| Summary: | 碩士 === 東吳大學 === 國際經營與貿易學系 === 98 === This paper discusses the factors affect equity returns. Market risk, size, book-to-market ratio (B/M ratio) and firm efficiency whether affect equity returns or not. First, we estimate efficiency by data envelopment analysis (DEA) and combine with Fama-French three-factor model. Finally, we apply Granger causality test to understand how the variables affect equity returns. The results of Taiwan's Information Technology (IT) industry show the market risk, B/M ratio, size and firm efficiency have positive effects on the equity returns. The B/M ratio and firm efficiency to equity returns have causal relationship. The results of Taiwan's Banking industry show the market risk and B/M ratio have positive effects on equity returns. The size has negative effects on equity returns. There are causal relationships between market risk and equity returns. There is no causal relationship between firm efficiency and equity returns.
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