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An Analysis of Risk Neutral Strategies in Taiwanese Stock Markets

Risk neutral strategies emphasize stock selection rather than market timing in order to achieve the objective of a positive abnormal return. Using CAPM and Fama-French three-factor models as benchmark, this study applies the risk neutral strategies to Taiwanese stock markets. Empirical results reveal that R-square of Fama-French 3-factor model is higher than that of CAPM, implying that Fama-French model outperforms CAPM in explaining the stock returns in our sample. In addition, Portfolios 1 and 2 generate significantly positive abnormal returns. We conclude that risk neutral strategies offer positive abnormal returns.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0810107-085415
Date10 August 2007
CreatorsSu, Yu-Fang
Contributorsnone, none, none
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageCholon
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0810107-085415
Rightsnot_available, Copyright information available at source archive

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