本研究根據Jensen的定價模式來衡量異常報酬,並採用多變量線性迴歸及重複測量的實驗設計方法進行檢定台灣股市在民國七十二年至八十二年間,是否存在漲跌幅及規模效果?實證結果顯示台灣股市存在漲跌幅及規模效果,且兩效果之間存在交互作用。
In this research, Jensen's Alpha method is applied to measure the abnormal returns for portfolios.Multivariate linear regression and repeated-measure design are used to test price limit effects and firm sizeeffects for the period 1983-1993 in Taiwan. The results indicate that there exist price limit and size effectsin the Taiwan stock market. Furthermore, our results also show that there is an interaction effect betweenprice limit and firm size.