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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23769

    Title: Important Factors of Estimated Return and Risk: The Taiwan Evidence
    Other Titles: 估計期望報酬與風險之重要因子-以台灣股市為例
    Authors: 顧廣平;Ku, Kuang-ping;Lin, T. William
    Contributors: 淡江大學財務金融學系
    Keywords: Factor model;Expected return;Risk;Taiwan
    Date: 2002-03-01
    Issue Date: 2009-11-30 17:52:53 (UTC+8)
    Publisher: World Scientific Center, Center for PBBEF Research
    Abstract: This paper seeks to identify which factors are important for estimating portfolio's expected return and standard deviation in the Taiwan stock market. We have summarized from the existing empirical literature a total of 26 factors that may have explanatory power. The results of our evaluation show that except for the trading volume, the remaining 25 factors do not seem to help explain the average stock returns during the July 1985–June 1999 period. However, the power of the trading volume to account for the expected returns on the stock is affected by any changes in the sample or by the use of a different evaluation model. We suggest three potential explanations of why all 26 factors show no stable power to explain average returns on Taiwan stocks: high volatility, selection bias, and market differences. Moreover, we find that all of the 26 factors are important in capturing the systematic covariation in stock returns.
    Relation: Review of pacific basin financial markets and policies 5(1), pp.71-92
    DOI: 10.1142/S0219091502000675
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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