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Step 1: Find HT ht . Additionally, the notation HT ht . Step 2: Verify HT ht . [Extracted from the article]

This study examines whether the stock capitalization and book-to-price (B/P) ratio can affect the VaR (value-at-risk) estimation performances in six VaR estimation methodologies. Examining on the daily returns on Taiwan stock market, we find that the market capitalization is not a significant factor in VaR estimation, while the B/P ratio is generally positively related to VaR estimates. Among various VaR estimation models, the historical simulation model performs the best, and the followers are the Student-t and extreme value theory models. Reversely, normal distribution model performs the worst, and the GARCH-family models frequently extremely over-estimate or under-estimate the individual daily VaR. [ABSTRACT FROM AUTHOR]

Previous studies have addressed many anomalies that violate the capital asset pricing model (CAPM). However, recent studies have employed either the reverse-engineering (RE) approach or the options-adjusted approach to verify the validity of CAPM on the developed stock markets. This study simultaneously employs the two approaches on the Taiwan’s stock market and obtains a consistent result with those on the developed stock markets. Additionally, this study compares the predicting stock return ability among various regression models and anomaly variables. For completeness, the betas of CAPM and Fama–French three factors are adopted from the historical, Vasicek-adjusted, and time-varying conditional betas. [ABSTRACT FROM PUBLISHER]