| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 85 === The Capital Assets Pricing Model (CAPM) is widely used in
financial fields , but it''s still inconsistent with a
considerable body of empirical evidence . Some reasons have been
proposed to explain the inconsistency betwween the empirical
results and the predicted results of the CAPM .However , so far
it''s still unsatisfied . This study will focus on the number
of sample each portfolio . The purpose of this study is to re-
evaluate the suitability of the CAPM in Taiwan stock market when
the number of sample each portfolio increases . The sample
period selected by this study includes weekly , monthly , and
quarterly data , from 1991 to 1996 . The conclusions are the
following : 1.The CAPM indicate that the higher risk is , the
higher return is . But the relation between risk and return
in Taiwan stock market is not clear . 2.The systematic
risk (beta) is unable to explain the return of stocks
completely in Taiwan stock market . 3.From weekly , monthly ,
and quartely data , all the beta values of portfolio are
between 0.7 and 1.1 . In other word , the beta is very
centralized . From the empirical results of this study , the
CAPM is not suitable forTaiwan stock market during the sample
period .
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