Abstract
This study explores the cross-sectional relationship between market beta, sales-to-price, trading volume and stock returns, on Taiwan Stock Exchange from July 1976 to June 1996. Our results show that market beta, trading volume, and sales-to-price seem to have a joint role in explaining the cross-section of average returns. We also find a highly significant conditional relationship between beta and cross-sectional stock returns. These results provide support to continue using beta as a measure of market risk. Finally, our results indicate that the trading volume and sales-to-price effects in average returns are due to investor overreaction.
| Original language | English |
|---|---|
| Pages (from-to) | 1-18 |
| Number of pages | 18 |
| Journal | International Review of Financial Analysis |
| Volume | 7 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1998 |
| Externally published | Yes |
Keywords
- Asset pricing
- Overreaction
- Taiwan