過去的實證研究指出，在討論當期的會計盈餘穩健性時，研究者必須要控制期初會計盈餘穩健性的水準。具體而言，期初會計盈餘穩健性與本期會計盈餘穩健性的負向關係，會稀釋我們對當期會計盈餘穩健性的解釋效果。基於這個理由，本研究以期初市價對淨值比做為期初會計盈餘穩健性的代理變數，去檢視我國1999年至2004年會計盈餘的穩健性以及探討盈餘穩健性與外資法人持股比例之關聯性。穩健原則之定義，係以 Basu(1997)模型做為衡量穩健性的指標。研究結果發現，我國企業近年來之會計盈餘存在穩健原則之特性，而期初市價對淨值比與盈餘穩健程度之間呈現顯著之負向相關。至於針對外資持股與盈餘穩健性之關聯性的分析，在控制期初市價對淨值比的影響之後，本研究未能找到外資持股比例之高低對盈餘穩健程度有顯著影響之證據。然而，在期初市價對淨值比最高的組別中，盈餘穩健程度與次期外資持股比例之間存在正向之關係。這個現象意味著對於期初盈餘穩健性很高的公司而言，其在當期之盈餘若相對較穩健，則次期之外資持股比例將會較高。但是，在本研究改以工具變數衡量外資持股比例之後，不論是當期或次期的外資持股比例，其與盈餘穩健程度之間則均未存在顯著之關聯性。彙總而言，利用1999年至2004年的資料，本研究發現，期初會計盈餘穩健性與本期會計盈餘穩健性有顯著的負向關係；無論有無控制期初會計盈餘穩健性，我國的會計盈餘均具有穩健性的特性；未能得到非常充份的證據去宣稱外資對於我國會計盈餘穩健性有系統性的影響。 / Prior empirical studies indicate that researchers have to control for the level of beginning-of-period earnings conservatism when discussing earnings conservatism in the current period. The negative association between beginning-of-period earnings conservatism and earnings conservatism in the current period will dilute the effect of our explanation of earnings conservatism in the current period. Using beginning-of-period price-to-book ratios to proxy for beginning-of-period earnings conservatism, this study examines earnings conservatism in Taiwan during the period from 1999 to 2004, and discusses the relationship between earnings conservatism and shareholding ratios of foreign institutional investors. The definition of earnings conservatism is based on Basu(1997). The empirical results show that earnings in Taiwan demonstrate the characteristic of earnings conservatism in recent years, and that beginning-of-period price-to-book ratios are negatively associated with the level of earnings conservatism. As for the analysis of the link between shareholding ratios of foreign institutional investors and earnings conservatism, this study fails to find the evidence that shareholding ratios of foreign institutional investors have significant impacts on earnings conservatism after controlling for the level of beginning-of-period price-to-book ratios. However, in the portfolio of the highest beginning-of-period price-to-book ratios, there is a positive relationship between earnings conservatism and shareholding ratios of foreign institutional investors in the next period. This result means that firms with the highest level of beginning-of-period earnings conservatism will have higher shareholding ratios of foreign institutional investors in the next period if their earnings in the current period are relatively more conservative. However, when this study uses the instrumental variable to measure shareholding ratios of foreign institutional investors, shareholding ratios of foreign institutional investors, whether in the current or next period, do not have a significant relationship with the level of earnings conservatism. In summary, using data from 1999 to 2004, this study finds that there is significantly negative association between beginning-of-period earnings conservatism and earnings conservatism in the current period, and that earnings in Taiwan demonstrate the characteristic of earnings conservatism whether controlling for the level of beginning-of-period earnings conservatism or not, but this study fails to obtain sufficient evidence to assert that foreign investment has systematic effects on earnings conservatism in Taiwan.

本文引用Petkova(2006)所制定出來的模型及概念，探討Fama-French因子是否能作為投資機會的預測變數，並分析台灣股票市場風險溢酬(risk premium)與總體經濟變數間的關係。本文使用的總體經濟變數包括：規模效果因子(SMB)、淨值市價比效果因子(HML)、市場因子(market factor)、違約利差(default spread)、期限利差(term spread)、一個月期定存利率(RF)及股利收益率(dividend yield)。除此之外，本文亦以VAR系統表達每個狀態變數的動態特徵，討論公司治理因子與總體經濟變數(macroeconomic variables)間的關聯，並比較總體經濟變數與公司治理因子分別對股票超額報酬的解釋能力。 本研究以台灣股票市場為研究樣本，資料期間為2005年11月至2014年4月，共102個月的月報酬為研究主體。實證結果可發現：（1)本研究的價值型的股票(value stock)具有較高的風險溢酬，成長型股票(Growth stock)擁有較低的風險溢酬；而台灣上市公司也存在顯著規模效果，小市值公司具有較高的風險溢酬，大市值公司擁有較低的風險溢酬。（2)在大市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現正向變動。在小市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現反向變動；違約利差(default spread)則與規模效果因子(SMB)呈現正向變動。 / We use the model and concept that Petkova(2006) formulated to discuss if Fama-French factors can be the predictable variables of investment opportunity and analysis the relationship between risk premium and macroeconomic variables on Taiwan stock market. There are many macroeconomic variables in the article：Size factor(SMB)、book-to-market factor(HML)、market factor、default spread、term spread、one-month deposit interest rate and dividend yield. We capture the dynamic characters of every variables through VAR system to analyze the relationship French-French factors and macroeconomic variables. Furthermore, we compare the relationship between SMB and default spread, HML and term spread through the first step of Fama-MacBeth way. We can make two important conclusions through empirical evidence：(1) The risk premium is higher in value stocks than in growth stock, which means there is prominent book-to-market effect on Taiwan stock market. Moreover, the risk premium is higher in small firms than in large firms, which means there is magnificent size effect on Taiwan stock market.（2) The behavior that default spread has is the same as SMB factor in any book-to-market ratio criteria. However, the behavior that term spread has is the same as HML factor only in big capitalization criteria.

本研究針對台灣股票市場自民國51年2月9日至民國91年12月31日，對股票報酬率與風險溢酬進行實證研究，並且依據Fama與French的方法論，依照台灣發行量加權股價指數(TAIEX)的標準進行資料採樣，以平均股票報酬模式(average stock return model)、股利成長模式(dividend growth model)與盈餘成長模式(earning growth model)來進行估計，研究結果發現台灣股票市場的風險溢酬相較於以美國為主的已開發市場，呈現較高水準的風險溢酬與高度的變異性，此外，在經由變異數調整後，依據基本分析方法(股利成長模式與盈餘成長模式)所衡量的風險溢酬較具一致性，並且股利成長模式為較優秀的風險溢酬估計式，其原因包括其在各個投資期間有較低的標準差，以及在數值上呈現了一致性。 另外，在實質股利成長率與盈餘成長率的預估上，無論是一年期或二年期的預測力都相當低。股利股價比(Dt/Pt)與盈餘股價比(Yt/Pt)在近年呈現下滑的趨勢，根據價值分析理論，暗示未來股票報酬率有可能降低，然而，依據淨值市值比(BE/ME) 效應，則出現與前述推論不一致的結果。 不過，三種模式的風險溢酬皆高於平均收益報酬率A(Yt/Bt-1)，顯示投資報酬率低於資金成本，違反投資淨現值大於零的原則，因此依賴基本分析對台灣這類新興市場進行分析可能存在適用上的問題。為加強對台灣股票市場的解釋，本研究另加入其它觀點與行為財務學角度的解釋，來說明台灣股票市場高風險溢酬與高變異的特性。 / Abstract This thesis is an empirical analysis of the risk premium of Taiwan’s equity market. The sample period covers 1962/2/9 - 2002/12/31. My methodology is based on the average stock return model, dividend growth model, and earning growth model suggested by Fama and French (2002). In contrast to the United States, which is a developed market, my empirical results indicate that Taiwan’s equity market is characterized by high risk premium and high volatility. In addition, fundamental analyses (dividend growth model and earning growth model) yield similar results. But the dividend growth model has the best forecasting ability of the three models because of its high consistency and low variability. The real dividend growth rate and the real earning growth rate have low predictability of one- and two-year growth rates in the future. The Dt/Pt and Yt/Pt ratio decrease in recent years, implying that future equity premium will decrease. However, the BE/ME ratio does not behave similarly. Surprisingly, the equity premium of all three models is grater than the average real income return on book equity. The expected stock return exceeding the expected income return on book equity implies that typical corporate investments have negative net present value. Thus, applying fundamental analysis to an emerging market such as Taiwan may not be suitable. I try to provide sensible explanations for my findings on the Taiwan’s equity market by referencing viewpoints expressed in the behavioral finance literature and other literatures.

財富管理源起於私人銀行，服務對象為高淨值資產之客層。金融監督管理委員會為促進國內金融環境發展健全，於2005年2月間頒布「銀行辦理財富管理業務應注意事項」、2005年7月間頒布「證券商辦理財富管理業務應注意事項」、2006年1月核准「人身保險業辦理財富管理業務」。規範人身保險業從事財富管理業務之範疇，歸納為人身保險業針對高淨值客戶，透過人身保險業務員，依據客戶需求，提供資產配置或財務規劃等服務，而高淨值客戶之條件，由人身保險業自行依據經營策略訂定。 隨著人口老化、財富愈趨集中、經濟環境之變遷，金融控股公司資源整合與金融監理相關法規逐漸完備等因素，人身保險產業由擅長提供人身保險商品，延伸至理財規劃及資產管理諮詢服務，也延伸經營管理相關問題，本研究就國內人身保險業經營財富管理業務，針對人壽保險公司實施財富管理業務提出建議： 1、加強財富管理業務之風險管理：應加強經營財富管理相關業務的經營風險辨識，進而提出有效的風險管理制度與政策。 2、強化內部稽核制度有效性：在兼顧經營效率下，建立有效稽核制度，使企業成為一個有機體。 3、確實瞭解客戶並落實客戶風險告知：一套瞭解、認識、接近客戶並取得客戶信任整合流程，是發展財富管理業務的關鍵。 4、提升業務人員教育訓練及專業培養：專業知識、教育訓練、管理規範及資訊系統輔助，使人員服務品質提升，更可以有效傳遞並確保客戶權益。 5、強化保險商品創新與財富管理市場定位：以人壽保險產業深入服務優勢，搭配商品服務及通路創新，以獨特性及附加價值，奠定財富管理定位。 同時亦探討現行保險監理機關監管財富管理必須重視的議題，如何明確定義人壽保險業者經營財務富管理業務檢查要點，修正財富管理業務需有獨立權責部門規定及開放投資型商品設計及管理費議題。本文同時評估現行人身保險業者經營財富管理業務之效益評估，並作為監理機關監管財富管理業務時參考。 / The “Wealth Management” service was created by private bank. It is designed to serve the customers with high net worth. In order to improve the financial environment to be well managed and to be wealthy developed, the Financial Supervisory Commission Committee announced the terms of “The Notice of Wealth Management Business for Banks” in February 2005, “The Notice of Wealth Management Business for Securities” in July 2005. The “The Rules for Life Insurance Companies Hosting Wealth Management Business” had been permitted to be announced in January 2006. It defined the business scope for life insurance companies to promote the wealth management business. The purpose of the wealthy management service sold by life insurance companies is targeted to serve the life insurance customers with high net worth. Through the life insurance sales, the life insurance companies can offer the capital allocation, financial planning based on customers’ request. For the criteria of “High Net worth” customers, it can be defined by each life insurance company. Due to the average age of population is becoming higher, wealth is becoming to be concentrated, economic environment situation is changing intensively, the financial holding companies integrated the resources, the rules of financial supervision is becoming completed, such kinds of change offer the opportunity for life insurance companies to extend their business scope to the territory of the consultant service for financial planning and wealth management. Such kind of change creates some administration and management issues. So the purpose of this study is to survey the current situations of wealth management business of life insurance to try to find the suggestions for the below topics. 1.Empower the risk management for wealth management business: How to empower the risk identification capability to propose the effective rules and policies for risk management. 2.Improve the internal audit mechanism to be more effective: How to establish or improve the internal audit mechanism without affect the business and company operation. 3.Learn more about the customers and solid executing the risk notification to customers: How to establish an effective SOP for realizing the customers’ exact requirement, approaching the customers and getting the customers’ trust. 4.Enhance the sales education training to enhance the service quality and empower the business competition ability: By integrating the IT resources and business management to establish an organized/effective sales education training package for improving the sales knowledge and business domain know how. 5.The enhancement for life insurance product creativity and clear marketing positioning ability/core competence for wealth management business: Taking the advantage of the existing sales network, combining the creative product, service and channel profile to establish the specialty and core competence. Meanwhile, this study tries to highlight some key issues like “the important topics shall be focused by the insurance supervision institute”, “the definition of the check points for the wealth management business of life insurance companies”, “how to revised the relative rules to request the wealth management business must be performed by the independent department”, “release the permission for the designation of Investment-oriented merchandise and management fee”. This study also makes the performance evaluation for the wealth management business of life insurance companies. It would be the valuable reference data for the relative supervision institute of government.

1997年爆發亞洲金融風暴，隔年（1998年）起公司發生財務危機事件層出不窮，1998年至2005年間最為嚴重；2007年全球金融海嘯至今，投資人擔心買到地雷股，對於投資股票市場仍採觀望態度。在經過層層把關的財報背後究竟隱藏多少危機？這些危機難道是不可預測的嗎？其實，公司爆發財務危機並非一夕之間產生的問題，就如同人類的慢性病不是一天造成的，是長期忽略身體健康警訊造成的結果，事出必有因，因此許多學者便開始探究財務危機背後的成因，試圖找出一些指標供投資人作為投資前之考量因素。 本研究主要之目的在於探究財務危機之預測指標，分別探討Beta、公司規模、淨值市價比以及前一年平均報酬（負的動能效果）是否可作為財務危機之預測指標。本研究之樣本公司為1983年至2007年之台灣上市公司，利用Altman提出之Z-score模型將公司區分為危機公司以及正常公司，再將樣本公司依Beta、公司規模、淨值市價比以及前一年平均報酬分別分組，探討這些變數是否可作為財務危機之預測指標。實證結果指出Beta及淨值市價比無法作為財務危機之預測指標，但公司規模及前一年平均報酬（負的動能效果）可以作為財務危機之預測指標。 / With the Asian financial crisis breaking out in 1997, many companies began to suffer financial distress in the following year, and the situations were getting even worse during 1998 and 2005. Faced the new waves of financial tsunami across the world starting from 2007, the investor, therefore, have been adopting a wait-and-see attitudes towards the stock market, fearing of being hit by the “tank stocks”。How many financial problems hidden behind the carefully prepared financial statements? Are they unpredictable? As a matter of fact, just like the human chronic diseases which actually caused by long-term ignorance of health warning, corporate financial distress never happens suddenly. Thus a number of scholars are dedicated to study the reasons for financial problems, attempting to figure out certain indicators capable of being prior reference for investment decision-making. This paper aims to study the predictors of financial distress. Beta, firm size, book-to-market ratio and average monthly prior-year return (negative momentum effect) are to be considered respectively to determine their possibilities of being predictors. The sample companies discussed in this paper are chosen among the listed companies during 1983 and 2007 in Taiwan. They are grouped into two categories of crisis company and normal company by using the Z-score model developed by Altman. Then the sample companies are divided in terms of Beta, firm size, book-to-market ratio and average monthly prior-year return so as to trace these variables’ likelihood to predict bankruptcy. It eventually turns out that firm size and average monthly prior-year return could serve as predictors of financial distress, other than Beta and book-to-market ratio.

本論文以77年1月至87年12月為研究期間，選擇這段期間的97家上市公司作為研究樣本。首先探討四種分析指標，淨值/市價比、益本比、市價/銷貨比、企業價值/銷貨比作為投資指標的報酬表現與適用時機；另以三種因子利用迴歸模型預測股價報酬組成投資組合，檢視在未來是否有好的績效表現。本研究實證結果如下: 1、 淨值/市價比是一個好的投資指標，在半年期投資期間與一年投 資期間，高淨值/市價比組合的風險調整後報酬率皆超越低淨值/市價比的組合，而以一年持有期間與多頭時期此情況更為明顯。 2、 低益本比組合報酬率在多頭時期明顯大於高益本比組別，而，而在空頭時期則不明顯。 3、 低價格/銷貨比組合風險調整後報酬率優於高價格/銷貨比組合，而其中以一年為投資期間績效表現較好。 4、 低企業價值/銷貨比組合表現比高企業價值/銷貨比組合好，其中以一年持有的投資績效較好；市價/銷貨比與企業價值/銷貨比投資時機類似，但市價/銷貨比較企業價值/銷貨比更能區分未來股票表現良窳，亦即企業價值/銷貨比的表現並不如市價/銷貨比。 5、 多因子迴歸模型並不能準確預測股票未來表現；高預測報酬組合表現並不如預期，反而是低預測報酬的投資組合表現較為良好。可能是變數解釋能力不夠所致。 第一章 緒論 第一節 研究背景與動機…………………………………………1 第二節 研究目的…………………………………………………3 第三節 研究內容與流程…………………………………………3 第二章 文獻探討 第一節 國外文獻探討………………………………………….…5 第二節 國內文獻探討……………………………………………11 第三章 研究設計與方法 第一節 研究設計………………… …………………….……16 第二節 研究方法…………………………………….……………19 第四章 實證分析 第一節 淨值/市價比法………………………………….………27 第二節 益本比法……………………………………….…………37 第三節 市價/銷貨收入比法………………………………………46 第四節 企業價值/銷貨收入比法…………………………………56 第五節 多因子分析模型.…………………………………………65 第六節 單因子方法比較與投資策略……………………….……71 第七節 投資組合風險控管-風險值研究…………………………75 第五章 結論與建議 第一節 結論………………………………………………….……83 第二節 研究限制…………………………………………………84 第二節 建議……………………………………………….………84 參考文獻 附錄一：研究樣本……………………………………………………A-1 附錄二：淨值/市價比（BE/ME）半年期及一年期各期結果………B-1 附錄三：益本比（E/P）比半年期及一年期各期結果………………C-1 附錄四：市價銷貨比(P/S)半年期及一年期各期結果………………D-1 附錄五：企業價值/銷貨收入比（E/S）比半年期及一年期各期結果.E-1

有鑑於產險業特別準備金制度爭議已久，應於何時提存或收回似乎已成了保險業界與保險司之間的角力賽。本研究採用傳統精算中破產理論(Ruin Theory)的概念，並觀察火災保險、貨物運輸保險、漁船保險與任意汽車保險等四個不同損失分配的險別進行蒙地卡羅模擬(Monte Carlo Simulation)，得出各個險種最適的特別準備金提存率。本文使人更容易了解因各險種具備的特性不同，在相同的破產機率水準下，會因為危險程度不同以及自留保費收入相對於自留賠款間的關係，間接影響到最適特別準備金的提存額度。 　　本研究的實證模擬分析結果發現：整體而言，目前產險業應提存的特別準備金總額大致上已充足，但是，若以各險別應提列的特別準備金額度而言，任意汽車保險有滯留過多的情形，而漁船保險則明顯地不充足，因此，目前應重新估算各險別應提存的特別準備金，暫時以各險可「相互浥注」的概念，使各險種調整至適當的比率，一併轉入「淨值」項下的「特別公積」科目，而「負債」項所剩餘的「特別準備金」餘額應逐年攤銷；建議今後特別準備金必須以「差額補足法」的會計處理方式，並按各個險種「專款專用」為原則。 / Much debate has devoted about the issue of the contingency reserve in property insurance companies in Taiwan over the past decades and how to calculate the appropriate amount of the reserve has become a perplexing problem between insurance companies and regulators. This paper conducts the Ruin Theory and comes up with the optimal model for calculating the contingency reserve. By using Monte Carlo Simulation method, we collect four different lines data in Fire, Marine cargo. Fishing vessel and Motor insurance to calculate the optimal contingency reserve ratio in each line. In addition, we examine the effect of different contingency reserve systems on insurance company's financial statements. Our results imply that owing to the different loss distribution in each line, the different level of risk and the ratio of retention premium to retention claim will indirectly affect the optimal contingency reserve under the identical ruin probability level. 　　Our findings indicate that the overall contingency reserve of property insurance company is sufficient at present, but the amount is not sufficient for each line. For example, the reserve in motor insurance is over-reserved while that in fishing vessel insurance is not adequate. We, therefore; suggest that the contingency reserve should be re-estimated by each line. At present, we suggest to use the "inter-line-compensation" principle to make up the insufficient reserve for different line. However, the contingency reserve should be credited as "special fund" of Surplus when the reserve in each line is at the adequate level and the over-reserved amount of "special claim's reserve" should be amortized year by year. Moreover, We suggest to applying the "marginal contribution" method for calculating contingency reserve and establish an individual account for the contingency reserve for each line.

企業評價對於投資決策有重大的影響，不論是發行上市、或是機構投資人選擇投資標的、乃至於併購或是清算，企業評價都是一切的基礎。再加上近來各界對於節能產業的重視，發光二極體封裝產業正如日中天的高度成長，如何能夠正確地衡量此產業的企業價值，實是機構投資人或是一般大眾關心的課題。此外，實務界長久以來詬病證管會所採用的承銷價格公式，乃是結合不同評價模式的方式來評斷發行股票公司之正確股票價值，但實證結果往往發現此公式會造成股價被低估的現象。 本研究以台灣地區共六家發光二極體封裝產業上市櫃公司為例，以其民國八十七年至九十四年的財務數據和資料，以五年為一階段，利用七種不同的評價模式：三階段成長現金流量折現法、三階段成長本益比法、三階段成長股價淨值比法、三階段股價銷售額比法、市場比較本益比法、市場比較股價淨值比法以及市場比較股價銷售額比法，預期九十二年初至九十五年初之理論實際股價，並與實際的市價作一比較，利用THEIL所提出的THEIL’S U值來比較不同評價模型與實際市價差距的績效，以選出最適合發光二極體封裝產業之企業評價模式。 本研究更進一步探討長久以來被實務界所詬病的綜合評價模式（結合不同的評價模式），試著經過第一階段實證結果的篩選，利用簡單權重結合本產業最佳和次佳的企業評價模式，以得到一個評價績效更勝於最佳評價模式的綜合評價法。 實證結果顯示，發光二極體最佳評價模型乃為市場比較股價銷售額比法(THEIL’S U=0.3515)，而三階段成長現金流量折現法，則適用於產業較穩定的情況下。突破性的發現則為，利用THEIL’S U值來比較評價績效而選出的最佳和次佳模型，在分別給予簡單權重（ex：50％：50％、60％：40％等）的情況下所得到的綜合評價法，其THEIL’S U值（<0.3515）比當初單一最佳評價法--市場比較股價銷售額比法(0.3515)還要來得低，顯示綜合評價法的有效性的確存在，並值得各界參考。此外，亦發現給予最佳評價法較大權重時，更可以進一步提昇綜合評價法之績效。此結果反駁了實務界長久以來對於綜合評價法的不信任，也給予證管會一個修正承銷價格公式的方向。跨類型的評價法結合並不是不可行，但是需要第一階段各個評價法的評價績效驗證，讓較佳的評價模式彼此結合以產生資訊互補的效果。

本論文採用Fama and French[1993]所提出之三因子模式為基礎，以公司規模[firm size]、帳面淨值市價比[book to market ratio]、及市場超額報酬[market excess return]為三因子，配合動能因子[momentum]及三種不同的流動性指標[成交量，成交值，成交量週轉率]來延伸探討五因子的時間序列資產定價模式。 本文的研究資料為西元1992年1月到西元2000年12月間的452家上市公司週資料，期望能解釋月資料所無法包含的資訊內涵。 結論： (1.)台灣股票市場確實有規模效果，淨值市價比效果，動能效果，及流動性效果。 (2.)市場因子具有解釋能力。 (3.)小公司投資組合解釋效果不佳，在台灣股票市場可能有其他因素未放入評價模式中驗證。 (4.)流動性指標在台灣股票市場上，確實和股票報酬有負向的關係存在，且建議以成交量週轉率作為流動性的代表指標。 (5.)台灣股票市場有顯著的動能存在，投資者可藉由動能策略獲得更高的超額報酬。 / This article provides evidence that stock returns listed in the Taiwan Stock Exchange do have shared variation due to the “market anomalies”, such as size, book-to-market ratio, momentum, and liquidity, which have been argued by scholars and investment professionals for many years. The evidence shows that small-cap effect plays an important role in explaining the violation in stock returns after controlling for other determinants of stock returns. Besides, value, momentum, and liquidity effect do exist in the Taiwan stock market. Moreover, we suggest that turnover rate is a better proxy for liquidity in terms of its stronger relations with the stylized portfolio returns. We empirically estimate the intercepts of our asset-market models using weekly time-series data for individual securities over the sample period from 1992 to 2000 and across 452 securities. To emphasize particularly, our result does not imply that the Taiwan stock market is not an efficient market.

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