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https://ah.lib.nccu.edu.tw/handle/140.119/75657
題名: | the absence of the book-to-market effect in the taiwan stock market: A decomposition approach | 作者: | Chiao, C.;Hung, W.;Yao, Chun 姚畯 |
貢獻者: | 會計系 | 關鍵詞: | decomposition analysis; financial market; stock market; Taiwan | 日期: | Jun-2010 | 上傳時間: | 10-Jun-2015 | 摘要: | This paper examines the absence of the book-to-market equity (BM) effect in the Taiwan stock market, applying the BM decomposition proposed by Daniel and Titman (2006). First, we do not observe a significantly negative correlation between future stock return and intangible return on research-and-development-intensive firms in Taiwan, which is inconsistent with the US evidence documented by Daniel and Titman. Second, undervaluation of research-and-development-intensive firms possibly leads to the absence of the BM effect. Those firms, most of which have low BM, perform well not only in the past, but also in the future, thereby obscuring the BM effect. © 2009 The Authors. Journal compilation © 2009 Japanese Economic Association. | 關聯: | Japanese Economic Review, Volume 61, Issue 2, Pages 289-299 | 資料類型: | article | DOI: | http://dx.doi.org/10.1111/j.1468-5876.2009.00485.x |
Appears in Collections: | 期刊論文 |
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