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Holding Period And Cross-Sectional Stock Returns: Evidence From Taiwan

Author

Listed:
  • Yin-Ching Jan
  • Su-Ling Chiu

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.

Suggested Citation

  • 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.
    • Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:3:p:79-91
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    References listed on IDEAS

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    More about this item

    Keywords

    Asset pricing model; cointegration; holding period;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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