An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market

YEH, YU-JEN (2006) An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

The present study adds to the scarce published Taiwan literature on the size effect, the book-to-market effect and the comparison of explanatory power between the Capital Asset Pricing Model (CAPM) and the Fama and French three-factor model. The current study investigates Taiwan stock market during the time period of July 1999 to June 2005, and finds that the three-factor model provides significantly improved explanatory power over the CAPM, and evidences that the size factor plays an important role in asset pricing for the Taiwan stock market.

Item Type: Dissertation (University of Nottingham only)
Keywords: CAPM, Capital Asset Pricing Model, three-factor model, size effect
Depositing User: EP, Services
Date Deposited: 05 Jan 2007
Last Modified: 27 Sep 2016 11:42
URI: http://eprints.nottingham.ac.uk/id/eprint/20433

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