Important Factors of Estimated Return and Risk：The Taiwan Evidence
學年 89
學期 2
發表日期 2001-06-01
作品名稱 Important Factors of Estimated Return and Risk：The Taiwan Evidence
作品名稱（其他語言）
著者 Ku, Kuang-Ping; Lin, William T.
作品所屬單位 淡江大學財務金融學系
出版者
會議名稱 2001年財務金融學術暨實務研討會=Annual Research Conference in Finance and Financial Market in the 21st Century
會議地點 臺北縣, 臺灣
摘要 This paper seeks to identify which factors are important forestimating portfolio's expected return and standard deviation in theTaiwan stock market. We have summarized from the existing empiricalliterature a total of 26 factors that may have explanatory power. Theresults of our evaluation show that except for the trading volume, theremaining 25 factors do not seem to help explain the average stockreturns during the July 1985-June 1999 period. However, the power ofthe trading volume to account for the expected returns on the stock isaffected by any changes in the sample or by the use of a differentevaluation model. We suggest three potential explanations for why allof 26 factors show no stable power to explain average returns onTaiwan stocks: high volatility, selection bias, and marketdifferences. Moreover, we find that all of the 26 factors areimportant in capturing the systematic covariation in stock returns.
關鍵字 台灣;預期報酬;風險管理;因素分析;股票市場;敏感度分析;Taiwan;Expected Return;Risk Management;Factor Analyaia;Stock Market;Sensitivity Analysis
語言 en
收錄於
會議性質 國內
校內研討會地點 淡水校園
研討會時間 20010601~20010602
通訊作者
國別 TWN
公開徵稿 Y
出版型式 電子
出處 2001年財務金融學術暨實務研討會論文集=Proceedings of the Annual Research Conference in Finance and Financial Market in the 21st Century
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