An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market
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...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2006
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| Online Access: | https://eprints.nottingham.ac.uk/20433/ |
| _version_ | 1848792075063001088 |
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| author | YEH, YU-JEN |
| author_facet | YEH, YU-JEN |
| author_sort | YEH, YU-JEN |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T18:38:38Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-20433 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:38:38Z |
| publishDate | 2006 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-204332018-02-25T12:29:13Z https://eprints.nottingham.ac.uk/20433/ 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 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. 2006 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/20433/1/06MAlixyjy.pdf 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) CAPM Capital Asset Pricing Model three-factor model size effect |
| spellingShingle | CAPM Capital Asset Pricing Model three-factor model size effect YEH, YU-JEN An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market |
| title | An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market |
| title_full | An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market |
| title_fullStr | An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market |
| title_full_unstemmed | An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market |
| title_short | An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market |
| title_sort | empirical study of comparison between the capital asset pricing model and the fama-french three factor model: evidence from taiwan stock market |
| topic | CAPM Capital Asset Pricing Model three-factor model size effect |
| url | https://eprints.nottingham.ac.uk/20433/ |