期刊論文1. | Treynor, Jack L.、Mazuy, Kay K.(1966)。Can mutual fund outguess the market?。Harvard Business Review,44(4),131-136。 |
2. | Daniel, K.、Titman, S.(1997)。Evidence on the Characteristics of Cross Sectional Variation in Stock Return。The Journal of Finance,52(1),1-33。 |
3. | 許培基、陳軒基、杜明哲(20031000)。共同基金持股之績效解構與資訊內涵。證券市場發展,15(3)=59,1-25。 延伸查詢 |
4. | Hameed, A.、Kusnadi, Y.(2002)。Momentum Strategies: Evidence from the Pacific Basin Stock Markets。Journal of Financial Research,25(3),383-397。 |
5. | Kothari, Sagar P.、Warner, Jerold B.(2001)。Evaluating Mutual Fund Performance。Journal of Finance,56(5),1985-2010。 |
6. | 顧廣平、吳壽山、許和鈞(19950400)。漲跌幅與公司規模對股票報酬之影響--臺灣股票市場之實證研究。證券市場發展,7(2)=26,1-28。 延伸查詢 |
7. | Loughran, Tim、Ritter, Jay R.(2000)。Uniformly Least Powerful Tests of Market Efficiency。Journal of Financial Economics,55(3),361-390。 |
8. | Lee, C. F.、Jen, F. C.(1978)。Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio。Journal of Financial and Quantitative Analysis,13(2),299-312。 |
9. | Dybvig, P. H.、Ross, S. A.(1985)。The Analytics of Performance Measurement Using a Security Market Line。Journal of Finance,40(2),401-416。 |
10. | 陳安琳、黎萬琳、陳振遠(20010400)。成長潛力、內部人交易與現金增資之宣告效果。中國財務學刊,9(1),1-25。 延伸查詢 |
11. | Malkiel, B. G.(1995)。Returns from Investing in Equity Mutual Funds 1971-1991。Journal of Finance,50(2),549-572。 |
12. | Henriksson, Roy D.、Merton, Robert C.(1981)。On market timing and investment performance II: Statistical procedures for evaluating forecasting skills。Journal of Business,54(4),513-533。 |
13. | Roll, Richard(1978)。Ambiguity When Performance Is Measured by the Securities Market Line。Journal of Finance,33(4),1051-1069。 |
14. | Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。 |
15. | Fant, L. Franklin、Peterson, David R.(1995)。The Effect of Size, Book-to-market Equity, Prior Returns, and Beta on Stock Returns: January Versus the Remainder of the Year。Journal of Financial Research,18(2),129-142。 |
16. | 陳家彬(19990600)。臺灣地區股票報酬之橫斷面分析:三因子模式之實證。國立中興大學人文社會學報,8,213-236。 延伸查詢 |
17. | Daniel, Kent、Titman, Sheridan(1998)。Characteristics or Covariances?。Journal of Portfolio Management,24(4),24-33。 |
18. | Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。 |
19. | Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance,51(5),1681-1713。 |
20. | 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。 |
21. | 陳安琳(20020600)。臺灣股票報酬之穩定因素--交叉確認、因素分析與模擬分析。管理學報,19(3),519-542。 延伸查詢 |
22. | Chan, Ka Keung Ceajer、Chen, Nai Fu(1991)。Structural and Return Characteristics of Small and Large Firms。Journal of Finance,46(4),1467-1484。 |
23. | Malkiel, Burton G.、Xu, Yexiao(1997)。Risk and return revisited。The Journal of Portfolio Management,23(3),9-14。 |
24. | Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。 |
25. | 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。 |
26. | Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance,49(5),1541-1578。 |
27. | Rosenberg, Barr、Reid, Kenneth、Lanstein, Ronald(1985)。Persuasive evidence of market inefficiency。Journal of Portfolio Management,11(3),9-16。 |
28. | Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。 |
29. | Roll, R. C.(198109)。A Possible Explanation of the Small Firm Effect。The Journal of Finance,36,879-888。 |
30. | 陳安琳、Tu, Eva H.(2002)。The Determinants for Stock Returns in Emerging Market: The Case of Taiwan。Studies in Economics and Finance,21(1),61-80。 |
31. | Fong, W. M.、Lean, H. H.、Wong, W. K.(2005)。International Momentum Strategies: A Stochastic Dominance Approach。Journal of Financial Market,8(1),89-109。 |
32. | Mills, H.(1970)。On the Measurement of Fund Performance。The Journal of Finance,25,1125-1131。 |
33. | Reinganum, M. R.(1981)。A New Empirical Perspective on the CAPM。Journal of Financial and Quantitative Analysis,16,439-462。 |