英文部分
Atiase, R. K. 1985. Predisclosure information, firm capitalization, and security price behavior around earnings announcements. Journal of Accounting Research 23 (Spring): 21-36.
Ball, R. and P. Brown 1968. An empirical evaluation of account numbers. Journal of Accounting Research 6 (2): 157-178.
Bamber, L. S. 1986. The information content of annual earnings release: A trading volume approach. Journal of Accounting Research 24 : 40-56.
. 1987. Unexpected earnings, firm size, and trading volume around quarterly earnings announcements. The Accounting Review 62 (July): 510-532.
, and Y. S. Cheon. 1995. Different price and volume reactions to accounting earnings announcements. The Accounting Review 70(July): 417-441.
Beaver, W. H. 1968. The information content of annual earnings announcements. Journal of Accounting Research 6 : 67-92.
Bhattacharya, N. 2001. Investors’ trade size and trading responses around earnings announcements: An empirical investigation. The Accounting Review 76 (April): 221-224.
Bhushan, R. 1989. Firm characteristics and analyst following. Journal of Financial Economics 11 (July): 255-274.
, 1989. Collection of information about publicly traded firms. Journal of Accounting and Economics 11: 183-206.
Bloomfield, R. J., R. Libby, and M. W. Nelson. 1998. Confidence and welfare of the less-informed investors. Working paper, Cornell University, Ithaca, NY.
Cheng, A. C. S., W. S. Hopwood, and J. C. McKeown. 1992. Non-linearity and specification problems in unexpected earnings response regression model. The Accounting Review 67 (July): 579-598.
Cready, W. M. 1988. Information value and investor wealth: The case of earnings announcements. Journal of Accounting Research 26 (Spring): 1-27.
Easley, D., and M. O’Hara. 1987. Price, trade size, and information in securities markets. Journal of Financial Economics 19 (September): 69-90.
El-Gazzar, S. M. 1998. Predisclosure information and institutional ownership: A cross-sectional examination of market revaluations during earnings announcement periods. The Accounting Review 73 (January): 119-129.
Grant, E. B. 1980. Market implications of differential amounts of interim information. Journal of Accounting Research 18 (Spring): 255-268.
Hashbrouck, J. 1988. Trades, quotes, inventories and information. Journal of Financial Economics 22 (December): 229-252.
Karpoff, J. M. 1987. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative 22 (March): 109-126.
Kyle, A. S. 1985. Continuous auction and insider trading. Econometrica 53 (November): 1315-1335.
Lee, C. M. C. 1992. Earnings news and small traders: An intraday analysis. Journal of Accounting and Economics 15 (June/September): 265-302.
, and B. Radhakrishna 2000. Inferring investor behavior: Evidence from TORQ data. Journal of Financial Markets 3 (2): 83-111.
Shores, D. 1990. The association between interim information and security return surrounding earnings announcements. Journal of Accounting Research (Spring): 164-181.
Zellner, A. 1962. An efficient method of estimating seemingly unrelated regression and tests for aggregation bias. Journal of American Statistical Association 57 (June): 34-368.
中文部分
王慧雯,「晚報推薦資訊對台灣股票市場影響之研究」,國立成功大學會計學系碩士論文,民國八十七年。李釗芹,「台灣上市公司自行宣告盈餘資訊內涵之研究」,私立東海大學企業管理研究所碩士論文,民國八十九年。朱建州,「機構投資人與月營收資訊內涵之關聯性研究—以台灣股市為例」,國立中正大學會計學研究所碩士論文,民國八十八年。沙毅勝,「台灣股票市場散戶與外資投資心理之比較研究」,銘傳大學國際企業管理研究所碩士論文,民國八十九年。
何冠蓁,「自營商投資策略與會計資訊關係之研究」,國立政治大學會計學研究所碩士論文,民國八十六年。邱承志,「上市公司季盈餘宣告與投信持股比例關係之研究」,國立政治大學會計學研究所碩士論文,民國八十七年。林宜勉,游淑禎,「盈餘宣告對台灣股市成交量之影響」,證券市場發展季刊 第十卷第二期,民國八十七年,頁116-146。松崗電腦圖書資料有限公司,「SAS/ETS套裝程式及中文手冊」,松崗電腦圖書資料有限公司,民國七十七年十二月初版。
拾巳寰,「台灣股票市場機構投資人與小額投資人股票購買行為差異性之研究」,逢甲大學經濟研究所碩士論文,民國七十九年。施生元,「投信、外資及散戶從眾行為之探討」,元智大學管理研究所碩士論文,民國九十年。施雪芬,「盈餘宣告時資訊強度與公司規模之關聯性研究」,國立台灣大學會計學研究所碩士論文,民國八十二年。郭玫君,「外資法人投資行為與會計資訊關係之研究」,國立政治大學會計學研究所碩士論文,民國八十六年。
黃子芬,「季盈餘宣告對交易量影響之研究」,國立台灣大學會計學研究所碩士論文,民國八十三年。辜見安,「每筆成交張數與股價波動關係之研究」,國立台灣大學會計學研究所碩士論文,民國八十七年。彭昭英,唐麗英,「SAS 1-2-3」,儒林圖書有限公司,民國八十九年二版。
鄭旻綺,「台灣股市機構投資人與一般投資人投資互動關係之研究」,實踐大學企業管理研究所碩士論文,民國九十年。蔡建樹譯,「Undergraduate Econometrics 初級計量經濟學」,台灣西書出版社,民國九十一年一月二版(R. Carter Hill, William E. Griffiths, George G. Judge 原著)。