Author(s)

Yeong-Jia Goo, Chien-Wen Wang

Department of Business Administration, National Taipei University, Taipei City.

This study intends to verify the explanatory power of the Fama-French (2018) six-factor model and to investigate the nonlinear phenomena of the Fama-French six factors on stock returns in the Taiwan region stock market. The timeframe for this study spans from January 2010 to December 2021. The findings indicate that the Fama-French (2018) six-factor model has significant explanatory power on stock returns in the Taiwan region stock market. The influences of the Fama-French six factors vary across different international stock markets. In the Taiwan region stock market, the market risk factor, the size factor, the investment factor, and the momentum factor positively influence on stock returns, while the value factor and the profitability factor exert a negative influence on stock returns. The findings also reveal that the market risk factor, the size factor, the value factor, the profitability factor, and the investment factor exist nonlinear phenomena on stock returns in the Taiwan region stock market when analyzed through panel data regression models.

Fama-French Six-Factor Model, Taiwan Region Stock Market, Panel Data Regression Model, Nonlinear

Goo, Y. and Wang, C. (2024) Do There Exist Nonlinear Phenomena of the Fama-French Six Factors on Stock Returns?—An Empirical Investigation on the Taiwan Stock Market. Modern Economy, 15, 394-412. doi: 10.4236/me.2024.154021.