Important Factors of Estimated Return and Risk: The Taiwan Evidence
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
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