Please use this identifier to cite or link to this item:
標題: The Liquidity of Stock and Investment Styles
作者: 鄭凱文
Jheng, Kai-Wen
關鍵字: Trading Volume
Turnover Rate
Investment Styles
Four-factor Model
出版社: 財務金融系所
引用: Amihud, Yakov, and Haim Mendelson. 1986. “Asset Pricingand the Bid-Ask Spread.” Journal of Financial Economics, vol. 17,no. 2 (December):223–249. Bekaert, Geert, Campbell Harvey, and Christian Lundblad. 2005. “Liquidity and Expected Returns: Lessons from Emerging Markets.” NBER working paper. Ben-Rephael, Azi, Ohad Kadan, and Avi Wohl. 2008. “The Diminishing Liquidity Premium.” Working paper, Tel Aviv University. Campbell, John, Sanford Grossman, and Jiang Wang. 1993. “Trading Volume and Serial Correlation in Stock Returns.” Quarterly Journal of Economics, vol. 108, no. 4 (November):905–939. Chordia, Tarun, and Bhaskaran Swaminathan. 2000. “Trading Volume and Cross-Autocorrelations in Stock Returns.” Journal of Finance, vol. 55, no. 2 (April):913–935. Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam. 2000. “Commonality in Liquidity.” Journal of Financial Economics, vol. 56, no. 1 (April):3–28. Chordia, Tarun, Avanidhar Subrahmanyam, and V. Ravi Anshuman. 2001. “Trading Activity and Expected Stock Returns.” Journal of Financial Economics, vol. 59, no. 1 (January):3–32. Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam. 1998. “Investor Psychology and Security Market Under- and Overreactions.” Journal of Finance, vol. 53, no. 6 (December): 1839–1885. Datar, Vinay, Narayan Naik, and Robert Radcliffe. 1998. “Liquidity and Stock Returns: An Alternative Test.” Journal of Financial Markets, vol. 1, no. 2 (August):203–219. DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann. 1990. “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance, vol. 45, no. 2 (June):379–395. Fama, Eugene, and Kenneth French. 1992. “The Cross-Section of Expected Stock Returns.” Journal of Finance, vol. 47, no. 2 (June):427–465. Fama, Eugene, and Kenneth French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics, vol. 33, no. 1 (February):3–56. Gervais, Simon, Ron Kaniel, and Dan Mingelgrin. 2001. “The High-Volume Return Premium.” Journal of Finance, vol. 56, no. 3 (June):877–919. Goldstein, Michael, and Kenneth Kavajecz. 2000. “Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE.” Journal of Financial Economics, vol. 56, no. 1 (April):125–149. Holmström, Bengt, and Jean Tirole. 2001. “LAPM: A Liquidity-Based Asset Pricing Model.” Journal of Finance, vol. 56, no. 5 (October):1837–1867. Hou, Kewei, Lin Peng, and Wei Xiong. 2006. “A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum.” Working paper, Ohio State University. Jeffrey H. Brown, Douglas K. Crocker, and Stephen R.Foerster, 2009. “ Trading Volume and Stock Investments”. Financial Analysts Journal, vol. 65, no.2 (Mar/April):67-86. Jegadeesh, Narasimhan, and Sheridan Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, vol. 48, no. 1 (March):65–91. Jones, Charles, and Marc Lipson. 2001. “Sixteenths: Direct Evidence on Institutional Execution Costs.” Journal of Financial Economics, vol. 59, no. 2 (February):253–278. Lee, Charles, and Bhaskaran Swaminathan. 2000. “Price Momentum and Trading Volume.” Journal of Finance, vol. 55, no. 5 (October):2017–2069. Li, Jinliang, and Chunchi Wu. 2006. “Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume.” Journal of Business, vol. 79, no. 5 (September):2697–2739. Li, Jinliang, Robert Mooradian, and Wei David Zhang. 2007. “Is Illiquidity a Risk Factor? A Critical Look at Commission Costs.” Financial Analysts Journal, vol. 63, no. 4 (July/August):28–39. Liu, Weimin. 2006. “A Liquidity-Augmented Capital Asset Pricing Model.” Journal of Financial Economics, vol. 82, no. 3 (December):631–671. O’Hara, Maureen. 2003. “Presidential Address: Liquidity and Price Discovery.” Journal of Finance, vol. 58, no. 4 (August): 1335–1354. Pastor, Lubos, and Robert Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy, vol. 111, no. 3 (June):642–685. 向淑文,「投資期限與資產定價因子」,2000,國立中央大學財務管理研究所碩士論文 杜幸樺,「影響台灣股票報酬之共同因素與企業特性之研究- Fama-French三因子模式、動能策略與交易量因素」,1998,國立中山大學企業管理學系研究所碩士論文 馬維平,「交易量基準值與動量策略之研究」,2000,東海大學企業管理學系碩士班碩士論文 陳榮昌,「台灣股票報酬之結構分析」,2001,國立中山大學財務管理學系研究所碩士論文 游奕琪,「台灣股市產業與價格動能策略關聯性之實證研究」,1999,國立政治大學財務管理學系88碩士碩士論文 黃偉信,「橫斷面預期報酬、公司特徵變數與動能效果之研究」,2001,東海大學企業管理學系碩士論文 曾奕傑,「台灣上市公司股票報酬率與成交量間動態關係之研究」,2005,國立台北大學合作經濟學系碩士論文 葉怡芬,「信用交易之資訊內涵及其投資策略獲利性之研究」,2003,國立成功大學財務金融研究所碩士論文 鄭雅如,「動能策略與股票風格在台灣股市的實證研究」,2000,國立政治大學財務管理學系碩士論文
摘要: 在股票流動性的研究中,一般而言有兩種推測,第一個是以交易量做為風險的代理變數時,如果某一檔股票最近的交易量很低,投資人就會要求較高的預期報酬,以做為持有這一檔股票的補貼。另一個推測為,對於大型且交易頻繁的股票,其交易量是可以反應出動能交易及資訊效果的。 本研究建立了兩個具有流動性的樣本投資組合,「台灣五十」與「市值一百」,並使用了交易量和週轉率兩種流動性指標去區分樣本投資組合內的成份股,試著找出股票流動性的代理變數對於不同投資風格的相關性,並討論不同的股票流動性組別與後續報酬率的關係,最後,我們利用資本資產訂價模型(CAPM)、Fama-French三因子和四因子模型分別進行迴歸的分析,檢測其獲利性。 研究結果顯示,交易量和週轉率(股票流動性的代理變數)在股價淨值比的投資風格下呈反向的關係,在市值投資風格下也是呈反向關係,但兩者在動能投資風格中者皆呈現出U型的分配型態;另外,整體而言,低流動性的股票是具有較高報酬的,亦即有流動性溢酬的存在,但是高流動性的股票的確具有動能和資訊效果,只是效果不夠強烈。在迴歸分析方面,在「市值一百」並且以交易量排序的投資組合中,投資人是可以進行「買低交易量組別的股票同時放空高交易量組別的股票」的投資策略,因為它呈現出正的α並且具有顯著性。本研究並意外發現,在研究期間中,投資人不論持有「台灣五十」亦或「市值一百」投資組合,皆可從中獲得異常報酬。
At the research of liquidity of stocks, there are two common conjectures. One is that trading volume measures may act as a proxy for risk. If the stock's recent trading volume is low, an investor may require an expected return premium for holding a stock that does not trade very frequently. An alternative conjecture is that trading volume measures may reflect the effects of momentum and information. This study constructed two sample portfolios of generally liquid stocks, named [Taiwan Fifty] and [Market One Hundred], and divides each portfolio into five quintiles by trading volume and turnover rate, separately. We would like to understand stock market liquidity-related measures and potential impact on stock performance for a variety of well-know investment styles. And discuss the quintiles sorted by liquidity-related measures, trading volume and turnover, about their subsequent returns. At last, we examined the profitability of each quintile by use the well-know asset pricing model, CAPM, and Fama-French (3-factor and 4-factor) model regressions. The result show that liquidity-related measures, trading volume and turnover rate, are negative relationship between price-to-book (PB) and market capitalization (MKT), but a U-shaped relationship to the momentum strategies based on both past 6-month “winners” and “losers” (MOM). On the other side, the illiquid stocks have higher return, imply that liquidity premium is exit, and the relatively liquid stocks also have the momentum and information effect indeed, but the returns of liquid stocks are not as strong as illiquid stocks. About the [Market One Hundred] portfolio and the quintile sorted by trading volume, investor can get the abnormal return by use the strategy of long-short quintile, because it shows the positive α and t-value is significant after run Fama-French(3-factor and 4-factor)model regressions. By chance, we also found that if investors hold either [Taiwan Fifty] or [Market One Hundred] portfolio, they can earn the abnormal return to investors as well.
其他識別: U0005-2807200912550600
Appears in Collections:財務金融學系所



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.