HOLDING PERIOD AND CROSS-SECTIONAL STOCK RETURNS: EVIDENCE FROM TAIWAN

Yin-Ching Jan and Su-Ling Chiu

The International Journal of Business and Finance Research, 2010, vol. 4, issue 3, 79-91

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.

Keywords: Asset pricing model; cointegration; holding period (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:4:y:2010:i:3:p:79-91

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