| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === In this thesis, CAPM is applied to divide stock ROI into 2 categories; one can be explained by models, and the other is Residuals , which can not be explained by models. Viewpoints of financial behaviors will be adopted to explain the variants that can not be interpreted in the market. Price motive, price downturn, and investors’ complex factor will regression Large weights stocks and Mid-cap growth stocks in Taiwan stock market to analyze all kinds of factors’ significances against Compensation residuals.
The regression results reveals that all sample companies’ accumulated returns within 3 years are all negatively relevant tolssue residuals ; that is, the ROI of stocks with better past performance tend to adjust downward. This trend means that value investing strategies can bring plus return on a long term basis.
Moreover, higher securities’ turnover rates will lead to sharper fluctuation of investment return’s adjustment, which means positive vector of the price relationship exist in the samples. Gaoquanzibi and Current lssue residuals are positively relevant but not obvious; this phenomenon may imply that some stocks are blessed with rolling empty market. Neither short-term price motive nor consumers’ confidence can be regarded as dominant factors when applied to sample companies.
Besides, practical evidence indicates regression model offers better explanation to medium-size stocks than to their giant counterparts. Such result may come from the speculation that investors’ complex and stock past performance tend to cause medium-size stocks to deviate from their theoretical prices, while Large weights stocks won’t be easily swayed by market noise and thus are less likely to deviate from their theoretical prices.
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