A reexamination of Market Beta, Firm Size, Book-to-Market,Value-at-Risk in Stock Returns:Evidence from the Taiwan Stock Market
碩士 === 國立交通大學 === 財務金融研究所 === 94 === This paper investigates the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in the Taiwan stock market. Our primary objective is to determine whether the...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/57885543520674532631 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 94 === This paper investigates the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in the Taiwan stock market. Our primary objective is to determine whether the Value-at-Risk factor has marginal explanatory power that is related to the Fama-French three-factor model. This study finds that Value-at-Risk can explain average stock returns at the 1% and 5% significance levels based on cross-sectional regression analysis. In addition, from the perspective of the time series regression, the HVARL factor can also help explain the variation in the stock market, especially for the larger companies in Taiwan’s stock market.
|
|---|