標題: | VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE |
作者: | 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 |
關鍵字: | CAPM;market beta;anomalies;emerging stock market;Value-at-Risk;Fama-French factors |
公開日期: | 1-六月-2014 |
摘要: | 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. |
URI: | http://dx.doi.org/10.3846/16111699.2012.744343 http://hdl.handle.net/11536/24994 |
ISSN: | 1611-1699 |
DOI: | 10.3846/16111699.2012.744343 |
期刊: | JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT |
Volume: | 15 |
Issue: | 3 |
起始頁: | 441 |
結束頁: | 459 |
顯示於類別: | 期刊論文 |