| Summary: | 碩士 === 淡江大學 === 統計學系碩士班 === 101 === Mean estimation models of the expected rate of returns have been played an important role in financial related area academically and practically. Three estimation models are studied and employed in Taiwan’s Stock Market.
Empirical data collected in this study are put into two parts - the monthly and daily data. The monthly data for the study period was from January 1991 to December 2010, with the monthly return in 20 year period in a total of 840 securities; and the daily data for the study period was from January 2007-December 2011, with the daily return in five year period in a total of 840 securities.
Empirical results show that we can get better results in the planning process by selecting corporate securities that holds the company number between 10-20 in the Taiwan stock market, and by using the capital asset pricing model or Fama & French (1993) three-factor model as the expected return estimation model, along with the variance - covariance matrix as the imported asset allocation optimization.
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