The Relationship between Return Dispersion and Stock Index Returns.

• Main Authors: Sin-Huen Wang, 王薪惠
• Other Authors: 吳佩珊
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/72s93p

碩士 === 健行科技大學 === 財務金融系碩士班 === 103 === This study explores whether the return dispersion could as a powerful factor in asset pricing model, and aim at index component stocks of return, including Taiwan 50 Index, medium 100 index, financial and insurance index, electronic index in 2000-2014 years as an sample. Then calculate return dispersion and add it into CAPM and Fama and French three-factor model and GARCH model, to examine its influence and explain ability to the models. The results found that return dispersion as factor in asset pricing model, indeed have significant influence and explain ability, besides, the results of study express return dispersion also can forecast future trend for stock index. Consulting Fama and French(1993) to constructing six portfolio, and we find while regression analyzing, that the model can offer extra explanation ability to the regression model after add to value at return dispersion factor. Express after add to the value at return dispersion factor, the expected stock index return enabling us to be more accurate. To the end, this means the return dispersion factor at the study of asset pricing have representative status.