期刊論文1. | Lucas, A.、van Dijk, R.、Klock, T.(2002)。Stock selection, style rotation, and risk。Journal of Empirical Finance,9,1-34。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Pesaran, M. Hashem、Timmermann, Allan(1995)。Predictability of stock returns: Robustness and economic significance。Journal of Finance,50,1201-1228。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | 翁霓、劉維琪、陳隆麒(19951100)。投資績效分析:低股價效果及小股本效果之實證研究。管理科學學報,12(3),335-359。 延伸查詢![new window](/gs32/images/newin.png) |
4. | Bossaerts, P.、Hillion, P.(1999)。Implementing statistical criteria to select return forecasting models: What do we learn?。Review of Financial Studies,12,405-428。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Bogle, J. C.(2002)。An indexing fund fundamentalist。Journal of Portfolio Management,28(3),31-38。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Barberisj, N.、Shleifer, A.(2003)。Style investing。Journal of Financial Economics,68,161-199。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Copeland, M.、Copeland, T.(1999)。Market timing: style and size rotation using the VIX。Financial Analysts Journal,1999(Mar.),73-80。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Chan, L. K. C.、Jagadeesh, N.、Lakonishok, L.(1996)。Momentum stmtegies。Journal of Finance,51,1739-1764。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Fama, E. F.、French, K. R.(1989)。Business conditions and expected returns on stocks and bonds。Journal of Financial Economics,25,23-49。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Gultekin, M. N.、Gultekin, N. B.(1983)。Stock market seasonality: international evidence。Journal of Financial Economics,12,469-481。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Grundy, B. D.、Martin, J. S.(2001)。Understanding the nature of risks and the source of the rewards to momentum investing。Review of Financial Studies,14,29-78。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Gabriel, P. Q.、Timmermann, A.(2000)。Firm size and cyclical variations in stock returns。Journal of Finance,55,1229-1262。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Fama, E.、French, K.(1996)。Multifactor explanation of asset pricing anomalies。Journal of Finance,51,55-84。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Levis, M.、Tessaromatis, N.(2004)。Style rotation strategies: implementation issues。Journal of Portfolio Management。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Klemkosky, R. C.、Bharati, R.(1995)。Time-varying expected returns and asset allocation。Journal of Portfolio Management,1995(Summer),80-87。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Kao, Duen-Li、Shumaker, R. D.(1999)。Equity style timing。Financial Analysts Journal,1999(Jan.),37-47。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Indro, Daniel K.、Jiang, Christine X.、Hu, Michael Y.、Lee, Wayne Y.(1998)。Mutual fund performance: a question of style。Journal of Investing,1998(summer),46-53。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Pontiff, J.、Schall, L. D.(1998)。Book to-market ratios as predictors of market returns。Journal of Financial Economics,49,141-160。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Chen, A.、Tu, E. H.(2002)。The determinants for stock returns in emerging market: The case of Taiwan。Studies in Economics and Finance,21(1),61-80。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Fama, Eugene F.(1981)。Stock Returns, Real Activity, Inflation, and Money。The American Economic Review,71(4),545-565。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Fama, Eugene F.、French, Kenneth R.(1996)。The CAPM Is Wanted, Dead or Alive。The Journal of Finance,51(5),1947-1958。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | 古永嘉、李鑑剛(19980300)。臺灣股票市場報酬率之橫斷面與縱斷面混合分析。輔仁管理評論,5(1),77-95。 延伸查詢![new window](/gs32/images/newin.png) |
23. | 胡星陽(19980400)。流動性對臺灣股票報酬率的影響。中國財務學刊,5(4),1-19。 延伸查詢![new window](/gs32/images/newin.png) |
24. | Chordia, Tarun、Shivakumar, Lakshmanan(2002)。Momentum, Business Cycle, and Time-varying Expected Returns。Journal of Finance,57(2),985-1019。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Fama, Eugene F.、French, Kenneth R.(1995)。Size and Book-to-Market Factors in Earnings and Returns。The Journal of Finance,50(1),131-155。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business,59(3),383-403。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Ritter, Jay R.(1991)。The Long-run Performance of Initial Public Offerings。Journal of Finance,46(1),3-27。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
31. | Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | Liew, Jimmy、Vassalou, Maria(2000)。Can book-to-market, size and momentum be risk factors that predict economic growth?。Journal of Financial Economics,57(2),221-245。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | 周賓凰、劉怡芬(20000400)。臺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(1)=45,1-32。 延伸查詢![new window](/gs32/images/newin.png) |