A Study on the Multi-Factor Model of Electronic Firms' Returns in Taiwan Stock Market

• Main Authors: Jian,Jia Yi, 簡嘉怡
• Other Authors: Lin,Kun Hui
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/94056666315181089336

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 Electronic Firms in Taiwan Stock Market. In this paper we discuss the excess stock return of Electronic Firms in Taiwan Stock Market. The three-factor model is based on Fama and French. The three-factor model includes systematic risk, size, and book to market value. The five factor model generalized the problem by considering turnover ratio and P/E ratio in addition. We use monthly returns from January 2004 to December 2008. We use T-statistics and F-statistics to test the significance in these regression models. The results of this study show that systematic risk, size, book to market value ratio, turnover ratio are the major explanation factors of Electronic Firms in Taiwan Stock Market. Five-factor model have more predictive power than three-factor model.