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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23731


    Title: Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan
    Authors: Sheu, Her-jiun;Wu, Soushan;顧廣平;Ku, Kuang-ping
    Contributors: 淡江大學財務金融學系
    Keywords: Asset pricing;Overreaction;Taiwan
    Date: 1998
    Issue Date: 2009-11-30 17:51:12 (UTC+8)
    Publisher: Amsterdam: Elsevier BV * North-Holland
    Abstract: This study explores the cross-sectional relationship between market beta, sales-to-price, trading volume and stock returns, on Taiwan Stock Exchange from July 1976 to June 1996. Our results show that market beta, trading volume, and sales-to-price seem to have a joint role in explaining the cross-section of average returns. We also find a highly significant conditional relationship between beta and cross-sectional stock returns. These results provide support to continue using beta as a measure of market risk. Finally, our results indicate that the trading volume and sales-to-price effects in average returns are due to investor overreaction.
    Relation: International Review of Financial Analysis 7(1), pp.1-18
    DOI: 10.1016/S1057-5219(99)80035-0
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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