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An empirical test of the risk-return relationship on the Taiwan Stock Exchange

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  • Yen-Sheng Huang

Abstract

This paper examines the risk - return relationship for stocks listed on the Taiwan Stock Exchange over the period 1971-93. Contrary to the prediction of the CAPM, the results indicate an inverse relationship between returns and systematic risk, unique risk, and total risk respectively. The results remain unchanged when firm size is controlled for. Moreover, the inverse risk - return relationship cannot be attributed to monthly seasonality.

Suggested Citation

  • Yen-Sheng Huang, 1997. "An empirical test of the risk-return relationship on the Taiwan Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 229-239.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:229-239
    DOI: 10.1080/096031097333583
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    Cited by:

    1. Walid Saleh, 2007. "Overreaction: the sensitivity of defining the duration of the formation period," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 45-61.
    2. Yin-Ching Jan & Su-Ling Chiu, 2010. "Holding Period And Cross-Sectional Stock Returns: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(3), pages 79-91.
    3. Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016. "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 365-379.
    4. Iqbal, Javed & Brooks, Robert, 2007. "Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan," Journal of Multinational Financial Management, Elsevier, vol. 17(1), pages 75-93, February.

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