| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 96 === This paper adopts the two-stage test to examine the capital asset pricing model（CAPM）and Fama-French three-factor model for equity listed in the Taiwan market. Also, we judge whether the results for t-tests are stable through changing the way to grouping. The results find that beta can’t explain the cross-section of stock returns alone, implying that the CAPM is not hold. On the other hand, when the two factors related to size and book-to-market equity are brought into the model, the average premium per unit of HML-beta is significantly positive at the 5% level. Neither of the average premiums per unit of beta and SMB-beta, however, is significant different from zero at the same level. It means that only HML-beta has explanatory power in the three-factor model. Besides, the average of the estimated intercepts is significantly negative value. Hence, we make an inference that there could be unknown risk factor. No matter how the portfolios are formed, the above is never violated. Adjustments for non-synchronous trading don’t affect the results as well.
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