| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 95 === This is a research to test if Taiwan is the same as US that has size premium and value premium in stock market.The research find there is no size premium and value premium if group by Size-B/M ratio in Taiwan stock market; instead, there is if group by Size-E/P ratio. Moreover, value premium is positively correlated with firm’s size; that is the more size the firm is, the more value premium it is. This is very different from US stock market.
In addition, the research to test if CAPM can explain size premium and value premium. Like Fama and French (2006), this research find CAPM can’t explain the size premium and value premium whether beta is constant or varying. That is CAPM may not be appropriate for application in capital market of real word.
This research show that there are much difference between Taiwan and US stock market. It also implies that conclusion on researching US market may not be suitable to other country’s market. It is still leaving much for future research to find other country’s characteristics of capital market.
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