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:Important Factors of Estimated Return and Risk: The Taiwan Evidence
學年
學期
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
語言英文
ISSN0219-0915
期刊性質國內
收錄於
產學合作
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審稿制度
國別中華民國
公開徵稿
出版型式,電子版
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