期刊論文
| 學年 | 90 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2002-03-01 |
| 作品名稱 | Important Factors of Estimated Return and Risk: The Taiwan Evidence |
| 作品名稱（其他語言） | |
| 著者 | 顧廣平; Ku, Kuang-ping; Lin, T. William |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | World Scientific Center, Center for PBBEF Research |
| 著錄名稱、卷期、頁數 | Review of pacific basin financial markets and policies 5(1), pp.71-92 |
| 摘要 | This paper seeks to identify which factors are important for estimating portfolio's expected return and standard deviation in the Taiwan stock market. We have summarized from the existing empirical literature a total of 26 factors that may have explanatory power. The results of our evaluation show that except for the trading volume, the remaining 25 factors do not seem to help explain the average stock returns during the July 1985–June 1999 period. However, the power of the trading volume to account for the expected returns on the stock is affected by any changes in the sample or by the use of a different evaluation model. We suggest three potential explanations of why all 26 factors show no stable power to explain average returns on Taiwan stocks: high volatility, selection bias, and market differences. Moreover, we find that all of the 26 factors are important in capturing the systematic covariation in stock returns. |
| 關鍵字 | Factor model;Expected return;Risk;Taiwan |
| 語言 | en |
| ISSN | 0219-0915 |
| 期刊性質 | 國內 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23769 ) |