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政大機構典藏 > 商學院 > 會計學系 > 期刊論文 > Item 140.119/75657

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Title:	the absence of the book-to-market effect in the taiwan stock market: A decomposition approach
Authors:	Chiao, C.;Hung, W.;Yao, Chun 姚畯
Contributors:	會計系
Keywords:	decomposition analysis;financial market;stock market;Taiwan
Date:	2010-06
Issue Date:	2015-06-10 16:56:34 (UTC+8)
Abstract:	This paper examines the absence of the book-to-market equity (BM) effect in the Taiwan stock market, applying the BM decomposition proposed by Daniel and Titman (2006). First, we do not observe a significantly negative correlation between future stock return and intangible return on research-and-development-intensive firms in Taiwan, which is inconsistent with the US evidence documented by Daniel and Titman. Second, undervaluation of research-and-development-intensive firms possibly leads to the absence of the BM effect. Those firms, most of which have low BM, perform well not only in the past, but also in the future, thereby obscuring the BM effect. © 2009 The Authors. Journal compilation © 2009 Japanese Economic Association.
Relation:	Japanese Economic Review, Volume 61, Issue 2, Pages 289-299
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/j.1468-5876.2009.00485.x
DOI:	10.1111/j.1468-5876.2009.00485.x
Appears in Collections:	[會計學系] 期刊論文

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