碩士 / 國立臺北大學 / 國際財務金融碩士在職專班 / 104 / This study investigates the impacts of the Fama-French three-factor model, market and financial information on individual stock returns. In addition, the study also investigates and compares the differences between pre- and post 2008 financial Tsunami periods. Annual data, ranging from 2003 to 2014, were collected from the top 100 listed companies using Taiwan Economic Journal database. Multiple regression analysis is employed to analyze the full sample, pre- and post- the Financial Tsunami periods. The empirical findings are summarized as follows:
First, both the annual rate of return of Taiwan Stock Weighted Index and P/B ratio have significant impacts on stock returns. Secondly, the financial information such as dividend yield, the annual turnover rate, revenue growth, net income growth rates have significant impacts on stock returns. Thirdly, the comparison between the pre- and post- the financial Tsunami, financial information such as dividend yield, the annual turnover rate, the return on assets, revenue growth, net income growth rates have significant impacts on stock returns
| Identifer | oai:union.ndltd.org:TW/104NTPU1304018 |
| Date | January 2016 |
| Creators | LU,CHI-CHUN, 盧其君 |
| Contributors | GOO, YEONG-JIA, 古永嘉 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 111 |
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