The Relationship between Risk, Size, Book-to-Market Ratio, Correspondent Bank's Performance and Return in Taiwan Stock Market
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === In this paper, we adopt Fama and French three-factor model and form the four variables model with adding of the correspondent bank’s performance to discuss the relationship between market risk, size, book-to-market ratio, correspondent bank’s performance and...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/vrdr26 |
| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === In this paper, we adopt Fama and French three-factor model and form the four variables model with adding of the correspondent bank’s performance to discuss the relationship between market risk, size, book-to-market ratio, correspondent bank’s performance and return in Taiwan stock market. In our sample we find that the risk premium of stocks is larger than the risk premium of market portfolio and the empirical results show that: 1. The return of stock is significantly and positively associated with market factor and size factor. 2. Book-to-market ratio factor has no significant explanation ability to the return of stock. 3. Correspondent bank’s performance has no significant explanation ability to the return of stock in the portfolio regression analysis but it has a positive influence in the Panel Data model analysis.
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