The Analysis of the Factors Effecting the Stock Returns of Taiwan Traditional Industries

• Main Authors: Yu-Ning Lin, 林郁寧
• Other Authors: Kun-Hui Lin
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/96977011064733573996

碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === This paper investigates the explanation factors on the return of traditional industries in Taiwan. In this paper we discuss the excess stock return of traditional industries in Taiwan stock market. The three-factor model is established by including systematic risk, size, and book value to market value ratio. The five-factor model generalized the problem by considering turnover ratio and E/P ratio in addition. We compare with three-factor model and five-factor model. The result of the three-factor model shows that systematic risk and size are the major explanation factors on the return of traditional industries in Taiwan. The result of the five-factor model shows that systematic risk, size, book value to market value ratio and E/P ratio are the major explanation factors on the return of traditional industries in Taiwan.