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Holding Period and Cross-Sectional Stock Returns: Evidence from Taiwan

The International Journal of Business and Finance Research, Vol. 4, No. 3, pp. 79-91, 2010

13 Pages Posted: 4 Jul 2011  

Yin-Ching Jan

National Chin-Yi University of Technology

Su-Ling Chiu

National Chin-Yi University of Technology

Date Written: 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.

Keywords: asset pricing model, cointegration, holding period

JEL Classification: G11, G12

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

Yin-Ching Jan (Contact Author)

National Chin-Yi University of Technology ( email )

China

Su-Ling Chiu

National Chin-Yi University of Technology ( email )

China

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