參考文獻 |
一、 英文參考文獻
[1] Bhardwaj, R. K., & Brooks, L. D., 1993, “Dual Betas from Bull and Bear Markets: Reversal of the Size Effects,” Journal of Financial Research, 16, 269-283.
[2] Bonin, J. M. & Moses, E. A., 1974, “Seasonal Variations in Prices of Individual Dow-Jones Industrial Stocks,” Journal of Financial and Quantitative Analysis, 9, 963–991
[3] Chan, K., A. Hameed, & W. Tong, 2000, “Profitablity of Momentum Strategies in the international Equity Market,” Journal of Financial and Quantitative Analysis 35, 153-172.
[4] Chou, P. H., Wei, K.C.J., & Chung, H., 2007, “Sources of Contrarian Profits in the Japanese Stock Market,” Journal of Empirical Finance, 14, 261-286.
[5] Conrad, J., & G. Kaul, 1998, “An Anatomy of Trading Strategies,” Review of Financial Studes 11, 489-519.
[6] De Bondt, W.F.M. and Richard H. Thaler, 1985, “Does the Stock Market Overreact?” Journal of Finance, 40, 793-808.
[7] De Bondt, W.F.M. and Richard H. Thaler, 1987, “Further Evidence on Investor Overreaction and Stock Market Seasonality,” Journal of Finance, 42, 557-581.
[8] Davison, Wallance N, III, 1989, ”A Note on The Behavior of Security return: A Test of Stock Market overreaction and efficiency,“ Journal of Finance Research, 4, 245-252.
[9] Fabozzi, F. J. and Francis, J.C., 1977, “Stability Tests for Alpha and Betas Over Bull and Bear Market Conditions,” Journal of Finance, 32, 1093-1099.
[10] Gultekin, M. N. and Gultekin, N. B., 1983, “Stock Market Seasonality: International Evidence,” Journal of Financial Economics, 12, 4, 469-481.
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[11] Hong, Harrison, and Jeremy C. Stein, 1999, “A Unifed Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets,” Journal of Finance, 54, 2143-2184.
[12] Jegadeesh, Narasimhan, and Sheridan Titman, 1993, “Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 48, 65-91.
[13] Jegadeesh, Narasimhan, and Sheridan Titman, 2001, “Profitability of Momentum Strategies: An Ealuation of Alternative Explanations,” Journal of Finance, 56, 699-720.
[14] Keim, D. B., 1983, “Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence,” Journal of Financial Economics, 12, 1, 13-32.
[15] Kato, K and Schallheim, J. S., 1985, “The Week-End Effect in Common Stock Returns: The International Evidence,” Journal of Finance, 40, 2, 433-454.
[16] Lee, I., 1992, “Stock Market Seasonality: Some Evidence from the Pacific-Basin Countries,” Journal of Business Finance & Accounting, 19, 2, 199-210.
[17] Lehmann, B., 1990, “Fads, Martingales and Market Efficiency,“ Quarterly Journal of Economics, 105, 1-28.
[18] Lakonishok, J., A. Shleifer, and R.W. Vishny, 1994, “Contrarian Investment, Extrapolation, and Risk,“ Journal of Finance, 49, 1541-1578.
[19] Moon K. Kim and Badr E. Ismail, 1998, “An accounting Analysis of the Risk-Return Relationship in Bull and Bear Market, “Review of Financial Economics, 7, 173-182.
[20] Officer, R. R., 1975,”Seasonalities in Australian Capital Markets: Market Efficiency and Empirical Issues,” Journal of Financial Economics, 2, 29-51.
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[21] Richards, A. J., 1995, “Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?” Journal of Finance, 52, 2129-2144.
[22] Rouwenhorst, K. G., 1998, “International Momentum Strategies,” Journal of Finance, 53, 267-284.
[23] Rozeff, M. S. and Kinney, W. R., 1976, “Capital Market Seasonality: The Case of Stock Returns,” Journal of Financial Economics, 3, 379-402
[24] Tong, W. H. S., 1992, “An Analysis of the January Effect of United States, Taiwan and South Korean Stock Returns,” Asia Pacific Journal of Management, 9, 2, 189-207.
[25] Zarowin, P., 1990, “Size, Seasonality and Stock Market Overreaction,” Journal of Financial and Quantitative Analysis, 25, 113-1125.
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二、中文參考文獻
[1] 彭建偉,「各種動能策略在台灣股市的獲利性分析」,國立暨南國際大學財務金融學系研究所,碩士論文,民國100年
[2] 楊子德,「52週高價動能策略、價格動能策略、產業動能策略於台灣股票市場的獲利性比較與分析」,國立政治大學財務管理研究所,碩士論文,民國96年
[3] 張定喬,「動能策略與反向策略在台灣指數期貨市場之獲利能力」,國立交通大學財務金融研究所,碩士論文,民國100年
[4] 黃志弘,「台灣各類股股價變動之型態及結合動能策略與反向策略之交易測試」,國立臺北大學經濟學系研究所,碩士論文,民國99年
[5] 邱文志,「臺灣股票市場動能策略剖析-以次貸風暴期間為例」,國立中正大學財務金融研究所,碩士論文,民國99年
[6] 陳誌原,「動能策略與景氣循環」,國立中正大學財務金融研究所,碩士論文,民國97年
[7] 邱俞華,「中長期動能策略之研究:以台灣股市為例」,國立政治大學財務管理研究所,碩士論文,民國95年 |