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


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