Page 32 - MFB24論文-王維彤2024final
P. 32

4. Baker, N. L., & Haugen, R. A. (2012), “ Low risk stocks outperform

                        within all observable markets of the world,” Available at SSRN

                        2055431.


                   5. 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 (2), 427-446.


                   6. Barberis, N., & Huang, M. (2008), “ Stocks as lotteries: The

                        implications of probability weighting for security prices,” American

                        Economic Review, 98 (5), 2066-2100.



                   7. Blitz, D., & Van Vliet, P. (2007), “ The volatility effect: Lower risk

                        without lower return,” Journal of Portfolio Management, 102-113.


                   8. Blitz, D., Pang, J., & Van Vliet, P. (2013), “ The volatility effect in

                        emerging markets,” Emerging Markets Review, 16, 31-45.


                   9. Black, F., Jensen, M. C., & Scholes, M. (1972), “The capital asset

                        pricing     model:      Some       empirical      tests,”    Available      at

                        SSRN:https://ssrn.com/abstract=908569



                   10. Carhart, Mark M. (1995), “On the Existence of Factors in Returns,”

                        The Journal of Finance 50 (5), 1543-1573.


                   11. Fama, E. F. (1970), “Efficient capital markets: A review of theory and

                        empirical work,” Journal of Finance, 25 (2), 383-417.



                   12. Frazzini, A., & Pedersen, L. H. (2014), “Betting against beta,”

                        Journal of Financial Economics, 111 (1), 1-25.

                   13. Garcia-Feijóo, L., Kochard, L., Sullivan, R. N., & Wang, P. (2015),

                        “Low-volatility cycles: The influence of valuation and momentum on



                                                            30
   27   28   29   30   31   32   33