The Applicability of Fama-French’s Three-factor Model in Taiwan Equity Market
碩士 === 國立高雄大學 === 金融管理學系碩士班 === 99 === Fama-French’s three-factor model is widely used to explain the cross section of stock returns across different countries. Their factor model assumes that investors would obtain relevant information at least in the end of June; however, this assumption is not al...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/47146947567804711707 |
| Summary: | 碩士 === 國立高雄大學 === 金融管理學系碩士班 === 99 === Fama-French’s three-factor model is widely used to explain the cross section of stock returns across different countries. Their factor model assumes that investors would obtain relevant information at least in the end of June; however, this assumption is not always supported in other countries due to distinct reporting requirements. This paper uses Taiwanese firms which possess different reporting requirements to observe whether different calculation methods of the three factors would distort the identification of anomalies. We find that the calculation methods of the three-factor model significantly affect the presence and significance of anomalies. Moreover, we also find that the sorting of variables based on profitability achieves the most significant and highest risk-adjusted returns under the three-factor models with different calculation methods. Overall, profitability-related anomalies cannot be subsumed by the three-factor model in Taiwan.
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