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• Main Authors: Chao-peng Lin, 林昭芃
• Other Authors: 陳禮潭, 蔡偉德
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/17937591765306020686

碩士 === 國立中央大學 === 產業經濟研究所 === 95 === In this paper, we discuss the excess stock return, size effect or value premium phenomenon based on Faman and French (1996, 2005) using book - to - market ratios and earnings - price ratios for value and growth portfolios. We use monthly returns from January 1986 to December 2006. Size and book - to - market ratios (or earnings - price ratios) combine to capture the excess stock return., size effect and value premium phenomenon. Whether the sign factor model can explains value Premiums. Whether the three factors model have the predictive power to explain excess return in Taiwan stock market. Whether or not system risk beta can explain return. The empirical results show that portfolio return differences between value and growth stocks show that exist size effect and value premium phenomenon. The value premium reported in the result is strongest for large-capitalization firms. Three factors model have more predictive power to discuss excess return than one factor model or two factors model. The CAPM model can’t explain value premiums and the system risk beta can''t explain the return rate.