Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan
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 )

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