無

The daily data of stock returns in Taiwan stock market suffer from thin trading, price limits and non-normality that either cause specific estimation problems due to the daily characteristic or violate the assumption of traditional CAPM. These violations of the traditional market model could cause serious biases in estimation of beta. This paper takes use of the Aggregate Model, Partial Adaptive Model, and Two-limit Logit Model to tackle the problems resulting from the violations. The empirical results are consistent with previous literatures, and indicating that the partial adaptive estimator with censorship has the highest likelihood value. Meanwhile, the result also reveals that size and liquidity do play important roles in affecting the behaviors of stock returns in different ways.

1. Introduction
2. The Data
3. Methodology
4. Empirical results
5. Conclusion

[1]Amihud, Y., Mendelson, H., 1986, Asset pricing and the bid-ask spread. Journal of Financial Economics 17, 223-249.
[2]Bookstaber. R M. and J. B. McDonald (1987). A general distribution for describing security price returns. J. Business 60.401-424.
[3]Danial, K., Titman, S., 1997, Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance 52, 1-33. 278.
[4]Dimson, E.,(1979), Risk measurement when shares are subject to infrequent trading, Journal of Financial Economics 7, 197-226
[5]Fama, E.,(1965), The Behavior of Stock Market Price, Journal of Business, 38, pp.34-105.
[6]Fama, E. F. and R. Roll (1968). Some properties for symmetric stable distributions. J. Amer. Statist. Assoc. 63. 81 7-836.
[7]Fama, E.F., French, K.R., 1992, The cross-section of expected stock returns. Journal of Finance 47, 427-465.
[8]Fama, E.F., French, K.R., 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
[9]Fama, E.F., French, K.R., 1996, Multifactor explanations for asset pricing anomalies. Journal of Finance 51, 55-84.
[10]Fama, E.F., French, K.R., 1998, Value versus growth: The international evidence. Journal of Finance 53, 1975-1999
[11]Kim, K. A., Limpaphayom, P. (2000), Characteristic of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand, Journal of Financial Markets 3 315-332.
[12]Lurie, D., Hartley, H. O. and Stroud. M. R. (1974). A goodness of fit test for censored data. Communications in Statistics 3, 745-753.
[13]Maddala, G.S.(1983).Dependent and qualitative variables in Econometrics.
[14]McDonald, J. B. and Richards, D. O.(1987).Model selection: Some generalized distributions. Commun. Statist.-Theory Meth.,16(4), 1049-1074.
[15]McDonald, J. B. and W. K.. Newey (1988). Partially adaptive estimation of regression models via the generalized T distribution. Econometric Rev. 12, 103-124.
[16]McDonald, J. B. and R. M. Bookstaber (1991). Option pricing for generalized distributions. Com- munications in Statistics: Theory and Methods. 20(12), 4053-4068.
[17]McDonald, J. B. and R. Nelson (1993). Beta estimation in the market model: Skewness and Leptokurtosis. Comm. Statist. 22:10
[18]McDonald, J. B. and Y. J. Xu,(1995), A generalization of the Beta Distribution with Applications, Journal of Econometrics, 66, pp.133-152.
[19]McDonald, J. B.(1996).Probability distributions for Financial models. Handbook of Statistics, Vol.14.
[20]Roll, R., (1989). Price volatility, international market links, and their implications for regulatory policies. Journal of Financial Services Research 3, 211-246.