臺灣博碩士論文加值系統

This paper applied the cross-sectional regression approach of Fama and MacBeth (1973) to examine the cross-sectional relationship between hospitality stock returns and financial explanatory variables, including beta, size, the book-to-market equity ratio (BM) and the earnings-price (EP) ratio, in Taiwan over the period from July 1989 to June 2003. Test results revealed that among all explanatory variables, only EP was significantly related to hospitality stock returns for the recent period from July 1997 to June 2003. The significant explanatory power of EP on hospitality stock returns did not exist only in January during the recent period. We further detected the existence of the small-size-in-January effect in the hospitality sector for the recent period. Based on main findings obtained in this study, we offer some practical investment proposals for the hospitality stock investors.

Abstract…………………………...………………………………………………….1
1. Introduction……………………………………………..…………………………..2
2. A review of financial studies in the hospitality literature………...……...............5
3. Data and methodology……………………….……………………………………8
3.1. Estimation of pre-ranking and post-ranking beta..…………...….…….…..…9
3.2. Cross-sectional regression analysis……………..……………………..........11
4. Empirical results……………...………………..…………………………….…13
4.1. Cross-section regression tests over the full sample period…….……………13
4.2. Cross-section regression results for different calendar periods and for January and Non-January months………………….………………………………..14
5. Discussions and conclusion ……………………………………………………...16
References………………………………………………………………………..…19

Table 1. Descriptive statistics of hospitality companies…..……………………….…22
Table 2 Fama-MacBeth cross-sectional regressions of stock returns: 7/1989-6/2003
………………………………………………………………………………………..24
Table 3. Fama-MacBeth cross-sectional regressions of stock returns for different calendar periods………………………………………….…………….….25
Table 4. Fama-MacBeth cross-sectional regressions of stock returns for January and non-January months: 7/1989- 6/2003……………………….………...……..26
Table 5. Fama-MacBeth cross-sectional regressions of TSE composite returns for January and non-January months……………………..…………..….....……27
Table 6. Fama-MacBeth cross-sectional regressions of hospitality stock returns for January and non-January months…………………………………....……….28

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