Browsing by Author "Wu, Su-Chen"

Now showing 1 - 1 of 1

VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE
(2014-06-01)
Chen, Dar-Hsin
;
Chen, Chun-Da
;
Wu, Su-Chen
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market - Taiwan\'s stock market. The main purpose is to examine whether the Value-at-Risk factor has marginal explanatory power related to the Fama-French three-factor model. The empirical results show that Value-at-Risk can account for the average stock returns at both 1% and 5% significance levels based on cross-sectional regression analysis. Moreover, from the perspective of the time series regression, the Value-at-Risk factor can also demonstrate the variation of the stock market, especially for the larger companies in the Taiwan stock market.