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題名 學術研究對於股票報酬可預測性之影響：以台灣股票市場為例
The Impact of Academic Research on the Predictability of Stock Returns in Taiwan Stock Market
作者 陳靖倫
Chen, Ching-Lun
貢獻者 鍾令德
陳靖倫
Chen, Ching-Lun
關鍵詞 因子投資
發表效果
統計偏誤
Factor investing
Publication effect
Statistical biases
日期 2023
上傳時間 6-Jul-2023 16:29:52 (UTC+8)
摘要 因子投資法讓投資人有系統地選擇投資組合，其建設方式既直接且透明度高，故日漸受到實務界及學界的青睞。然而過去的投資績效並不保證未來的收益，隨著數以百計的因子的出現，亦有諸多學者質疑因子在不同市場及時間的預測能力。本研究彙整36個台灣股票市場證實有效預測橫斷面報酬之財務特徵，透過回測以檢視特徵排序所建立之多空因子投資策略，並參考McLean and Pontiff(2016)的研究方法評估各因子在學術研究發表前、後的表現。在我們所檢視的36個因子中，僅在4個因子發現負的發表效果，可證因子之學術研究發表效果於台股、美股市場不盡相同。
Factor investing gives investors a systematic approach to selecting investment portfolios, and its construction is intuitive and transparent. As a result, it becomes increasingly popular among practitioners and academics. However, past investment performance does not guarantee future returns. With the emergence of hundreds of factors, researchers are growingly concerned about the validity of factors across different markets and time periods. In this study, we re-examine 36 stock characteristics that are effective in predicting cross-sectional returns in the Taiwan stock market. Following McLean and Pontiff(2016), we first sort stocks by their characteristics to form longshort strategies, we then measure their performance before and after their academic research publications. It turns out that only 4 out of 36 factors exhibit negative publication effects, suggesting that the academic publications on factor investing impact the Taiwan and U.S. stock markets differently.
參考文獻 Altman, Edward I, 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, The Journal of Finance 23, 589–609.
Alwathainani, Abdulaziz M, 2009, Consistency of firms’ past financial performance measures and future returns, The British Accounting Review 41, 184–196.
Ball, Ray, Joseph Gerakos, Juhani T Linnainmaa, and Valeri Nikolaev, 2016, Accruals, cash flows, and operating profitability in the cross section of stock returns, Journal of Financial Economics 121, 28–45.
Ball, Ray, SP Kothari, and Jay Shanken, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79–107.
Banz, Rolf W, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18.
Basu, Sanjoy, 1977, Investment performance of common stocks in relation to their priceearnings ratios: A test of the efficient market hypothesis, The Journal of Finance 32, 663–682.
Black, Fischer, 1993, Beta and return, Journal of Portfolio Management 20, 8–18.
Bradshaw, Mark T, Scott A Richardson, and Richard G Sloan, 2006, The relation between corporate financing activities, analysts＇forecasts and stock returns, Journal of Accounting and Economics 42, 53–85.
Brown, Stephen J, and William N Goetzmann, 1995, Performance persistence, The Journal of Finance 50, 679–698.
Brown, Stephen J, William N Goetzmann, and Stephen A Ross, 1995, Survival, The Journal of Finance 50, 853–873.
Cakici, Nusret, Kudret Topyan, and Chia-Jane Wang, 2014, Cross-sectional return predictability in Taiwan stock exchange: An empirical investigation, Review of Pacific Basin Financial Markets and Policies 17, 1450010.
Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.
Chan, Louis KC, Josef Lakonishok, and Theodore Sougiannis, 2001, The stock market valuation of research and development expenditures, The Journal of Finance 56, 2431–2456.
Chen, Andrew Y, and Tom Zimmermann, 2022, Open source cross sectional asset pricing, Critical Finance Review 27, 207 264.
Chopra, Navin, Josef Lakonishok, and Jay R Ritter, 1992, Measuring abnormal performance: Do stocks overreact?, Journal of Financial Economics 31, 235–268.
Chordia, Tarun, Avanidhar Subrahmanyam, and Qing Tong, 2014, Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?, Journal of Accounting and Economics 58, 41–58.
Chui, Andy CW, and KC John Wei, 1998, Book-to-market, firm size, and the turn-ofthe- year effect: Evidence from Pacific-Basin emerging markets, Pacific-Basin Finance Journal 6, 275–293.
Cochrane, John H, 1999, Portfolio advice for a multifactor world, FRB Chicago Economic Perspective 23, 59–78.
Cochrane, John H, 2011, Presidential address: Discount rates, The Journal of Finance 66, 1047–1108.
Cooper, Michael J, Huseyin Gulen, and Michael J Schill, 2008, Asset growth and the cross-section of stock returns, The Journal of Finance 63, 1609–1651.
Daniel, Kent, and Sheridan Titman, 2006, Market reactions to tangible and intangible information, The Journal of Finance 61, 1605–1643.
Desai, Hemang, Shivaram Rajgopal, and Mohan Venkatachalam, 2004, Value-glamour and accruals mispricing: One anomaly or two?, The Accounting Review 79, 355–385.
Dichev, Ilia D, 1998, Is the risk of bankruptcy a systematic risk?, The Journal of Finance 53, 1131–1147.
Fairfield, Patricia M, J Scott Whisenant, and Teri Lombardi Yohn, 2003, Accrued earnings and growth: Implications for future profitability and market mispricing, The Accounting Review 78, 353–371.
Fama, Eugene F, 1991, Efficient capital markets: II, The Journal of Finance 46, 1575–1617.
Fama, Eugene F, and Kenneth R French, 1992, The cross section of expected stock returns, The Journal of Finance 47, 427–465.
Fama, Eugene F, and Kenneth R French, 1998, Value versus growth: The international evidence, The Journal of Finance 53, 1975–1999.
Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22.
Francis, Jennifer, Ryan LaFond, Per M Olsson, and Katherine Schipper, 2004, Costs of equity and earnings attributes, The Accounting Review 79, 967–1010.
Hafzalla, Nader, Russell Lundholm, and E Matthew Van Winkle, 2011, Percent accruals, The Accounting Review 86, 209–236.
Haugen, Robert A, and Nardin L Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics 41, 401–439.
Hirshleifer, David, Kewei Hou, Siew Hong Teoh, and Yinglei Zhang, 2004, Do investors overvalue firms with bloated balance sheets?, Journal of Accounting and Economics 38, 297–331.
Holthausen, Robert W, and David F Larcker, 1992, The prediction of stock returns using financial statement information, Journal of Accounting and Economics 15, 373-411.
Hovakimian, Armen, Tim Opler, and Sheridan Titman, 2001, The debt-equity choice, Journal of Financial and Quantitative Analysis 36, 1–24.
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance 48, 65–91.
Jiang, Jia-Ying, 2022, Cross-Sectional Return Predictability of Financial Indicators in Taiwan, Master’s thesis, National Chengchi University.
Jones, Jennifer J, 1991, Earnings management during import relief investigations, Journal of Accounting Research 29, 193–228.
Ko, Kuan-Cheng, Shinn-Juh Lin, Hsiang-Ju Su, and Hsing-Hua Chang, 2014, Value investing and technical analysis in taiwan stock market, Pacific-Basin Finance Journal 26, 14–36.
Kothari, Sagar P, Jay Shanken, and Richard G Sloan, 1995, Another look at the crosssection of expected stock returns, The Journal of Finance 50, 185–224.
Lakonishok, Josef, Andrei Shleifer, and Robert W Vishny, 1994, Contrarian investment, extrapolation, and risk, The Journal of Finance 49, 1541–1578.
Lamont, Owen, Christopher Polk, and Jesús Saá-Requejo, 2001, Financial constraints and stock returns, The Review of Financial Studies 14, 529–554.
LeBaron, Blake, 2000, The stability of moving average technical trading rules on the Dow Jones Index, Derivative Use, Trading and Regulation 5.
Li, Dongmei, 2011, Financial constraints, R&D investment, and stock returns, The Review of Financial Studies 24, 2974-3007.
Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.
Liu, Qi, Lei Lu, Bo Sun, and Hongjun Yan, 2015, A model of anomaly discovery, FRB International Fianace Discussion Paper.
Lo, Andrew W, and A Craig MacKinlay, 1990, Data-snooping biases in tests of financial asset pricing models, The Review of Financial Studies 3, 431–467.
Loughran, Tim, and Jay W Wellman, 2011, New evidence on the relation between the enterprise multiple and average stock returns, Journal of Financial and Quantitative Analysis 46, 1629–1650.
McLean, R David, and Jeffrey Pontiff, 2016, Does academic research destroy stock return predictability?, The Journal of Finance 71, 5–32.
Merton, Robert C, 1973, An intertemporal capital asset pricing model, Econometrica 41, 867–887.
Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783.
Muth, John F, 1961, Rational expectations and the theory of price movements, Econometrica 29, 315–335.
Ortiz-Molina, Hernán, and Gordon M Phillips, 2014, Real asset illiquidity and the cost of capital, Journal of Financial and Quantitative Analysis 49, 1–32.
Penman, Stephen H, Scott A Richardson, and Irem Tuna, 2007, The book-to-price effect in stock returns: accounting for leverage, Journal of Accounting Research 45, 427–467.
Pontiff, Jeffrey, and Artemiza Woodgate, 2008, Share issuance and cross-sectional returns, The Journal of Finance 63, 921–945.
Richardson, Scott A, Richard G Sloan, Mark T Soliman, and Irem Tuna, 2005, Accrual reliability, earnings persistence and stock prices, Journal of Accounting and Economics 39, 437–485.
Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 11, 9–16.
Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341–360.
Rouwenhorst, K Geert, 1998, International momentum strategies, The Journal of Finance 53, 267–284.
Sharpe, William F, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442.
Shumway, Tyler, 1997, The delisting bias in CRSP data, The Journal of Finance 52, 327–340.
Sloan, Richard G, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings?, The Accounting Review 289–315.
Soliman, Mark T, 2008, The use of DuPont analysis by market participants, The Accounting Review 83, 823–853.
Stattman, Dennis, 1980, Book values and stock returns, The Chicago MBA 4, 25–45.
Welch, Ivo, and Amit Goyal, 2008, A comprehensive look at the empirical performance of equity premium prediction, The Review of Financial Studies 21, 1455–1508.
Xie, Hong, 2001, The mispricing of abnormal accruals, The Accounting Review 76, 357–373.
描述 碩士
國立政治大學
國際經營與貿易學系
110351007
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351007
資料類型 thesis
dc.contributor.advisor 鍾令德zh_TW
dc.contributor.author (Authors) 陳靖倫zh_TW
dc.contributor.author (Authors) Chen, Ching-Lunen_US
dc.creator (作者) 陳靖倫zh_TW
dc.creator (作者) Chen, Ching-Lunen_US
dc.date (日期) 2023en_US
dc.date.accessioned 6-Jul-2023 16:29:52 (UTC+8)-
dc.date.available 6-Jul-2023 16:29:52 (UTC+8)-
dc.date.issued (上傳時間) 6-Jul-2023 16:29:52 (UTC+8)-
dc.identifier (Other Identifiers) G0110351007en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145779-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 110351007zh_TW
dc.description.abstract (摘要) 因子投資法讓投資人有系統地選擇投資組合，其建設方式既直接且透明度高，故日漸受到實務界及學界的青睞。然而過去的投資績效並不保證未來的收益，隨著數以百計的因子的出現，亦有諸多學者質疑因子在不同市場及時間的預測能力。本研究彙整36個台灣股票市場證實有效預測橫斷面報酬之財務特徵，透過回測以檢視特徵排序所建立之多空因子投資策略，並參考McLean and Pontiff(2016)的研究方法評估各因子在學術研究發表前、後的表現。在我們所檢視的36個因子中，僅在4個因子發現負的發表效果，可證因子之學術研究發表效果於台股、美股市場不盡相同。zh_TW
dc.description.abstract (摘要) Factor investing gives investors a systematic approach to selecting investment portfolios, and its construction is intuitive and transparent. As a result, it becomes increasingly popular among practitioners and academics. However, past investment performance does not guarantee future returns. With the emergence of hundreds of factors, researchers are growingly concerned about the validity of factors across different markets and time periods. In this study, we re-examine 36 stock characteristics that are effective in predicting cross-sectional returns in the Taiwan stock market. Following McLean and Pontiff(2016), we first sort stocks by their characteristics to form longshort strategies, we then measure their performance before and after their academic research publications. It turns out that only 4 out of 36 factors exhibit negative publication effects, suggesting that the academic publications on factor investing impact the Taiwan and U.S. stock markets differently.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻回顧 4
第一節 因子投資之發展脈絡 4
第二節 關於因子投資有效性的學術辯論 4
第三節 投資因子之預測效力 6
第四節 學術研究對於因子效力之影響 6
第五節 台灣股票市場之因子投資相關研究 7
第三章 研究資料與方法 8
第一節 資料來源 8
第二節 財務特徵說明 8
第三節 投資組合建構及報酬計算方式 15
第四節 研究發表對因子影響之評估方法 16
第四章 研究結果與分析 18
第一節 投資組合報酬率之變化 18
第二節 因子研究發表之效果 23
第五章 結論與建議 31
第一節 結論 31
第二節 限制與建議 32
參考文獻 33
附錄 39		zh_TW
dc.format.extent 1636874 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351007en_US
dc.subject (關鍵詞) 因子投資zh_TW
dc.subject (關鍵詞) 發表效果zh_TW
dc.subject (關鍵詞) 統計偏誤zh_TW
dc.subject (關鍵詞) Factor investingen_US
dc.subject (關鍵詞) Publication effecten_US
dc.subject (關鍵詞) Statistical biasesen_US
dc.title (題名) 學術研究對於股票報酬可預測性之影響：以台灣股票市場為例zh_TW
dc.title (題名) The Impact of Academic Research on the Predictability of Stock Returns in Taiwan Stock Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Altman, Edward I, 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, The Journal of Finance 23, 589–609.
Alwathainani, Abdulaziz M, 2009, Consistency of firms’ past financial performance measures and future returns, The British Accounting Review 41, 184–196.
Ball, Ray, Joseph Gerakos, Juhani T Linnainmaa, and Valeri Nikolaev, 2016, Accruals, cash flows, and operating profitability in the cross section of stock returns, Journal of Financial Economics 121, 28–45.
Ball, Ray, SP Kothari, and Jay Shanken, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79–107.
Banz, Rolf W, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18.
Basu, Sanjoy, 1977, Investment performance of common stocks in relation to their priceearnings ratios: A test of the efficient market hypothesis, The Journal of Finance 32, 663–682.
Black, Fischer, 1993, Beta and return, Journal of Portfolio Management 20, 8–18.
Bradshaw, Mark T, Scott A Richardson, and Richard G Sloan, 2006, The relation between corporate financing activities, analysts＇forecasts and stock returns, Journal of Accounting and Economics 42, 53–85.
Brown, Stephen J, and William N Goetzmann, 1995, Performance persistence, The Journal of Finance 50, 679–698.
Brown, Stephen J, William N Goetzmann, and Stephen A Ross, 1995, Survival, The Journal of Finance 50, 853–873.
Cakici, Nusret, Kudret Topyan, and Chia-Jane Wang, 2014, Cross-sectional return predictability in Taiwan stock exchange: An empirical investigation, Review of Pacific Basin Financial Markets and Policies 17, 1450010.
Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.
Chan, Louis KC, Josef Lakonishok, and Theodore Sougiannis, 2001, The stock market valuation of research and development expenditures, The Journal of Finance 56, 2431–2456.
Chen, Andrew Y, and Tom Zimmermann, 2022, Open source cross sectional asset pricing, Critical Finance Review 27, 207 264.
Chopra, Navin, Josef Lakonishok, and Jay R Ritter, 1992, Measuring abnormal performance: Do stocks overreact?, Journal of Financial Economics 31, 235–268.
Chordia, Tarun, Avanidhar Subrahmanyam, and Qing Tong, 2014, Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?, Journal of Accounting and Economics 58, 41–58.
Chui, Andy CW, and KC John Wei, 1998, Book-to-market, firm size, and the turn-ofthe- year effect: Evidence from Pacific-Basin emerging markets, Pacific-Basin Finance Journal 6, 275–293.
Cochrane, John H, 1999, Portfolio advice for a multifactor world, FRB Chicago Economic Perspective 23, 59–78.
Cochrane, John H, 2011, Presidential address: Discount rates, The Journal of Finance 66, 1047–1108.
Cooper, Michael J, Huseyin Gulen, and Michael J Schill, 2008, Asset growth and the cross-section of stock returns, The Journal of Finance 63, 1609–1651.
Daniel, Kent, and Sheridan Titman, 2006, Market reactions to tangible and intangible information, The Journal of Finance 61, 1605–1643.
Desai, Hemang, Shivaram Rajgopal, and Mohan Venkatachalam, 2004, Value-glamour and accruals mispricing: One anomaly or two?, The Accounting Review 79, 355–385.
Dichev, Ilia D, 1998, Is the risk of bankruptcy a systematic risk?, The Journal of Finance 53, 1131–1147.
Fairfield, Patricia M, J Scott Whisenant, and Teri Lombardi Yohn, 2003, Accrued earnings and growth: Implications for future profitability and market mispricing, The Accounting Review 78, 353–371.
Fama, Eugene F, 1991, Efficient capital markets: II, The Journal of Finance 46, 1575–1617.
Fama, Eugene F, and Kenneth R French, 1992, The cross section of expected stock returns, The Journal of Finance 47, 427–465.
Fama, Eugene F, and Kenneth R French, 1998, Value versus growth: The international evidence, The Journal of Finance 53, 1975–1999.
Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22.
Francis, Jennifer, Ryan LaFond, Per M Olsson, and Katherine Schipper, 2004, Costs of equity and earnings attributes, The Accounting Review 79, 967–1010.
Hafzalla, Nader, Russell Lundholm, and E Matthew Van Winkle, 2011, Percent accruals, The Accounting Review 86, 209–236.
Haugen, Robert A, and Nardin L Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics 41, 401–439.
Hirshleifer, David, Kewei Hou, Siew Hong Teoh, and Yinglei Zhang, 2004, Do investors overvalue firms with bloated balance sheets?, Journal of Accounting and Economics 38, 297–331.
Holthausen, Robert W, and David F Larcker, 1992, The prediction of stock returns using financial statement information, Journal of Accounting and Economics 15, 373-411.
Hovakimian, Armen, Tim Opler, and Sheridan Titman, 2001, The debt-equity choice, Journal of Financial and Quantitative Analysis 36, 1–24.
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance 48, 65–91.
Jiang, Jia-Ying, 2022, Cross-Sectional Return Predictability of Financial Indicators in Taiwan, Master’s thesis, National Chengchi University.
Jones, Jennifer J, 1991, Earnings management during import relief investigations, Journal of Accounting Research 29, 193–228.
Ko, Kuan-Cheng, Shinn-Juh Lin, Hsiang-Ju Su, and Hsing-Hua Chang, 2014, Value investing and technical analysis in taiwan stock market, Pacific-Basin Finance Journal 26, 14–36.
Kothari, Sagar P, Jay Shanken, and Richard G Sloan, 1995, Another look at the crosssection of expected stock returns, The Journal of Finance 50, 185–224.
Lakonishok, Josef, Andrei Shleifer, and Robert W Vishny, 1994, Contrarian investment, extrapolation, and risk, The Journal of Finance 49, 1541–1578.
Lamont, Owen, Christopher Polk, and Jesús Saá-Requejo, 2001, Financial constraints and stock returns, The Review of Financial Studies 14, 529–554.
LeBaron, Blake, 2000, The stability of moving average technical trading rules on the Dow Jones Index, Derivative Use, Trading and Regulation 5.
Li, Dongmei, 2011, Financial constraints, R&D investment, and stock returns, The Review of Financial Studies 24, 2974-3007.
Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.
Liu, Qi, Lei Lu, Bo Sun, and Hongjun Yan, 2015, A model of anomaly discovery, FRB International Fianace Discussion Paper.
Lo, Andrew W, and A Craig MacKinlay, 1990, Data-snooping biases in tests of financial asset pricing models, The Review of Financial Studies 3, 431–467.
Loughran, Tim, and Jay W Wellman, 2011, New evidence on the relation between the enterprise multiple and average stock returns, Journal of Financial and Quantitative Analysis 46, 1629–1650.
McLean, R David, and Jeffrey Pontiff, 2016, Does academic research destroy stock return predictability?, The Journal of Finance 71, 5–32.
Merton, Robert C, 1973, An intertemporal capital asset pricing model, Econometrica 41, 867–887.
Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783.
Muth, John F, 1961, Rational expectations and the theory of price movements, Econometrica 29, 315–335.
Ortiz-Molina, Hernán, and Gordon M Phillips, 2014, Real asset illiquidity and the cost of capital, Journal of Financial and Quantitative Analysis 49, 1–32.
Penman, Stephen H, Scott A Richardson, and Irem Tuna, 2007, The book-to-price effect in stock returns: accounting for leverage, Journal of Accounting Research 45, 427–467.
Pontiff, Jeffrey, and Artemiza Woodgate, 2008, Share issuance and cross-sectional returns, The Journal of Finance 63, 921–945.
Richardson, Scott A, Richard G Sloan, Mark T Soliman, and Irem Tuna, 2005, Accrual reliability, earnings persistence and stock prices, Journal of Accounting and Economics 39, 437–485.
Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 11, 9–16.
Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341–360.
Rouwenhorst, K Geert, 1998, International momentum strategies, The Journal of Finance 53, 267–284.
Sharpe, William F, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442.
Shumway, Tyler, 1997, The delisting bias in CRSP data, The Journal of Finance 52, 327–340.
Sloan, Richard G, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings?, The Accounting Review 289–315.
Soliman, Mark T, 2008, The use of DuPont analysis by market participants, The Accounting Review 83, 823–853.
Stattman, Dennis, 1980, Book values and stock returns, The Chicago MBA 4, 25–45.
Welch, Ivo, and Amit Goyal, 2008, A comprehensive look at the empirical performance of equity premium prediction, The Review of Financial Studies 21, 1455–1508.
Xie, Hong, 2001, The mispricing of abnormal accruals, The Accounting Review 76, 357–373.		zh_TW