The Impact of Size and Book-to-Market Ratio on the Selections of Efficient Portfolios─ An Application of Mean-Lower Partial Moment Model

• Main Authors: ChunYi Chen, 陳俊屹
• Other Authors: Sheu Her-Jiun
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/70866488748849099772

碩士 === 國立交通大學 === 經營管理研究所 === 89 === In this study, we focus on the problem of portfolio selection and efficiency under the effects of size and book-to-market ratios (BE/ME). The traditional portfolio ranking methods are based on the mean-variance (M-V) model. Although this two-moment method is convenient, it may be insufficient to characterize return distributions. Therefore, mean-lower partial moment (M-LPM) model is employed to examine the impact of the two factors on portfolio selection for the period 1986-2000 in Taiwan. Our results show that the size and book-to-market effects do exist in Taiwan stock market. Using the M-V model, the empirical evidence shows that firm size and BE/ME do not play significant roles in selecting efficient portfolios. However, using the M-LPM model, portfolios of high BE/ME stocks dominate those of low BE/ME stocks, especially for large-size stocks.