The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market
Financial anomalies in world trading markets have been known about and discussed for several years. The aim of this research is to examine whether or not the size effect—defined simply as the effect of firm size, as measured by market value, on investment returns—could be significantly found in the...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/22871/ |
| _version_ | 1848792466948358144 |
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| author | Lin, Yu-Sheng |
| author_facet | Lin, Yu-Sheng |
| author_sort | Lin, Yu-Sheng |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Financial anomalies in world trading markets have been known about and discussed for several years. The aim of this research is to examine whether or not the size effect—defined simply as the effect of firm size, as measured by market value, on investment returns—could be significantly found in the Taiwanese stock market. In pursuit of this goal, the explanatory powers of the capital asset pricing model (CAPM) (1963) and the Fama and French model (1993) have been applied to this issue. The study period covers the years 1989 to 2008 by using data collected from the Taiwan Economic Journal.
The result shows the size effect does not exist in Taiwan. However, the “Negative size effect,” by which is meant the opposite of the size effect, has been found significantly. That is, over the past 20 years, the large capitalization stocks have outperformed the small capitalization stocks. Furthermore, in terms of statistics, the performance of stock prices could be more accurately captured by the Fama and French model in comparison with the CAPM. |
| first_indexed | 2025-11-14T18:44:52Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-22871 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:44:52Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-228712017-12-21T15:20:41Z https://eprints.nottingham.ac.uk/22871/ The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market Lin, Yu-Sheng Financial anomalies in world trading markets have been known about and discussed for several years. The aim of this research is to examine whether or not the size effect—defined simply as the effect of firm size, as measured by market value, on investment returns—could be significantly found in the Taiwanese stock market. In pursuit of this goal, the explanatory powers of the capital asset pricing model (CAPM) (1963) and the Fama and French model (1993) have been applied to this issue. The study period covers the years 1989 to 2008 by using data collected from the Taiwan Economic Journal. The result shows the size effect does not exist in Taiwan. However, the “Negative size effect,” by which is meant the opposite of the size effect, has been found significantly. That is, over the past 20 years, the large capitalization stocks have outperformed the small capitalization stocks. Furthermore, in terms of statistics, the performance of stock prices could be more accurately captured by the Fama and French model in comparison with the CAPM. 2009-09-09 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/22871/1/LIN_YU-SHENG_DISSERTATION.pdf Lin, Yu-Sheng (2009) The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Lin, Yu-Sheng The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market |
| title | The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market |
| title_full | The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market |
| title_fullStr | The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market |
| title_full_unstemmed | The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market |
| title_short | The Examination of Size Effect and Three Factor Model in Taiwanese Stock Market |
| title_sort | examination of size effect and three factor model in taiwanese stock market |
| url | https://eprints.nottingham.ac.uk/22871/ |