Cross-sectional return predictability in taiwan stock exchange : An empirical investigation

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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  • Nusret Cakici
  • Kudret Topyan
  • Chia-Jane Wang


Original languageEnglish
Article number1450010
Journal / PublicationReview of Pacific Basin Financial Markets and Policies
Issue number2
Publication statusPublished - Jun 2014
Externally publishedYes


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. © 2014 World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research.

Research Area(s)

  • book-to-market ratio, momentum, stock cheapness, stock return predictors, Taiwan stock exchange, TWSE