Capital Assets Pricing Model (CAPM) proposed by Sharpe (1964) is the most popular model for evaluation of expected returns. Based on CAPM, beta is the only cause for the expected return. However, Banz (1981) and Reinganum (1981) argue that firm size is also influential for asset returns even beta is controlled. The size effect is called an anomaly for the pricing model based on CAPM. Besides size, Fama and French (1992) show that the Book-to-Market ratio is also significant for the stock returns. Basically, the size and Book-to-Market challenge the role of beta in evaluating the expected returns of assets. Nevertheless, Kothari, Shanken and Sloan (1995) show that beta is the only cause of asset returns if longer holding returns are conducted in the tests of the pricing model.
This thesis employs two kinds of length of holding return to examine the effects of size and beta in the asset returns. For shorter holding beta, we use the weekly data while we use monthly beta for longer holding return. We find that beta and size are both positively related to asset returns. No matter which length of holding return is applied. However, the positive relation between size and expected return in Taiwan needs further investigation.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0620100-213754 |
| Date | 20 June 2000 |
| Creators | Yeh, Chung-kang |
| Contributors | ruey-dang Chang, Chris Liao, Anlin Chan |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620100-213754 |
| Rights | not_available, Copyright information available at source archive |
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