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- W2135731196 abstract "This paper provides an analysis of the effectiveness of certain return predictors in Taiwan Stock Exchange (TWSE) from January 1990 to December 2011 by employing both portfolio method and cross-sectional regressions. While we found no statistically significant predictive power of beta, total volatility, and idiosyncratic volatility the two cheapness variables, book-to-market (BKMT) and cash-flow-to-price (FPR) ratios showed strong consistent economically and statistically significant predictive powers. In addition, our multiple regressions found predictive power in total volatility, short-term reversal (STREV), and market capitalization in the set of small stocks, while our all stock set showed predictive power only in total volatility and STREV." @default.
- W2135731196 created "2016-06-24" @default.
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- W2135731196 date "2014-06-01" @default.
- W2135731196 modified "2023-09-27" @default.
- W2135731196 title "Cross-Sectional Return Predictability in Taiwan Stock Exchange: An Empirical Investigation" @default.
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- W2135731196 doi "https://doi.org/10.1142/s0219091514500106" @default.
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