一、英文部分
1.Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56.
2.Asquith, P., & Meulbroek, L.(1995). “ An empirical investigation of short interest. ”, Harvard University Working paper.
3.Asquith, P., Pathak, P. A., & Ritter, J. R. (2005). Short interest, institutional ownership, and stock returns. Journal of Financial Economics, 78(2), 243-276.
4.Barber, B. M., & Odean, T. (2007). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The review of financial studies, 21(2), 785-818.
5.Barberis, N., & Huang, M. (2008). Stocks as lotteries: The implications of probability weighting for security prices. American Economic Review, 98(5), 2066-2100.
6.Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of economic perspectives, 21(2), 129-152.
7.Bergsma, K., & Tayal, J. (2018). Short interest and lottery stocks. Financial Management, 48(1), 187-227.
8.Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3): 444-455.
9.Blitz, D. C., & van Vliet, P. (2007). The volatility effect.The Journal of Portfolio Management, 34(1):102-113.
10.Boehmer, E., & Wu, J. (2012). Short selling and the price discovery process. The Review of Financial Studies, 26(2), 287-322.
11.Boehmer, E., Jones, C. M., & Zhang, X. (2008). Unshackling short sellers: The repeal of the uptick rule. Columbia Business School, unpublished manuscript, December.
12.Boehmer, E., Huszar, Z. R., & Jordan, B. D. (2010). The good news in short interest. Journal of Financial Economics, 96(1), 80-97.
13.Brunnermeier, M. K., Gollier, C., & Parker, J. A. (2007). Optimal beliefs, asset prices, and the preference for skewed returns. American Economic Review, 97(2), 159-165.
14.Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
15.Chabi-Yo, F. (2011). Explaining the idiosyncratic volatility puzzle using stochastic discount factors. Journal of Banking & Finance, 35(8), 1971-1983.
16.Chakrabarty, B., Moulton, P. C., & Shkilko, A. (2012). Short sales, long sales, and the Lee–Ready trade classification algorithm revisited. Journal of Financial Markets, 15(4), 467-491.
17.Chou, P. H., Huang, T. Y., & Yang, H. J. (2013). Arbitrage risk and the turnover anomaly. Journal of Banking & Finance, 37(11), 4172-4182.
18.Desai, H., Ramesh, K., Thiagarajan, S. R., & Balachandran, B. V. (2002). An investigation of the informational role of short interest in the Nasdaq market. The Journal of Finance, 57(5), 2263-2287.
19.Dechow, P. M., Hutton, A. P., Meulbroek, L., & Sloan, R. G. (2001). Short-sellers, fundamental analysis, and stock returns. Journal of Financial Economics, 61(1), 77-106.
20.Diamond, D. W., & Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311.
21.Diether, K. B., Lee, K. H., & Werner, I. M. (2008). Short-sale strategies and return predictability. The Review of Financial Studies, 22(2), 575-607.
22.Duan, Y., Hu, G., & McLean, R. D. (2010). Costly arbitrage and idiosyncratic risk: Evidence from short sellers. Journal of Financial Intermediation, 19(4), 564-579.
23.Engelberg, J. E., Reed, A. V., & Ringgenberg, M. C. (2012). How are shorts informed?: Short sellers, news, and information processing. Journal of Financial Economics, 105(2), 260-278.
24.Fama, E. F., & French, K. R. (2015). Incremental variables and the investment opportunity set. Journal of Financial Economics, 117(3), 470-488.
25.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
26.Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.
27.Gao, X., & Lin, T. C. (2014). Do individual investors treat trading as a fun and exciting gambling activity? Evidence from repeated natural experiments. The Review of Financial Studies, 28(7), 2128-2166.
28.Gompers, P. A., & Metrick, A. (2001). Institutional investors and equity prices. The quarterly journal of Economics, 116(1), 229-259.
29.Guo, H., & Savickas, R. (2010). Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. Journal of Banking & Finance, 34(7), 1637-1649.
30.Han, B., & Kumar, A. (2013). Speculative retail trading and asset prices. Journal of Financial and Quantitative Analysis, 48(2), 377-404.
31.Hirshleifer, D. (2001). Investor psychology and asset pricing. The Journal of Finance, 56(4), 1533-1597.
32.Hobbs, J., Keasler, T. R., & McNeil, C. R. (2012). Short selling behavior and Mad Money. Financial Review, 47(1), 65-89.
33.Kumar, A. (2009). Who gambles in the stock market?. The Journal of Finance, 64(4), 1889-1933.
34.Kumar, A., & Lee, C. M. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451-2486.
35.Kumar, A., & Page, J. K. (2014). Deviations from norms and informed trading. Journal of Financial and Quantitative Analysis, 49(4), 1005-1037.
36.Kumar, A., Page, J. K., & Spalt, O. G. (2011). Religious beliefs, gambling attitudes, and financial market outcomes. Journal of Financial Economics, 102(3), 671-708.
37.Kolasinski, A. C., Cao, B., Reed, A. V., & Dhaliwal, D. S. (2007). Bears and numbers: Investigating how short sellers exploit and affect earnings-based pricing anomalies. Available at SSRN 748506.
38.Lamont, O. A., & Stein, J. C. (2004). Aggregate short interest and market valuations. American Economic Review, 94(2), 29-32.
39.Lasser, D. J., Wang, X., & Zhang, Y. (2010). The effect of short selling on market reactions to earnings announcements. Contemporary Accounting Research, 27(2), 609-638..
40.Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60(2), 151-158.
41.Miller, E. M. (1977). Risk, uncertainty, and divergence of opinion. The Journal of finance, 32(4), 1151-1168.
42.Ofek, E., Richardson, M., & Whitelaw, R. F. (2004). Limited arbitrage and short sales restrictions: Evidence from the options markets. Journal of Financial Economics, 74(2), 305-342.
43.Pástor, Ľ., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political economy, 111(3), 642-685.
44.Porras Prado, M., Saffi, P. A., & Sturgess, J. (2016). Ownership structure, limits to arbitrage, and stock returns: Evidence from equity lending markets. The Review of Financial Studies, 29(12), 3211-3244.
45.Pontiff, J. (2006). Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics, 42(1-2), 35-52.
46.Seneca, J. J. (1967). Short interest: bearish or bullish?. The Journal of Finance, 22(1), 67-70.
47.Zhang, Q., Vallascas, F., Keasey, K., & Cai, C. X. (2015). Are market‐based measures of global systemic importance of financial institutions useful to regulators and supervisors?. Journal of Money, Credit and Banking, 47(7), 1403-1442.
二、中文部分
1.陳旻暄(2013),「賣空交易對股價報酬率影響之實證研究」,國立中央大學財務金融研究所碩士論文。2.黃致遠(2010),「法人與散戶賣空之動機及其對股票報酬影響之探討」,國立中山大學財務研究所碩士論文。3.林怡君(2016),「台灣股市賣空共移與總和賣空交易的資訊內涵」,銘傳大學財務金融研究所碩士論文。4.林佳卉(2017),「投資人情緒對臺灣股市投資人賭博偏好之影響」,高雄大學金融管理學系碩士班未出版碩士論文。5.高世倫(2017),「台灣股市賣空交易與股價暴跌風險之關聯性」,銘傳大學財務金融研究所碩士論文。6.呂侑儒(2016),「電視財經節目盤中解盤資訊、關注效果與放空活動的關聯性」。銘傳大學財務金融研究所碩士論文。7.吳怡蓉(2015),「分析師偏空報告發佈前之資訊交易」,國立交通大學財務金融研究所碩士論文。
8.陽立昌(2014),「賣空交易對價格效率性之實證研究」,國立中央大學財務金融研究所碩士論文。
9.葉鳳琴(2003),「三大法人投資行為與加權股價指數互動關系之探討」,淡江大學,財務金融學系金融碩士在職專班碩士論文。10.顧廣平(2017),「月營收宣告與行為偏誤」,中山管理評論,第25卷第1期,頁63-100。
11.樓楠萱(2018),「賭博偏好、交易型態與樂透股報酬共變的關聯性」,銘傳大學財務金融研究所碩士論文。