| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 105 === This study explores the effect of stock return dispersion on prosperity index and market return factors. The sample consists of all listed companies in Chinese stock markets and Taiwan stock markets from June 2000 to June 2015. This study first examines the forecast ability of stock return dispersion on prosperity index, and finds that the dispersion has a positive effect on prosperity index in Taiwan markets but no effect in Chinese markets. Cross-section regressions of market return factors on stock return dispersion find that stock return dispersion has a strong positive ability to forecast the future market value factor (SMB). For the book-market ratio（HML）, this study finds the equal-weighted stock return dispersion has the same results as SMB factor, but when we use the value-weighted stock return dispersion, only the Taiwan market shows significant results. In the momentum factor analysis, this study finds that the equal-weighted return dispersion has a stronger positive effect in Chinese markets than Taiwan markets, but the value-weighted return dispersion factor only performs well in the Shanghai stock exchange. Finally, this study uses our model to test across different periods to ensure the robustness to our results.
|
|---|
