| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 92 === In this study we contacted with Asset Allocation and Asset Pricing Theory to analyze Taiwan stock returns determinants during June 1988 to June 2003. The underlying Assets are the public stocks in TEJ data base. In our asset pricing theory, we use simple model, one-factor model, three-factor model, and characteristic model. The method of parameter estimate is SUR model. We employ the SUR estimate to forecast the expect returns of portfolios, and ranked these portfolios according to their expect returns. Then we choose the individual stocks from the first and the second portfolio that their turn-over ratios are higher than the other stocks. The expect return and variance-covariance matrix of these individual stocks are estimated respectively by SUR method and History data method. Finally, we compare the investment result out of the sample of these different optimization portfolios.
The empirical result for Taiwan stocks is that: no matter to considerate the return only or to considerate both the return and the risk, the investment result of three-factor model that employ SUR method is the best one. Additionally, estimating the expect return in SUR method is more stable than that in history data method.
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