On the expected and actual return of Taiwan listed companies based on CAPM

• Main Authors: Shih Kan Chiu, 邱世淦
• Other Authors: AN-LIN CHEN
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/76285671848044620146

碩士 === 國立中山大學 === 企業管理學系研究所 === 101 === Abstract This study applies capital asset pricing model (CAPM) to evaluate expected returns of stocks and investigates how to choose the three parameters defined in the CPAM – risk-free rate, beta, and risk premium – to make the CPAM achieve the highest explanatory power for the stock expected return. This study also investigates, besides the systematic risk that can have an impact on stock expected return, if there are any other factors that have an impact on and explanatory power for the stock expected return. Some macroeconomic factors, such as stock market trends and the crude oil price, are studied to find out their impacts on the stock expected return. Other factors, including turnover rate, payout policy, size effect, and momentum, are also discussed in this study to examine their levels of impact on the stock expected return and to investigate if these anomalies exist in Taiwan’s stock market. This study designs an empirical model with the above factors and concludes the following results: 1. As for the choice of the CAPM factors, if the previous period of the Taiwan Stock Exchange is used as the data source, the explanatory power of the CAPM will be low. 2. The expected return of the Taiwan Stock Exchange market has a negative correlation with the stock trends, and the expected return is influenced by the turnover rate, size effect, and momentum. 3. The expected return of the bank stocks has a negative correlation with the stock trends, the expected return is influenced by the turnover rate as well as size effect, and it has a positive correlation with the crude oil price and a negative correlation with the momentum. 4. The expected return of the technology industry stocks has a negative correlation with the stock trends, the expected return is influenced by the turnover rate as well as size effect, and it has a negative correlation with the crude oil price and a negative correlation with the momentum. 5. The expected return of the traditional industry stocks has a negative correlation with the stock trends, the expected return is influenced by the turnover rate as well as size effect, it has a positive correlation with the crude oil price as well as the momentum and a negative correlation with the dividend payout ratio.