Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/92411
標題: 臺灣股票市場超額報酬同非流動性關係之研究
The relationship between the excess return and illiquidity in Taiwan Stock Market
作者: Si-Miao Liu
劉思邈
關鍵字: 非流動性;資產定價模型;Illiquidity;Fama-French
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摘要: 
股票的流動性通常是指一定量的股票在最低成本並對市場價格不造成影響的情況下多快被交易。傳統的資產定價模型通常給只假設股票的基本因素可以影響股票的报酬從而忽略了非流動性效應對报酬的影響。自從Amihud and Mendelson(1986)提出流動性溢價後,越來越多的研究開始關注流動性是資產定價的重要因素這一議題。但鑒於之前的研究變數有限,而且大多關注點在美國市場。因此本論文要以臺灣作為新興市場代表為研究物件,並採納更多變數來討論股票超額报酬同非流動性之間的關係。

Liquidity of stocks is usually refers to how quickly a given block security can be traded in the market at low cost with little price impact.Traditional asset pricing models often ignore the illiquidity effect by assuming that stock returns can be explained by their fundamental factors.Now,the research on asset pricing regard liquidity as a price factor since the Amihud and Mendelson(1986) proposed Stock Market Liquidity Premium Theory.However,the menthod,using bid-ask spread as measure of illiquidity in Amihud and Mendelson(1986) is difficult in reality.In addition,previous research in this topic always focus on the U.S.market,ignoring the emerging market,for example, Taiwan.As a result,this study focus on the TaiWan markets along with a large amout of firm data to construct the size and book-to-market risk factoers to test relationship between excess retrun and illiquidity
URI: http://hdl.handle.net/11455/92411
其他識別: U0005-0308201513321600
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