The Analysis of the Source of the Value Premium in Taiwan Stock Market

• Main Authors: Yung-Yu Chen, 陳詠渝
• Other Authors: Tzu-Ping Ho
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/snhc53

碩士 === 銘傳大學 === 國際企業學系碩士班 === 96 === This paper analyze the phenomenon of value premium in Taiwan stock market. We consider the results of value premium are a rational phenomenon or an irrational investor behavior. We use multiple variance ratio tests to test whether the series of value premium is random walk. To improve variance ratio tests in small sample may have bias, we use wild bootstrap to rebuild the sampling distribution of multiple variance ratio tests to prevent the size distortion from type I error. Overall, the results from this study indicate that the value premium in Taiwan is not because of rational or irrational investor behavior, but because of random occurrences.