前一阵写作业用的reference，里面应该有empirical test的论文。都列出来，楼主自己再挑一下吧：

Black, Fischer, 1993, Beta and return, Journal of Portfolio Management 20, 8-18.
Bodie, Zvi, Kane, Alex, Marcus, Alan ,2009, Investments, New York, NY : McGraw-Hill
Conrad J., M. Cooper and G. Kaul, 2003, Value versus glamor, Journal of Finance 58, 1969–1995.
Doukas, J., C. Kim and C. Pantzalis, 2002, A test of the errors-in-expectations explanation of the value/glamour stock returns performance: Evidence from analysts’ forecasts, Journal of Finance, 57, 2143-2165.
Fama E., and K. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.
Fama E., and K. French, 1998, Value versus growth: the international evidence, Journal of Finance 53, 1975–1999.
Lakonishok, J., A. Shleifer and R. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541–1578.
Liew, J., and M. Vassalou, 2000, Can book-to-market, size and momentum be risk factors that predict economic growth?, Journal of Financial Economics 57, 221–45.
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.
Lo, A., and C. MacKinlay, 1990, Data Snooping Biases in Tests of Financial Asset Pricing Models, Review of Financial Studies 3, 431–468.
MacKinlay, A. Craig, 1995, Multifactor models do not explain deviations from the CAPM, Journal of Financial Economics 38, 3-28.
Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-42.
Vassalou, M., 2003, News related to future GDP growth as a risk factor in equity returns, Journal of Financial Economics 68, 47–73.
Zhang, L., 2005, The value premium, Journal of Finance 60, 67–103.

期刊的文章都传在附件里了。

2# feng-pan
not very helpful. anyway, thank u!