An empirical test of the risk-return relationship on the Taiwan Stock Exchange

This paper examines the risk - return relationship for stocks listed on the Taiwan Stock Exchange over the period 1971-93. Contrary to the prediction of the CAPM, the results indicate an inverse relationship between returns and systematic risk, unique risk, and total risk respectively. The results remain unchanged when firm size is controlled for. Moreover, the inverse risk - return relationship cannot be attributed to monthly seasonality.

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Year of publication:	1997
Authors:	Huang, Yen-Sheng
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 7.1997, 3, p. 229-239
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009206959