| Summary: | 碩士 === 國立中山大學 === 企業管理研究所 === 82 === This paper discusses the explainational factors of stock return
in the Taiwan Stock Exchange(TSE) and produces the multi-
factor asset pricing model in the TSE. The period of the
studies is from May 1984 to April 1993. I select six factors
which contain system risk,size,book value,book value to market
value ratio,earning to price ratio,and dividend yield and
analyse. Cross-section analyses adapt the Fama-MacBeth
regression, run the statistical test of the regressional slopes
in all time, and judge which factors are significant. Time-
series analyses adapt Black, Jensen & Scholes regression to
judge whether the regression can describe the cross-section of
average stock return completely and to determine the asset
pricing model in the TSE. This paper finds: 1.Size and earning
to price ratio are the major explanation- al factors in the
TSE. Earning to price ratio can explain stock return
independently and size is the proxy of other factors. 2.Three-
factor(size,earning to price ratio,and market) asset pricing
model fits the empirical application in the TSE. Market factor
explains the difference of the portfolio''s return and free-risk
asset''s return. Size factor and earning to price ratio factor
explain the difference of the portfolios'' return.
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