Taiwan Fama-French Three Factor Model

Published

2026-11-13

library(dplyr)

Attaching package: 'dplyr'
The following objects are masked from 'package:stats':

    filter, lag
The following objects are masked from 'package:base':

    intersect, setdiff, setequal, union
library(knitr)

final_table <- readRDS("final_table.rds")
regression_table <- readRDS("regression_table.rds")

1. Introduction

This project examines the monthly stock returns of the 50 largest companies in the Taiwan stock market.

2. Data Description

The data are collected from the Taiwan Economic Journal (TEJ).

The analysis uses monthly stock returns and the Fama-French three factors: MKT_RF, SMB, HML, and the risk-free rate (RF).

3. First 36-Month Window

The first window covers January 2018 to December 2020.

kable(
  head(final_table, 50),
  caption = "Monthly Returns and Fama-French Three Factors",
  digits = 4
)
Monthly Returns and Fama-French Three Factors
CO_ID Date Monthly_Return MKT_RF SMB HML RF Excess_Return
1101 TCC 2018-01-01 0.0332 0.0412 0.0257 0.0340 0.0104 0.0227
1216 Uni-President 2018-01-01 0.0605 0.0412 0.0257 0.0340 0.0104 0.0501
1301 FPC 2018-01-01 0.0487 0.0412 0.0257 0.0340 0.0104 0.0382
1303 NPC 2018-01-01 0.0282 0.0412 0.0257 0.0340 0.0104 0.0178
1326 FCFC 2018-01-01 0.0583 0.0412 0.0257 0.0340 0.0104 0.0478
1402 FENC 2018-01-01 -0.0277 0.0412 0.0257 0.0340 0.0104 -0.0381
1590 Airtac 2018-01-01 -0.1346 0.0412 0.0257 0.0340 0.0104 -0.1450
2002 CSC 2018-01-01 0.0065 0.0412 0.0257 0.0340 0.0104 -0.0040
2207 Hotai Motor 2018-01-01 0.0721 0.0412 0.0257 0.0340 0.0104 0.0616
2303 UMC 2018-01-01 0.0043 0.0412 0.0257 0.0340 0.0104 -0.0061
2308 DELTA 2018-01-01 0.0244 0.0412 0.0257 0.0340 0.0104 0.0139
2317 Hon Hai 2018-01-01 -0.0315 0.0412 0.0257 0.0340 0.0104 -0.0420
2327 Yageo 2018-01-01 0.0964 0.0412 0.0257 0.0340 0.0104 0.0859
2330 TSMC 2018-01-01 0.1111 0.0412 0.0257 0.0340 0.0104 0.1006
2345 Accton 2018-01-01 0.1037 0.0412 0.0257 0.0340 0.0104 0.0932
2357 Asustek 2018-01-01 0.0053 0.0412 0.0257 0.0340 0.0104 -0.0051
2379 RT 2018-01-01 0.0687 0.0412 0.0257 0.0340 0.0104 0.0583
2382 QCI 2018-01-01 0.0258 0.0412 0.0257 0.0340 0.0104 0.0154
2395 Advantech 2018-01-01 0.0832 0.0412 0.0257 0.0340 0.0104 0.0727
2408 NTC 2018-01-01 0.0420 0.0412 0.0257 0.0340 0.0104 0.0315
2412 CHT 2018-01-01 0.0236 0.0412 0.0257 0.0340 0.0104 0.0131
2454 MediaTek 2018-01-01 0.0170 0.0412 0.0257 0.0340 0.0104 0.0065
2474 Catcher 2018-01-01 0.0183 0.0412 0.0257 0.0340 0.0104 0.0079
2603 EMC 2018-01-01 0.0550 0.0412 0.0257 0.0340 0.0104 0.0445
2633 THSRC 2018-01-01 0.0148 0.0412 0.0257 0.0340 0.0104 0.0043
2801 Chang Hwa Bank 2018-01-01 0.0326 0.0412 0.0257 0.0340 0.0104 0.0222
2880 HNFHC 2018-01-01 0.0390 0.0412 0.0257 0.0340 0.0104 0.0286
2881 Fubon Financial 2018-01-01 0.0687 0.0412 0.0257 0.0340 0.0104 0.0582
2882 CATHAY FHC 2018-01-01 0.0204 0.0412 0.0257 0.0340 0.0104 0.0099
2884 E.S.F.H 2018-01-01 0.0164 0.0412 0.0257 0.0340 0.0104 0.0059
2885 Yuanta Group 2018-01-01 0.0151 0.0412 0.0257 0.0340 0.0104 0.0047
2886 Mega FHC 2018-01-01 0.0516 0.0412 0.0257 0.0340 0.0104 0.0411
2891 CTBC Holding 2018-01-01 0.0388 0.0412 0.0257 0.0340 0.0104 0.0284
2892 FFHC 2018-01-01 0.0313 0.0412 0.0257 0.0340 0.0104 0.0208
2912 PCSC 2018-01-01 0.0159 0.0412 0.0257 0.0340 0.0104 0.0054
3008 Largan 2018-01-01 -0.0037 0.0412 0.0257 0.0340 0.0104 -0.0142
3034 Novatek 2018-01-01 0.0793 0.0412 0.0257 0.0340 0.0104 0.0689
3045 TWM 2018-01-01 0.0372 0.0412 0.0257 0.0340 0.0104 0.0268
4904 Far EasTone 2018-01-01 0.0341 0.0412 0.0257 0.0340 0.0104 0.0236
4938 Pegatron 2018-01-01 0.0971 0.0412 0.0257 0.0340 0.0104 0.0867
5347 VIS 2018-01-01 -0.0029 0.0412 0.0257 0.0340 0.0104 -0.0134
5871 Chailease 2018-01-01 0.1328 0.0412 0.0257 0.0340 0.0104 0.1224
5876 SCSB 2018-01-01 -0.0045 0.0412 0.0257 0.0340 0.0104 -0.0150
5880 TCFHC 2018-01-01 0.0447 0.0412 0.0257 0.0340 0.0104 0.0343
6415 Silergy 2018-01-01 -0.0853 0.0412 0.0257 0.0340 0.0104 -0.0958
6488 GWC 2018-01-01 0.1220 0.0412 0.0257 0.0340 0.0104 0.1116
6505 FPCC 2018-01-01 0.0736 0.0412 0.0257 0.0340 0.0104 0.0632
9910 FT 2018-01-01 0.0185 0.0412 0.0257 0.0340 0.0104 0.0080
1101 TCC 2018-02-01 -0.0174 -0.0274 -0.0138 -0.0309 0.0104 -0.0278
1216 Uni-President 2018-02-01 -0.0143 -0.0274 -0.0138 -0.0309 0.0104 -0.0248

4. Fama-French Three-Factor Regression Results

The Fama-French Three-Factor Model is estimated for each of the 50 selected companies. The dependent variable is the monthly excess stock return. The independent variables are MKT_RF, SMB, and HML.

kable(
  regression_table,
  caption = "Fama-French Three-Factor Regression Results",
  digits = 4
)
Fama-French Three-Factor Regression Results
CO_ID estimate_(Intercept) estimate_MKT_RF estimate_SMB estimate_HML p.value_(Intercept) p.value_MKT_RF p.value_SMB p.value_HML r.squared adj.r.squared
1101 TCC -0.0012 0.1050 -0.3419 0.8964 0.8601 0.7729 0.2001 0.0341 0.4587 0.4080
1216 Uni-President -0.0097 0.1544 0.0353 0.2279 0.1547 0.6641 0.8908 0.5685 0.2536 0.1836
1301 FPC -0.0171 -0.1304 -0.1436 1.2949 0.0098 0.6960 0.5532 0.0014 0.7073 0.6799
1303 NPC -0.0187 0.0362 0.0968 0.8749 0.0026 0.9061 0.6633 0.0153 0.7321 0.7070
1326 FCFC -0.0209 -0.2199 -0.2380 1.4186 0.0028 0.5254 0.3446 0.0008 0.6723 0.6416
1402 FENC -0.0134 -0.1303 -0.3406 1.4442 0.1245 0.7749 0.3056 0.0076 0.5457 0.5031
1590 Airtac 0.0005 0.9214 0.4990 -0.4321 0.9808 0.3770 0.5078 0.7107 0.2016 0.1268
2002 CSC -0.0151 0.0466 -0.2756 0.9744 0.0047 0.8610 0.1593 0.0025 0.6663 0.6350
2207 Hotai Motor -0.0012 0.5240 -0.1893 1.0101 0.9401 0.5489 0.7645 0.3061 0.3657 0.3062
2303 UMC 0.0170 3.6579 -0.8860 -1.1513 0.2896 0.0001 0.1545 0.2304 0.5531 0.5112
2308 DELTA -0.0008 2.0806 -0.6120 -0.1484 0.9493 0.0025 0.1911 0.8358 0.5422 0.4993
2317 Hon Hai -0.0239 0.5104 -0.5928 1.2470 0.0123 0.2927 0.0959 0.0264 0.5948 0.5568
2327 Yageo 0.0016 0.7166 1.4091 0.2953 0.9578 0.6567 0.2321 0.8702 0.3837 0.3259
2330 TSMC 0.0063 3.4086 -0.8959 -1.2443 0.2080 0.0000 0.0000 0.0002 0.9018 0.8926
2345 Accton 0.0180 1.2519 0.6420 -0.7581 0.4057 0.2780 0.4403 0.5558 0.2231 0.1503
2357 Asustek -0.0118 -0.3232 -0.2345 1.0194 0.2468 0.5475 0.5468 0.0973 0.1881 0.1120
2379 RT 0.0218 1.9464 -0.0667 -0.9350 0.1028 0.0081 0.8945 0.2355 0.3722 0.3134
2382 QCI -0.0035 1.4475 0.1514 -1.0120 0.5097 0.0000 0.4566 0.0027 0.6319 0.5974
2395 Advantech 0.0004 1.1874 -0.0156 -0.2414 0.9673 0.0131 0.9622 0.6374 0.5216 0.4767
2408 NTC -0.0138 0.7709 0.5416 0.3146 0.4370 0.4150 0.4290 0.7660 0.4338 0.3807
2412 CHT -0.0061 -0.1397 0.0538 0.1352 0.1326 0.5097 0.7254 0.5696 0.0349 -0.0555
2454 MediaTek 0.0110 2.0780 0.9719 -2.0249 0.4488 0.0101 0.0869 0.0238 0.4293 0.3758
2474 Catcher -0.0268 1.2388 -0.6183 0.3872 0.0426 0.0749 0.2136 0.6118 0.3680 0.3088
2603 EMC 0.0058 -1.4586 -0.7041 4.0211 0.8122 0.2667 0.4568 0.0091 0.3896 0.3323
2633 THSRC -0.0040 -0.6341 0.3110 0.8708 0.7271 0.3015 0.4821 0.2081 0.2238 0.1510
2801 Chang Hwa Bank -0.0088 -0.1091 -0.2208 0.9240 0.2273 0.7753 0.4271 0.0374 0.3919 0.3349
2880 HNFHC -0.0077 0.1938 -0.0182 0.4376 0.1194 0.4555 0.9227 0.1385 0.5785 0.5390
2881 Fubon Financial -0.0173 0.0963 0.1175 0.5727 0.0007 0.6973 0.5130 0.0456 0.7183 0.6919
2882 CATHAY FHC -0.0204 0.1306 0.1873 0.3668 0.0003 0.6265 0.3380 0.2280 0.6252 0.5900
2884 E.S.F.H -0.0010 0.5715 -0.1096 0.2972 0.8951 0.1719 0.7137 0.5221 0.4512 0.3997
2885 Yuanta Group -0.0037 -0.1575 -0.3547 1.4227 0.5130 0.6022 0.1114 0.0002 0.7085 0.6812
2886 Mega FHC -0.0039 0.5062 -0.1364 0.0854 0.4757 0.0866 0.5153 0.7922 0.3846 0.3269
2891 CTBC Holding -0.0156 0.1589 0.0709 0.5666 0.0052 0.5694 0.7254 0.0772 0.6699 0.6390
2892 FFHC -0.0099 0.3862 0.2715 0.0129 0.0333 0.1115 0.1220 0.9615 0.6752 0.6448
2912 PCSC -0.0097 -0.3440 -0.1487 0.7183 0.2018 0.3883 0.6054 0.1137 0.1212 0.0388
3008 Largan -0.0215 1.0820 -0.2080 0.1014 0.1803 0.2026 0.7322 0.9142 0.2535 0.1835
3034 Novatek 0.0196 3.2645 -0.5081 -1.5915 0.1328 0.0000 0.3068 0.0438 0.5433 0.5005
3045 TWM -0.0109 -0.0334 -0.0091 0.2892 0.0263 0.8942 0.9602 0.3085 0.1997 0.1246
3711 ASEH -0.0216 2.5457 -0.6473 -0.3980 0.0376 0.0000 0.0963 0.5045 0.7373 0.7091
4904 Far EasTone -0.0125 -0.1023 0.1710 0.0872 0.0265 0.7214 0.4127 0.7866 0.0977 0.0131
4938 Pegatron -0.0142 0.5505 -0.5176 0.8077 0.1422 0.2802 0.1635 0.1608 0.4127 0.3576
5347 VIS -0.0042 2.2845 0.2983 -1.0473 0.6634 0.0001 0.4277 0.0782 0.7147 0.6879
5871 Chailease -0.0014 -0.1391 0.1875 1.4750 0.8707 0.7524 0.5578 0.0051 0.7554 0.7324
5876 SCSB -0.0050 -0.4080 0.2839 0.6534 0.6264 0.4512 0.4691 0.2848 0.2344 0.1627
5880 TCFHC -0.0051 0.3046 0.1165 0.1652 0.1626 0.1197 0.4045 0.4456 0.6992 0.6709
6415 Silergy 0.0195 -0.2516 1.8918 -0.4617 0.3704 0.8265 0.0286 0.7205 0.3146 0.2503
6488 GWC -0.0017 1.2120 -0.1239 0.9201 0.9435 0.3339 0.8908 0.5118 0.3863 0.3287
6505 FPCC -0.0180 -0.1956 -0.6035 1.6077 0.0582 0.6908 0.0969 0.0061 0.4434 0.3913
9910 FT 0.0012 -0.0043 0.6296 0.4786 0.9353 0.9955 0.2634 0.5805 0.3649 0.3054