Jurnal Akuntansi dan Bisnis,
Vol. 9, No. 1, Februari 2009 (1-12)
ISSN: 1412 – 0852
Fama, Eugene F., dan Kenneth R. French. 1995. Size and Book-to-Market
Factors in Earnings and Returns. Journal of Finance, Vol. L, No.1.
Fama, Eugene F., dan Kenneth R. French, 1996. Multifactor explanations of
asset pricing anomalies. Journal of Finance, Vol. 51, No.1, 55-84.
Fama, Eugene F., dan Kenneth R. French. 1998. Value versus Growth: The
International Evidence. Journal of Finance, Vol. 53, No. 6.
Fama, E. and MacBeth, J. 1973. Tests of the Multiperiod Two-Parameter
Model. Journal of Financial Economics, Vol. 1, 43-66.
Graham, J.R dan Harvey, C.R. 2001. The theory and practice of corporate
finance: evidence from the field. Journal of Financial Economic 60, 187-24.
Gregory A., Harris R., Michou M. 2003. Contrarian investment and
macroeconomic risk. Journal of Business Finance and Accounting, 30(1) &
Jones, Charles P., 2000, Investments: Analysis and Management, 7
John Wiley & Sons Inc., New York.
Kato, K., and J. Shallheim. 1985. Seasonal and Size anomalies in the Japanese
stock market. Journal of Financial and Quantitative Analysis 20, 243-260.
Knez, P., dan M. Ready. 1997. On the robustness of size and book-to-market
in cross-sectional regressions. Journal of Finance, Vol. LII, No. 4.
Kothari S. P., Shanken J., dan Sloan G. 1995. Another look at the cross-section
of expected stock returns. Journal of Finance, Vol. L, No. 1.
Lakonishok, Josef and Alan C. Shapiro. 1986. Systemaitc Risk, Total Risk, and
Size as Determinants of Stock Market Returns.” Journal of Banking and
Finance. 10:1, pp. 115-132.
Lakonishok J., Shleifer A. and Vishny R. 1994. Contrarian investment,
extrapolation, and risk. Journal of Finance, 49, 1541-1578.
Liew, J., Vassalou, M. 2000. Can book-to-market, size and momentum be risk
factors that predict economic growth? Journal of Financial Economics, 57,
Lintner, John. 1965. The valuation of risk assets and the selection of risky
investments in stock portfolios and capital budgets, Review of
Economics and Statistics 47, 13-37
Maroney N., Protopapadakis A. 2002. The Book-to-Market and Size Effect in a
General Pricing Model: Evidence from Seven National Markets.
European Finance Review, 6: 189-221.
Modigliani, Franco, and Merton H. Miller, 1958, The cost of capital,
corporation finance, and the theory of investment, American Economic
Review 48, 261-297.