Title: FIRM CHARACTERISTICS AND FUTURE STOCK RETURNS: EVIDENCE FROM TAIWAN’S ELECTRICAL AND CABLE INDUSTRY

Authors: Szu-Hsien Lin, Chien-Chung Tu, Huei-Hwa Lai* and Shao-Chun Chiu

Abstract: This study examines whether firm characteristics explain one-quarter-ahead stock returns in Taiwan’s listed electrical and cable industry. Using 507 firm-quarter observations from the Taiwan Economic Journal (TEJ), this study investigates the effects of firm size (SIZE), leverage (LEV), return on assets (ROA), and earnings per share (EPS) on future stock returns. The empirical analysis employs ordinary least squares regression with year fixed effects and HC3 robust standard errors. The results show that firm size is significantly and negatively associated with one-quarter-ahead stock returns, whereas leverage, ROA, and EPS are insignificant. Robustness tests based on nested model specifications confirm the stability of the size effect. These findings suggest that firm size provides more useful information for predicting short-term stock returns than conventional accounting performance measures in Taiwan’s electrical and cable industry.

Keywords: Future stock returns; Firm size; Leverage; ROA; EPS; Electrical and cable industry.

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