參考文獻 |
Albuquerque, R., 2012. Skewness in stock returns: Reconciling the evidence on firm versus aggregate returns. Review of Financial Studies 25, 1630-1673.
Ali, A., Hwang, L.-S., Trombley, M.A., 2003. Arbitrage risk and the book-to-market anomaly. Journal of Financial Economics 69, 355-373.
Antoniou, C., Doukas, J.A., Subrahmanyam, A., 2013. Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis 48, 245-275.
Baker, M., Wurgler, J., 2006, Investor sentiment and the cross-section of stocks returns. Journal of Finance 61, 1645-1680.
Bali, T.G., Cakici, N., Whitelaw, R.F., 2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics 99, 427-446.
Barber, B.M., Odean, T., 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21, 785-818.
Barberis, N., 2013. Thirty years of prospect theory in economics: A review and assessment. Journal of Economic Perspectives 27, 173-195.
Barberis, N., Shleifer, A., Vishny, R.W., 1998. A model of investor sentiment. Journal of Financial Economics 49, 307-343.
Barberis, N., Thaler, R., 2003. A survey of behavior finance. In: Constantinides, G., Harris, M., Stulz, R. (Ed), Handbook of the Economics of Finance. North-Holland, Boston, pp. 1053-1128.
Bhushun, R., 1994. An informational efficiency perspective on the post-earnings announcement drift. Journal of Accounting and Economics 18, 45-65.
Bordalo, P., Gennaioli, N., Shleifer, A., 2013a. Salience and consumer choice. Journal of Political Economy 121, 803-843.
Bordalo, P., Gennaioli, N., Shleifer, A., 2013b. Salience and asset prices. American Economic Review: Papers & Proceedings 103, 623-628.
Boyer, B., Mitton, T., Vorkink, K., 2010. Expected idiosyncratic skewness. Review of Financial Studies 23, 169-202.
Carhart, M.M., 1997. On persistence in mutual fund performance. Journal of Finance 52, 57-82.
Chen, N.-F., Roll, R., Ross, S.A., 1986. Economic forces and the stock market. Journal of Business 59, 383-403.
Chordia, T., Shivakumar, L., 2002. Momentum, business cycle and time-varying expected returns. Journal of Finance 57, 985-1019.
Cooper, M.J., Gutierrez Jr., R., Hameed, A., 2004. Market states and momentum. Journal of Finance 59, 1345-1365.
Corwin, S.A., Coughenour, J.F., 2008. Limited attention and the allocation of effort in securities trading. Journal of Finance 63, 3031-3067.
Da, Z., Gurun, U.G., Warachka, M., 2014. Frog in the pan: Continuous information and momentum. Review of Financial Studies 27, 2171-2218.
Daniel, K., Hirshleifer, D., Subrahmanyam, A., 1998. Investor psychology and security market under- and over-reactions. Journal of Finance 53, 1839-1885.
D’Avolio, G., 2002. The market for borrowing stock. Journal of Financial Economics 66, 271-306.
De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J., 1990. Noise trader risk in financial markets. Journal of Political Economy 98, 703-738.
Fama, E.F., 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25, 383-417.
Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
Fama, E.F., MacBeth, J., 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy 81, 607-636.
Festinger, L., 1957. A theory of cognitive dissonance. Stanford, CA: Stanford University Press.
George, T.J., Hwang, C.-Y., 2004. The 52-week high and momentum investing. Journal of Finance 5, 2145-2176.
George, T.J., Hwang, C.-Y., 2007. Long-term return reversals: Overreaction or taxes? Journal of Finance 6, 2865-2896.
Grinblatt, M., Moskowitz, T.J., 2004. Predicting stock price movements from past returns: The role of consistency and tax-loss selling. Journal of Financial Economics 71, 541-579.
Hirshleifer, D., Teoh, S.H., 2003. Limited attention, financial reporting, and disclosure. Journal of Accounting and Economics 36, 337-386.
Hirst, D.E., Hopkins, P.E., 1998. Comprehensive income reporting and analysts’ valuation judgements. Journal of Accounting Research 36, 47-75.
Hong, H., Stein, J., 1999. A unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance 54, 2143-2184.
Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 43, 65-91.
Kahneman, D., Tversky, A., 1979. Prospect theory: An analysis of decision under risk. Econometrica 47, 263-291.
Lakonishok, J., Shleifer, A., Vishny, R.W., 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49, 1541-1578.
Liu, L.X., Zhang, L., 2008. Momentum profits, factor pricing, and macroeconomic risk. Review of Financial Studies 21, 2417-2448.
Lo, A.W., MacKinlay, A.C., 1990. When are contrarian profits due to stock market overreaction? Review of Financial Studies 3, 175-205.
Miller, E.M., 1977. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151-1168.
Newey, W.K., West, K.D., 1987. Hypothesis testing with efficient method of moments estimation. International Economic Review 28, 777-787.
Petersen, M., 2004. Information: Hard and soft. Working Paper, Northwestern University.
Peng, L., Xiong, W., 2006. Investor attention, overconfidence and category learning. Journal of Financial Economics 80, 563-602.
Roll, R., 1983. Vas ist das? The turn of the year effect and the return premia of small firms. Journal of portfolio Management 9, 18-28.
Ross, S.A., 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13, 341-360.
Wright, J.H., 2000. Alternative variance-ratio tests using ranks and signs. Journal of Business and Economic Statistics 18, 1-9.
|