VaR and the cross-section of expected stock returns: an emerging market evidence
DOI: https://doi.org/10.3846/16111699.2012.744343Abstract
In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market – Taiwan's stock market. The main purpose is to examine whether the Value-at-Risk factor has marginal explanatory power related to the Fama-French three-factor model. The empirical results show that Value-at-Risk can account for the average stock returns at both 1% and 5% significance levels based on cross-sectional regression analysis. Moreover, from the perspective of the time series regression, the Value-at-Risk factor can also demonstrate the variation of the stock market, especially for the larger companies in the Taiwan stock market.
Keywords:
CAPM, market beta, anomalies, emerging stock market, Value-at-Risk, Fama-French factorsHow to Cite
Share
License
Copyright (c) 2014 The Author(s). Published by Vilnius Gediminas Technical University.
This work is licensed under a Creative Commons Attribution 4.0 International License.
View article in other formats
Published
Issue
Section
Copyright
Copyright (c) 2014 The Author(s). Published by Vilnius Gediminas Technical University.
License
This work is licensed under a Creative Commons Attribution 4.0 International License.