| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === The paper is a study on determinants of stock return in Taiwan stock market. we will try to discuss two discussion. An investigation on factors of stock market in Taiwan secondary market and Taiwan over-the-counter market first. The stock market’ characteristic is same or different in Taiwan secondary market and Taiwan over-the-counter market second.
The three-factor model is based on Fama and French. The three-factor model include beat, size, book to market value. Then, we use three-factor model of Fama and French to add new one factor of turnover ratio factor. We use monthly returns form January 2004 to December 2008. We use test of T-statistics and F-statistics to test the significance in these regression model. We will compare five-factor model and three-factor model what determinants are better.
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