| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 90 === This thesis has examined the relationship between conditional/unconditional systematic risk and stock return for fourteen markets. The study period starts from Jan. 1980 to Dec. 2001, and key data are retrieved from Datastream, Aremos, and Tej, respectively. Applying the two-stage regression method developed by Fama and MacBeth (1973), this study finds no significant relation exists between unconditional systematic risk and equity return. However, a significant positive (negative) relationship exists between conditional systematic risk and equity return, which supports the major findings of other scholars. In addition, the “February” anomaly is evidenced for Asian markets in this study
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