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    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/95259

    题名: Important Factors of Estimated Return and Risk:The Taiwan Evidence
    作者: Ku, Kuang-Ping;Lin, William T.
    贡献者: 淡江大學財務金融學系
    关键词: 台灣;預期報酬;風險管理;因素分析;股票市場;敏感度分析;Taiwan;Expected Return;Risk Management;Factor Analyaia;Stock Market;Sensitivity Analysis
    日期: 2001-06
    上传时间: 2014-02-12 00:00:00 (UTC+8)
    摘要: This paper seeks to identify which factors are important forestimating portfolio's expected return and standard deviation in theTaiwan stock market. We have summarized from the existing empiricalliterature a total of 26 factors that may have explanatory power. Theresults of our evaluation show that except for the trading volume, theremaining 25 factors do not seem to help explain the average stockreturns during the July 1985-June 1999 period. However, the power ofthe trading volume to account for the expected returns on the stock isaffected by any changes in the sample or by the use of a differentevaluation model. We suggest three potential explanations for why allof 26 factors show no stable power to explain average returns onTaiwan stocks: high volatility, selection bias, and marketdifferences. Moreover, we find that all of the 26 factors areimportant in capturing the systematic covariation in stock returns.
    關聯: 2001年財務金融學術暨實務研討會論文集=Proceedings of the Annual Research Conference in Finance and Financial Market in the 21st Century
    显示于类别:[財務金融學系暨研究所] 會議論文


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