期刊論文
| 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 | en |
| ISSN | 1057-5219 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23731 ) |