An Empirical Study of Extending the Capital Asset Pricing Model in Taiwan Stock Market: the Reward Beta Approach
| Autor: | Sheng-hsuan Tseng, 曾聖軒 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 This paper investigates the empirical study of reward beta model in Taiwan stock market and compares the results with traditional CAPM. We demonstrate the relation between stock return and risk by utilizing the techniques of Ordinary Least Square (OLS) and Quantile Regression (QR). By the advantage of QR, we try to test individual stocks directly without grouping and to check whether the theorems of CAPM and reward beta model can be realized in actual financial market. We also intend to confirm whether the market price of risk differs under different conditional distribution. The empirical results suggest that Taiwan stock market cannot meet the theorems of CAPM and reward beta model. For CAPM beta, there is no significant risk premium by OLS, but when using the technique of QR, we can detect that the market price of CAPM beta is significant in both tails of the conditional distribution – negative for the firms that underperform and positive for the firms that overperform. When the sample is split into periods according to whether the excess market return is positive or negative, there is a significant relationship between CAPM beta and return from the OLS method. We also detect this by QR and find out that when the excess market return is positive (negative), there is no significant relation between CAPM beta and the return for the firms that underperform (overperform). This paper also finds out that there is different risk premium for the firms under different conditional distribution. As for reward beta, it has no significant influence on the stock return from the OLS and QR technique. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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