STATTMAN D. Book Value and Stock Returns[J]. The Chicago MAB:A Journal of Selected Papers, 1980(4):25-45.
|
BANZ R W. The Relationship Between Return and Market Value of Common Stocks[J]. Journal of Financial Economics, 1981, 9(1):3-18.
|
JEGADEESH N, TITMAN S. Returns to Buying Winners and Selling Losers:Implications of Stock Market Efficiency[J]. Journal of Finance, 1993, 48(1):65-91.
|
AMIHUD Y. Illiquidity and Stock Returns:Cross-Section and Time Series Effect[J]. Journal of Financial Market, 2002, 5(1):31-56.
|
LOUGHRAN T, RITTER J R. The New Issues Puzzle[J]. The Journal of Finance, 1995, 50(1):23-51.
|
PANDEY A, SEHGAL S. Volatility Effect and the Role of Firm Quality Factor in Returns:Evidence from the Indian Stock Market[J]. Limb Management Review, 2017, 29(1):18-28.
|
FAMA E, FRENCH K R. Multifactor Explanations of Asset Pricing Anomalies[J]. Journal of Finance, 1996, 51(1):55-84.
|
LIEW J, VASSALOU M. Can Book-to-Market, Size and Momentum be Risk Factors That Predict Economic Growth?[J]. Social Science Electronic Publishing, 2004, 57(2):221-245.
|
CHAN L K, LAKONISHOK J. Value and Growth Investing:Review and Update[J]. Financial Analysts Journal, 2004, 60(1):71-86. doi: 10.2469/faj.v60.n1.2593
|
HOROWITZ J L, LOUGHRAN T, SAVIN N E. The Disappearing of Size Effect[J]. Research in Economics, 2000, 54(1):83-100.
|
GRIFFIN M J, JI X, MARTIN S. Momentum Investing and Business Cycle Risk:Evidence from Pole to Pole[J]. Journal of Finance, 2003, 58(6):2515-2547.
|
ROUWENHORST K G. International Momentum Strategies[J]. Journal of Finance, 1998, 53(1):267-284.
|
ROUWENHORST K G. Local Return Factors and Turnover in Emerging Stock Markets[J]. Journal of Finance, 1999, 54(4):1439-1464.
|
CAKICI N, FABOZZI F J, TAN S. Size, Value and Momentum in Emerging Market Stock Returns[J]. Emerging Markets Review, 2013, 16(9):46-65.
|
CLARKE R, DESILVA H, THORLEY S. Minimum-Variance Portfolios in the U. S. Equity Market[J]. The Journal of Portfolio Management, 2006, 33(1):10-24. doi: 10.3905/jpm.2006.661366
|
ANG A, HODRICK R, XING Y, ZHANG X. The Cross Section of Volatility and Expected Returns[J]. Journal of Finance, 2006, 61(1):259-299.
|
BLITZ D, VLIET V. The Volatility Effect:Lower Risk Without Lower Return[J]. Journal of Portfolio Management, 2007, 34(1):102-113.
|
WANG Y, MA J. Excess Volatility and the Cross-Section of Stock Returns[J]. The North America Journal of Economics and Finance, 2014, 27(3):1-16.
|
吴世农, 许年行.资产的理性定价模型和非理性定价模型的比较研究[J].经济研究, 2004, 39(6):105-116.
|
田利辉, 王冠英, 张伟.三因素模型定价:中国与美国有何不同?[J].国际金融研究, 2014(7):37-45.
|
曾贵, 李轶敏.价值投资在我国股市的适用性研究[J].湖南财政经济学院学报, 2015, 31(3):61-68. doi: 10.3969/j.issn.2095-1361.2015.03.009
|
高春亭, 周孝华.公司盈利、投资与资产定价:基于中国股市的实证[J].管理工程学报, 2016, 30(4):25-33.
|
张峥, 刘力.换手率与股票收益:流动性溢价还是投机性泡沫?[J].经济学(季刊), 2006, 5(3):871-892.
|
周亮.影响股票收益的基本面因子略探——基于中小板上市公司的实证分析[J].金融理论与实践, 2017(2):93-98. doi: 10.3969/j.issn.1003-4625.2017.02.016
|
周亮.股灾是否改变了股市的投资逻辑——基于A股面板数据的研究[J].金融理论探索, 2017(4):38-45. doi: 10.3969/j.issn.1006-3544.2017.04.006
|
高秋明, 胡聪慧, 燕翔.中国A股市场动量效应的特征和形成机理研究[J].财经研究, 2014, 40(2):97-107.
|
舒建平, 肖契志, 王苏生.动量效应与反转效应的演化:基于深圳A股市场的实证[J].管理评论, 2012, 24(1):52-57.
|
鲁臻, 邹恒甫.中国股市的惯性与反转效应研究[J].经济研究, 2007, 42(9):145-155. doi: 10.3969/j.issn.1005-913X.2007.09.062
|
ROGER K, BASSETT G. Regression Quantiles[J]. Econometrica, 1978, 46(1):33-50.
|
高铁梅.计量经济分析方法与建模[M].北京:清华大学出版社, 2009.
|
PARKINSON M. The Extreme Value Method for Estimating the Variance of the Rate of Return[J]. Journal of Business, 1980, 53(1):61-65.
|
STAMBAUGH R F, YU J, YUAN Y. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle[J]. Journal of Finance, 2015, 70(5):1903-1948. doi: 10.1111/jofi.12286
|