Reverse-Engineering and Real Options–Adjusted CAPM in the Taiwan Stock Market
| Autor: | Hung-Hsi Huang, Ching-Ping Wang, Jin-Sheng Hu |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Reverse engineering
050208 finance Financial economics 05 social sciences Regression analysis Stock return computer.software_genre 0502 economics and business Economics Capital asset pricing model Stock market 050207 economics General Economics Econometrics and Finance computer Finance Stock (geology) |
| Zdroj: | Emerging Markets Finance and Trade. 53:670-687 |
| ISSN: | 1558-0938 1540-496X |
| DOI: | 10.1080/1540496x.2016.1193484 |
| Popis: | Previous studies have addressed many anomalies that violate the capital asset pricing model (CAPM). However, recent studies have employed either the reverse-engineering (RE) approach or the options-adjusted approach to verify the validity of CAPM on the developed stock markets. This study simultaneously employs the two approaches on the Taiwan’s stock market and obtains a consistent result with those on the developed stock markets. Additionally, this study compares the predicting stock return ability among various regression models and anomaly variables. For completeness, the betas of CAPM and Fama–French three factors are adopted from the historical, Vasicek-adjusted, and time-varying conditional betas. |
| Databáze: | OpenAIRE |
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