1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Periodical Articles
  5. Item

學術產出-Periodical Articles

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

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 2010-06
上傳時間 10-Jun-2015 16:56:34 (UTC+8)
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
dc.contributor 會計系
dc.creator (作者) Chiao, C.;Hung, W.;Yao, Chun
dc.creator (作者) 姚畯zh_TW
dc.date (日期) 2010-06
dc.date.accessioned 10-Jun-2015 16:56:34 (UTC+8)-
dc.date.available 10-Jun-2015 16:56:34 (UTC+8)-
dc.date.issued (上傳時間) 10-Jun-2015 16:56:34 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/75657-
dc.description.abstract (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.
dc.format.extent 322886 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Japanese Economic Review, Volume 61, Issue 2, Pages 289-299
dc.subject (關鍵詞) decomposition analysis; financial market; stock market; Taiwan
dc.title (題名) the absence of the book-to-market effect in the taiwan stock market: A decomposition approach
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1111/j.1468-5876.2009.00485.xen_US
dc.doi.uri (DOI) http://dx.doi.org/10.1111/j.1468-5876.2009.00485.xen_US