The purpose of this article is to explore RIM’s (Residual Income Model) ability of explaining Taiwan stock price volatility by using Campbell and Shiller (1987) cross-equation restrictions tests and time-series data, over the period 1998:3 to 2008:2. We find that for aggregate and industrial data, RIM with bivariate model can explain Taiwan stock price volatility and is suitable for Taiwan stock evaluation. However, RIM with trivariate model fail to explain stock price volatility for both data.
關聯:
International Symposium on Finance and Accounting 2009
