Cross-Sectional Return Predictability in Taiwan Stock Exchange: An Empirical Investigation

Nusret Cakici (), Kudret Topyan () and Chia-Jane Wang ()
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Nusret Cakici: Fordham University, Graduate School of Business, 113 West 60th Street, New York, NY 10023, United States
Kudret Topyan: Manhattan College, School of Business, Department of Economics and Finance, Manhattan College Parkway, Riverdale, NY 10471-4098, United States
Chia-Jane Wang: Manhattan College, School of Business, Department of Economics and Finance, Manhattan College Parkway, Riverdale, NY 10471-4098, United States

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2014, vol. 17, issue 02, 1-44

Abstract: This paper provides an analysis of the effectiveness of certain return predictors in Taiwan Stock Exchange (TWSE) from January 1990 to December 2011 by employing both portfolio method and cross-sectional regressions. While we found no statistically significant predictive power of beta, total volatility, and idiosyncratic volatility the two cheapness variables, book-to-market (BKMT) and cash-flow-to-price (FPR) ratios showed strong consistent economically and statistically significant predictive powers. In addition, our multiple regressions found predictive power in total volatility, short-term reversal (STREV), and market capitalization in the set ofsmallstocks, while ourallstock set showed predictive power only in total volatility and STREV.

Keywords: Taiwan stock exchange; TWSE; stock return predictors; book-to-market ratio; momentum; stock cheapness; G10; G11; G12 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1142/S0219091514500106

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