碩士 / 逢甲大學 / 企業管理學系 / 87 / The Capital Asset Pricing Model describes the relationship between risk and expected average returns. But many scholars find that risk is not the only factor explain expected returns. Most of scholars in foreign and Taiwan find that size, systematic risk, BE/ME ratio, financial leverage and E/P ratio can explain significant expected returns on securities. Thus this paper examines that size effect, systematic risk effect, BE/ME effect, leverage effect and E/P effect exist in Taiwan and Shanghai stock markets. The periods of study start from May of 1987 to April of 1998 in Taiwan stock market and May of 1987 to April of 1998 in Shanghai stock market.
This paper employs cross-section regression model of Fama and MacBeth (1973) to analyze individual and portfolio stocks. The major findings can be summarized as follows:
1. Size effect, systematic risk effect and BE/ME effect exist in Taiwan stock market. Specifically, firm size seems to absorb the role of systematic risk in average stock returns. Financial leverage effect and E/P effect don''''t exist in Taiwan stock market.
2. Size, systematic risk and BE/ME have no significant impacts on the average stock returns. Furthermore, financial leverage effect and E/P effect don''''t have existence.
3. Fama and French (1992) report that size and BE/ME ratio help explain stock returns for the universe of NYSE, Amex, and Nasdaq securities. Besides their findings, this paper also confirms that systematic risk have significant impacts on the average stock returns.
| Identifer | oai:union.ndltd.org:TW/087FCU00121002 |
| Date | January 1999 |
| Creators | Chan Hui Ping, 陳惠萍 |
| Contributors | Liao Tung Liang, 廖東亮 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 87 |
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