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Holding Period and Cross-Sectional Stock Returns: Evidence from TaiwanYin-Ching JanNational Chin-Yi University of Technology Su-Ling ChiuNational Chin-Yi University of Technology 2010 The International Journal of Business and Finance Research, Vol. 4, No. 3, pp. 79-91, 2010 Abstract: This paper employs a hybrid approach that combines an adapted version of Fama-MacBeth two-pass regression with Engle-Granger cointegration test to characterize the relationship between expected stock returns and systematic risks with diverse investment horizons. We find no evidence supporting a positive relationship between the market beta and return for various investment horizons. The book-to-market effect is sensitive to the investment horizon. We find a size effect for diverse investment horizons in period from 1986 to 1993. However, the size effect disappears in the subsequent period.
Number of Pages in PDF File: 13 Keywords: asset pricing model, cointegration, holding period JEL Classification: G11, G12 Accepted Paper SeriesDate posted: July 4, 2011Suggested Citation |
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