教師資料查詢 | 類別: 期刊論文 | 教師: 顧廣平 KU KUANG-PING (瀏覽個人網頁)

標題:Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan
學年86
學期1
出版(發表)日期1998/01/01
作品名稱Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan
作品名稱(其他語言)
著者Sheu, Her-jiun; Wu, Soushan; 顧廣平; Ku, Kuang-ping
單位淡江大學財務金融學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數International Review of Financial Analysis 7(1), pp.1-18
摘要This study explores the cross-sectional relationship between market beta, sales-to-price, trading volume and stock returns, on Taiwan Stock Exchange from July 1976 to June 1996. Our results show that market beta, trading volume, and sales-to-price seem to have a joint role in explaining the cross-section of average returns. We also find a highly significant conditional relationship between beta and cross-sectional stock returns. These results provide support to continue using beta as a measure of market risk. Finally, our results indicate that the trading volume and sales-to-price effects in average returns are due to investor overreaction.
關鍵字Asset pricing; Overreaction; Taiwan
語言英文
ISSN1057-5219
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式紙本
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