| Summary: | 碩士 === 國立臺灣大學 === 國際貿易學系 === 84 === In this study, we employ the approach in Fama and French (1992)
to analyze the determinants of the cross-sectional stock
returns in Taiwan for the 1984-1995 period. While emphasizing
earnings-to-price ratio(e/p ratio), this study also takes into
consideration the quality of earnings, namely, the growth rate
and the variation of earnings.We also examine if different
kinds of e/p ratios have different level of explainatory
power. The other explainatory variables in our models are firm
size, book- to-market ratio, and market beta based on CAPM .
Our empirical results show that, at the end of the quarter, e/p
ratio computed with current quarter''s earnings and e/p ratio
computed with next quarter''s earnings have significant explain-
atory power, while e/p ratio computed with last quarter''s
earnings doesn''t. This suggests that insider information and
earnings prediction might be helpful for stock investors in
Taiwan. And it also shows that last quarter''s growth rate of
earnings compared with the same quarter last year might be a
good index for stock returns prediction, when investors could
not figure out current quarter''s financial results .
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