| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 96 === This study explores the cross sectional relationships between average stock returns and market value, book-to-price, trading volume, sales-to-price, average return over the previous 7 to 12 months and average return over the previous 2 to 12 months, on Taiwan Stock Exchange from January 1978 to December 2007. Our results show that average stock returns are significantly negatively related to trading volume, and significantly positively related to sales-to-price and average return over the previous 7 to 12 months. However, the relationships between average returns and remaining three variables are insignificant or unstable. Summarily, trading volume, sales-to-price, average return over the previous 7 to 12 months seem to have a joint role in explaining the differentials in average returns. The results of three variables model are robust and insensitive to sub-sample and sub-period. By comparison, we conclude that the market, volume and sales-to-price three factor model, and the market, volume, sales-to-price and momentum four factor model can fully explain the cross sectional variation in average returns.
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