| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 88 === In my thesis, I am discussing the influences of past growth rate, book to market ratio, size, turn over period, and systematic risks to a stock’s return in the future.
The research period was from 1995 to 1999. I used seasonal data of the aforementioned items to research their relationships with one another. I selected eight financial variables, which are used in the theories of capital assets pricing model (CAPM), Fama and Franch’s three coefficients model, price momentum effect, and liquidity preference hypothesis. I used these theories to construct a coefficient model and tested its explanation capability to real data. I also tested the model’s stability in different periods of time.
I found that there was a constant and significant inverse relationship between beta and 1/ln (size). The market to book ratio has a positive relationship with prior 1, 2, 3, and 4 period’s return rate. Beta has an inverse relationship with turn over period. Turn over term has positive relationship with the last period’s return rate. Book to market ratio and size effect exists constantly in Taiwan’s electronic stocks. There is a positive relationship between return rate and systematic risk. Investors can invest in smaller electronic companies to gain higher returns.
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