Size Anomaly on the Taiwan Stock Exchange

Liao, Tung Liang

doi:10.1177/097265270400400105

Cited by 5 publications

(2 citation statements)

References 26 publications

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“…Considering the evidence in the literature that traditional systematic risk factors like the market or size effect does not necessarily apply to this emerging market (e.g. Chui and Wei, 1998;Liao, 2005;Cakici et al, 2013Cakici et al, , 2016, we conclude that the profits reported in Tables IV and V are not necessarily driven by (or associated with) certain systematic risk factors and that herding indeed is the primary driver of profitability in our results [4].…”

Section: Herding-based Investment Strategiesmentioning

confidence: 59%

The profitability of herding: evidence from Taiwan

Chen

Demirer

2018

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Purpose The purpose of this paper is to show that the level of herding in an industry can be the basis for a profitable investment strategy. Design/methodology/approach The authors apply three different herding measures in the paper, including cross-sectional standard deviation, cross-sectional absolute deviation and non-linear model – state–space model. Findings The authors find that industries that experience a high level of herding yield higher subsequent returns regardless of their past performance. Consequently, the authors show that a herding-based investment strategy generates significant profits, even after adjusting for risk. The findings also show that the herding effect when combined with past performance as part of a conditional investment strategy yields significant profits regardless of the formation and holding periods. The findings suggest that the level of herding could serve as a systematic driver of returns and could be exploited for profitable investment strategies. Originality/value To the best of authors’ knowledge, this is the first study in the literature to show that herding by itself can serve as a determinant of returns regardless of past performance.

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Section: Herding-based Investment Strategiesmentioning

confidence: 59%

The profitability of herding: evidence from Taiwan

Chen

Demirer

2018

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“…Finally, another justification for using these portfolios is provided by Liao (2005) who shows that small cap and large cap portfolios outperform both medium cap portfolios and the market. Table 1 reports descriptive statistics for small and large cap return series for the period 3 January 1990 to 5 January 2005.…”

Section: Datamentioning

confidence: 98%

Sudden shifts in variance in the Spanish market: persistence and spillover effects

Marcelo

Quirós

2008

Applied Financial Economics

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In this paper we use the Iterated Cumulative Sums of Squares (ICSS) algorithm to detect sudden changes in variance in the Spanish stock Market. However, we employ an alternative methodology based on an EGARCH model to better capture the asymmetric behavior of the stock markets. We also use these sudden shifts to analyze the information spillovers between large and small cap portfolios. The results of this study show a significant decrease in the volatility persistence of both portfolios when sudden changes are taken into account. Spillover effects are also reduced but, in contrast with most of the previous evidence, we find a feedback relationship between the large and small portfolios. In this paper we shed some light on the understanding of the stock market by suggesting a common behavior of the portfolios. This results may be valid for a great number of markets and useful for the building of accurate asset pricing models or forecasting volatilities.

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Alternative estimation method of earnings growth rate for PEGR strategy

Wang

Liao

et al. 2020

The North American Journal of Economics and Finance

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Size Anomaly on the Taiwan Stock Exchange

Cited by 5 publications

References 26 publications

The profitability of herding: evidence from Taiwan

The profitability of herding: evidence from Taiwan

Sudden shifts in variance in the Spanish market: persistence and spillover effects

Alternative estimation method of earnings growth rate for PEGR strategy

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