The Relations between Corporate risk and capital structure in Taiwan Stock Market

• Main Authors: Pei-Shuang Lu, 盧佩霜
• Other Authors: 林允永
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/13262185124395179954

碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === In this study , we follow Fama and French (1992), and Turan and Nusret Cakici (2004) . In previous studies, three-factor model has been extensive tested. We take another common used risk factor-Value at Risk（VaR）into our model. We want to know the relationship among these four risk factors and the stock return. We will analyze our empirical data with Panel data model. We compare the results of “three-factor model” with “four-factor model” to see the difference. In summary, we can see all factors are significant in explaining stock returns in three-factor model. In the four-factor model, even we take VaR into our model; all risk factors are still significant in explaining stock returns. And the in four-factor model is higher than in three-factor model. In this study, we find there is negative relation between Beta（or B/M）and stock return. Our results are quite different from previous works. Besides, we also find there is positive relation between Market value and stock return. Although size effect exits, our testing result has different way from previous work. Other risk factor－VaR has also positive relations with stock return. Our result is the same with the results from Turan etc.（2004）. The reasons why our results are different from previous works could be selected samples bias, or selected time period, or selected model, or firm specified features.