在這個兩年期計畫的第二年計畫中，我們檢驗市場從眾行為如何影響台灣股市的橫斷面報酬。我們首先依標準化後之估計貝它值將每個月的橫斷面報酬率區分為十個投資組合，並發現這些投資組合的平均報酬率不僅跟估計貝它值的大小沒有單調關係，也似乎並不隨著市場從眾程度的大小而變化。這似乎反映出台灣股市的淺碟型特徵。透過迴歸分析，我們也並未發現高低貝它投資組合之間的報酬差異會顯著受到市場從眾程度大小的影響。與Hwang and Salmon(2009)的研究結果相較，市場從眾行為影響台灣股市的方式與其對美國股市之影響並不相同。 This is the second year‘s report of a two-year project. In this follow-up project, we investigate how market herding behavior may affect cross-sectional asset returns on Taiwan‘s stock market. We first form decile portfolios according to standardized beta, and find that beta does not forecast the following month’s cross-sectional returns neither unconditionally, nor conditional on the market herding state. This seems to reflect the shallow-disk characteristics of Taiwan‘s security market, where individual traders are easily infected by noises or attention-grabbing events. The regression analysis results also show that the high minus low beta returns are not significantly affected by the lagged market herding measure, which indicates that there hasn‘t been any asset pricing anomaly created by market herding behavior on Taiwan‘s stock market. Unlike the study of Hwang and Salmon (2009), the impact of market herding behavior on cross-sectional asset returns on the Taiwanese security market is different from that on the U.S.