VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE

被引：11

作者：

Chen, Dar-Hsin ^{[1
]}

Chen, Chun-Da ^{[2
]}

Wu, Su-Chen ^{[3
]}

机构：

[1] Natl Taipei Univ, Coll Business, Dept Business Adm, Taipei 237, Taiwan

[2] Tennessee State Univ, Coll Business, Dept Econ & Finance, Nashville, TN 37203 USA

[3] Natl Chiao Tung Univ, Grad Inst Finance, Hsinchu, Taiwan

来源：

JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT | 2014年 / 15卷 / 03期

关键词：

CAPM; market beta; anomalies; emerging stock market; Value-at-Risk; Fama-French factors; RISK; EQUILIBRIUM; INVESTMENT; VOLATILITY; EARNINGS; EQUITY; SIZE;

D O I：

10.3846/16111699.2012.744343

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market - Taiwan's stock market. The main purpose is to examine whether the Value-at-Risk factor has marginal explanatory power related to the Fama-French three-factor model. The empirical results show that Value-at-Risk can account for the average stock returns at both 1% and 5% significance levels based on cross-sectional regression analysis. Moreover, from the perspective of the time series regression, the Value-at-Risk factor can also demonstrate the variation of the stock market, especially for the larger companies in the Taiwan stock market.

引用

页码：441 / 459

页数：19

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