Does idiosyncratic risk matter？Evidence from Taiwan market .
| Autor: | Chuang-Lin Li, 李昌霖 |
|---|---|
| Rok vydání: | 2008 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 The cross-sectional security and portfolio returns priced by systematic risk and unsystematic risk have been researched persistently in pass papers. The representative of systematic risk is the beta variable, and for the unsystematic risk there are size, book-to-market equity, leverage, E/P ratio, and liquidity ……. Idiosyncratic risk, however, has been gradually playing an important role in explaining the cross-sectional returns in recent papers. The difference between the characteristic of risk, and even extreme positive ones on highly fluctuating firms would influence their outcomes. The objective we want to realize is whether idiosyncratic volatility is also useful in explaining cross-sectional returns in Taiwan stock market and whether results are deeply affected by extreme observations. Approaches suggested by Malkiel and Xu(2006) and Knez and Ready(1997), investigate idiosyncratic risk in Taiwan and explain how to isolate by LTS. The samples are stocks traded in TSE and OTC from 1980 to 2006. The empirical results show that idiosyncratic risk explained in cross-sectional returns is better than other variables in Taiwan, and show that small sized companies have higher beta and higher idiosyncratic risk and therefore compensate for high returns. Finally we isolated the extreme samples with abnormal excess returns that have different outcomes between full samples and isolated samples. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|