Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan

機構典藏 > College of Business and Management > Graduate Institute & Department of Banking and Finance > Journal Article > Item 987654321/23731

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/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:	[Graduate Institute & Department of Banking and Finance] Journal Article

Files in This Item:

File	Description	Size	Format
Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan.pdf		1142Kb	Adobe PDF	2	View/Open
index.html		0Kb	HTML	189	View/Open