal of Financial Studies 8(2), 49-76, 2000. (in Chinese) 游智賢、姚瑜忠，台灣共同基金操作策略之研究，中國財務學刊，第八卷，第二期，pp.49-76，2000年。