A Reexamination of Size Effect in the Taiwanese Stock Market

• Main Authors: Chih-Ling Wang, 王智鈴
• Other Authors: Kuang-Hua Wang
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/89369130765645995115

碩士 === 逢甲大學 === 會計與財稅所 === 92 === Abstract The samples of this research are selected from companies which have shares listed on the Taiwan Stock Exchange. The study period covered 20 years from 1984 to 2003. Using monthly return data, the market model is adopted to calculate the abnormal returns of sample companies. The purposes of this research are to examine whether market anomalies of size effect, share price effect and book-to-market ratio effect exist in the Taiwanese stock market. This research is further to investigate the relationship between size effect and share price effect and that between size effect and book-to-market ratio effect. The evidence from this examination shows that market anomalies of size effect, share price effect and book-to-market ratio effect do exist in the Taiwanese stock market. After controlling for the size of firms, the share price effect and the book-to-market ratio effect are still observed, indicating that both the effects would not influenced by the size of firms. After controlling for share price levels, the size effect based on abnormal returns is only found in the lowest and the highest price groups. It seems to suggest that size effect might be a proxy for the share price effect. After controlling the for book-to-market ratio, the size effect based on abnormal returns occurs only in the lowest and the highest book-to-market ratio groups. Again, it appears to suggest that the size effect might be a proxy for the book-to-market ratio effect. Overall, stock market anomalies of the present study are more pronounced when returns are adjusted for the risk. The problem of survivorship bias arising from the sample selection is not a serious issue for this research.