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

Yen-Sheng Huang

Applied Financial Economics, 1997, vol. 7, issue 3, 229-239

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.

Date: 1997
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DOI: 10.1080/096031097333583

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