An Empirical Study of Asset Returns and Risks in Taiwan
Date Issued
2008
Date
2008
Author(s)
Lin, Shu-Wan
Abstract
An investor should consider return and risk when making investment decision. The purpose of this study is to collect the historical data of the major investment instruments in Taiwan, to seek for the appropriate measurement indicator, and to calculate the real investment returns and risks in different holding periods. here are two key points in this study, one is to investigate how the invest risk change and how the investors choose the most appropriate investment instrument in different holding period, another is to set up international portfolio, and compare the performances of domestic portfolios and international portfolios through Sharpe Ratio. Conclusions from this study are as follows: .For each asset, investment risk and the difference of maximum real returns and minimum real returns decrease as holding period increase. This implies there is time diversification effect for each asset. .Base on Sharpe Ratio, stock is the best investment choice regardless of holding period..The performance of international portfolios is better than that of domestic portfolios.
Subjects
holing period
time diversification
international portfolio
efficient frontier
investment risk
Type
thesis
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