參考文獻 |
Altman, Edward I., 1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance 23, 589-609.
Amihud, Yakov, 2002. Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Markets 5, 31-56.
Amihud, Yakov, Mendelson, Haim, 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics 17, 223-249.
Atkins, Allen B., Dyl, Edward A., 1997. Market structure and reported trading volume: NASDAQ vs the NYSE. Journal of Financial Research 20, 291-304.
Bai, Jushan, Perron, Pierre, 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78.
Bai, Jushan, Perron, Pierre, 2001. Multiple structural change models: a simulation analysis. Working paper.
Baker, Malcolm, Stein, Jeremy C., 2004. Market liquidity as a sentiment indicator. Journal of Financial Markets 7, 271-299.
Banz, Rolf W., 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9, 3-18.
Black, Fischer, 1972. Capital market equilibrium with restricted borrowing. Journal of Business 45, 444-455.
Black, Fischer, Jensen, Michael C., Scholes, Myron S., 1972. The capital asset pricing model: some empirical tests. In: Jensen, M.C., Eds, Studics in the Theory of Capital Martlets, (New York: Praeger).
Blume, Marshall E., Friend, Irwin, 1973. A new look at the capital asset pricing model. Journal of Finance 28, 19-33.
Breeden, Douglas T., 1979. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7, 265-296.
Brennan, Michael J., Chordia, Tarun, Subrahmanyam, Avanidhar, 1998. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics 49, 345-373.
Brennan, Michael J., Subrahmanyam, Avanidhar, 1996. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics 41, 341-364.
Chan, K.C., Chen, Nai-fu, 1991. Structural and return characteristics of small and large firms. Journal of Finance 46, 1467-1484.
Chou, Pin-Huang, Ko, Kuan-Cheng, 2008. Characteristics, covariances, and structural breaks. Economics Letters 100, 31-34.
Connor, Gregory, Korajczyk, Robert A., 1988. Risk and return in an equilibrium APT: application of a new test methodology. Journal of Financial Economics 21, 255-290.
Daniel, Kent, Titman, Sheridan, Wei, K. C. John, 2001. Explaining the crosssection of stock returns in Japan: factors or characteristics? Journal of Finance 56, 743-766.
Daniel, Kent, Titman, Sheridan, 1997. Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance 52, 1-33.
Datar, Vinay T., Naik, Narayan Y., Radcliffe, Robert, 1998. Liqudity and asset returns: an alternative test. Journal of Financial Markets 1, 203-220.
Davis, James L., Fama, Eugene F., French, Kenneth R., 2000. Characteristics, covariances, and average returns: 1929 to 1997. Journal of Finance 55, 389-406.
Dimson, Elroy, 1979. Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics 7, 197-226.
Fama, Eugene F., MacBeth, James, 1973. Risk and return: some empirical tests. Journal of Political Economy 81, 607-636.
Fama, Eugene F., French, Kenneth R., 1992. The cross section of expected stock returns. Journal of Finance 47, 427-466.
Fama, Eugene F., French, Kenneth R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
Fama, Eugene F., French, Kenneth R., 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50, 131-155.
Fama, Eugene F., French, Kenneth R., 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance 51, 55-84.
Fama, Eugene F., French, Kenneth R., 1998. Value versus growth: the international evidence. Journal of Finance 53, 1975-2000.
Fama, Eugene F., French, Kenneth R., 2006. The Value Premium and the CAPM. Journal of Finance 61, 2163-2185.
Fama, Eugene F., MacBeth, James, 1973. Risk and return: some empirical tests. Journal of Political Economy 81, 607-636.
Ferguson, Michael F., Shockley, Richard L., 2003. Equilibrium “anomalies”. Journal of Finance 58, 2549-2580.
Gervais, Simon, Kaniel, Ron, Mingelgrin, Dan H., 2001. The high-volume return premium. Journal of Finance 56, 877-919.
Haugen, Robert A., 1995. The new finance: the case against efficient markets (Prentice Hall: Englewood Cliffs, New Jersey.)
Jegadeesh, Narasimhan, Titman, Sheridan, 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 43, 65-91.
Jones, Charles M., 2002. A century of stock market liquidity and trading costs. Working Paper, Columbia University.
Knez, Peter J., Ready, Mark J., 1997. On the robustness of size and book-to-market in cross-sectional regressions. Journal of Finance 52, 1355-1382.
Lakonishok, Josef, Shleifer, Andrei, Vishny, Robert W., 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49, 1541-1578.
Lintner, John, 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47, 13-37.
Liu, Weimin, 2006. A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82, 631-671.
Lo, Andrew W., MacKinlay, A. Craig, 1990. Data-snooping biases in tests of financial asset pricing models. Review of Financial Studies 3, 431-468.
Merton, Robert C., 1973. An intertemporal capital asset pricing model. Econometrica 41, 867-887.
Pastor, Lubos, Stambaugh, Robert F., 2003. Liquidity risk and expected stock returns. Journal of Political Economy 111, 642-685.
Petkova, Ralitsa, 2006. Do the Fama-French factors proxy for innovations in predictive variables? Journal of Finance 61, 581-612.
Roll, Richard, 1977. A critique of the asset pricing theory’s tests: on past and potential testability of theory. Journal of Financial Economics 4, 129-176.
Sharpe, William F., 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19, 425-442.
Zhou Guofu, 1999. Security factors as linear combinations of economic variables. Journal of Financial Markets 2, 403-432. |