| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 102 === Idiosyncratic risk ability to predict the socks return is currently still in the research of Finance opinions. Due to the different methods or maternal various scholars used in empirical construct and measure variables there are many different models. Therefore, this article would like to discuss the Taiwan stock market, the firm characteristics a unique impact on the relationship between idiosyncratic risk and expected return.
First, this paper examine the relationship between idiosyncratic risk stocks and stock returns in the cross-sectional study to take Fama and French (1993) three-factor model of direct decomposition of (direct decomposition method) Xu and Malkiel (2003) and Goyal and Santa-Clara (2003) that is used as the standard deviation of the residuals of the estimated value of the idiosyncratic risk In this study, monthly stock return data as sample to estimate the idiosyncratic risk variables to observe whether the unique risks for stock returns have explanatory power. After using the Fama and MacBeth (1973) regression method to idiosyncratic risk and stock excess returns regression analysis found that its interpretation of the excess return on the stock, with a significant positive relationship. And consistent with Spiegel and Wang (2005) Fu (2009) findings. This study further explore the characteristics of the company of the relationship between the idiosyncratic risk and return.
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