The International Journal of Business and Finance Research, Vol. 4, No. 3, pp. 79-91, 2010
13 Pages Posted: 4 Jul 2011
Date Written: 2010
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.
Keywords: asset pricing model, cointegration, holding period
JEL Classification: G11, G12
Suggested Citation: Suggested Citation
Jan, Yin-Ching and Chiu, Su-Ling, Holding Period and Cross-Sectional Stock Returns: Evidence from Taiwan (2010). The International Journal of Business and Finance Research, Vol. 4, No. 3, pp. 79-91, 2010. Available at SSRN: https://ssrn.com/abstract=1875049