Please use this identifier to cite or link to this item:
標題: 以台灣金融業股票探討流動性風險與資產訂價之關係
The relationship between Asset Pricing and Liquidity Risk on Taiwan's listed stocks in Banking Industry
作者: Chia-Chien Yu
關鍵字: 金融業;流動性風險;信用風險;金融海嘯;Basel III;financial stock;liquidity;credit risk;financial crisis;Basel III
引用: 中文部分: 李康豪,2011,台灣股市資產定價模型與流動性溢酬之實證研究-以三大產業權值股為例,國立臺灣大學社會科學院經濟學研究所碩士論文。 胡星陽,1998,流動性對台灣股票報酬率的影響,中國財務學刊,5卷4期。 胡凱文,2006,台灣股票市場流動性實證−使用Amihud(2002)指標,國立臺灣大學財務金融所碩士論文。 黃一祥、呂耿光、黃旭輝與張志向,2010,公司特有風險與橫斷面股票預期報酬-台灣股市之實證,經濟論文,38卷3期:503-542。 劉玉珍、臧大年、陳薇如,1998,未上市股票市場價差決定因子之實證研究,證券暨市場發展季刊,10卷4期:27-54。 顧廣平,2002,臺灣上市(櫃)公司股東期望報酬橫斷面差異解釋因子之探討,亞太社會科技學報,2卷1期:139-164。 英文部分: Amihud, Y. and H. Mendelson. 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics, Vol. 17 (2): 223-249. Amihud, Y. and H. Mendelson. 1986. Liquidity and stock returns, Financial Analysts Journal, Vol. 42 (3): 43-48. Amihud, Y. 2002. Illiquidity and stock returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, Vol. 5 (1): 131-156. Black, F. and M. Scholes. 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, Vol. 81 (3): 637-654. Chaffee III, H. 1993. Option Pricing as a Proxy for Discount for Lack of Marketability in Private Company Valuations. Business Valuation Review, Vol. 12 (4): 182-188. Chen, R. 2012. Valuing a Liquidity Discount, Journal of Fixed Income, Vol. 21 (3): 59-73. Chen, R., W. Filonuk, and K. Patro. 2012. Valuing Financial Assets with Liquidity Discount: An Implication to Basel III. Journal of Fixed Income, Vol. 22 (3): 45-63. Ericsson, J. and O. Renault. 2006. Liquidity and Credit Risk. Journal of Finance, Vol. 61 (5): 2219-2250. Geske, R. 1977. The Valuation of Corporate Liabilities as Compound Options. Journal of Financial and Quantitative Analysis, Vol. 12 (4): 541-552. Jones, M., G. Kaul, and L. Lipson. 1994. Transactions, Volume, and Volatility. Review of Financial Studies, Vol. 7 (4): 631-651. Li-Ting Chiu and Len-Kuo Hu. 2012. Asset Pricing and Systematic Liquidity Risk on Taiwan's Stock Market. Review of Securities and Futures Markets, Vol. 24 (4): 1-38. Brennan, M.J. and Subrahmanyama A. 1996. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, Vol. 41 (3): 441-464. Demsetz H. 1986. Corporate Control, Insider Trading, and Rates of Return. The American Economic Review, Vol. 76 (2): 313-316. Duffie Darrell and Chi-Fu Huang. 1985. Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities. Journal of the Econometric Society, Vol. 53 (6): 1337-1356. Eleswarapu, Venkat R. 1997. Cost of Transacting and Expected Returns in the Nasdaq Market. The Journal of Finance, Vol. 52 (5): 2113–2127. Hasbrouck J. and Schwartz R.A. 1988. Liquidity and execution costs in equity markets. The Journal of Portfolio Management, Vol. 14 (3): 10-16. Lippman Steven A. and McCall John J. 1986. An Operational Measure of Liquidity. The American Economic Review, Vol. 76 (1): 43-55. Fama, E., & French, K. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, Vol. 33 (1): 3-56. O'Hara, Maureen 1995. Market Microstructure Theory. Blackwell, Cambridge, MA.
2008年金融海嘯發生,使得世界經濟因金融性信用萎縮而發生嚴重衰退,也就是融資市場流動性的枯竭引發全面性的資本市場流動性惡化,造成無數公司產生流動性折扣而股價大跌,使投資人面臨鉅額損失,讓各國金融體系開始正視流動性風險的嚴重性。促使本文對將台灣金融類股資產定價加入流動性風險之探討產生興趣,故採用Chen(2011)的流動性折扣模型及Amihud(2002)不流動性指數,進行台灣金融類股資產定價模型之探討。結果發現以Chen(2011)流動性折扣及Amihud(2002)的方法用等權重及市值加權去計算台灣金融業整體的不流動性指數,結果皆呈現出此兩個指數可確實顯示金融危機時期之流動性風險飆升。再以金融業整體流動性風險因子搭配Fama and French (1993)三因子模型對金融業股票進行資產定價,結果顯示加入不流動性因子能使全銀行及早期預警銀行之資產定價效果更佳。本研究以流動性折扣率之Beta係數、Amihud不流動性指數係數及市值規模等指標加以排序建立分組的投資組合,發現以市值加權之流動性折扣率所建構的策略投資組合表現較佳。

In 2008, the financial crisis made the global recession severely, because of the financial credit contraction. In other words, the depletion of financing market liquidity caused a comprehensive capital market liquidity deterioration. It also resulted numerous financial institutions and investors from suffering huge losses. Let the world's financial system begin to face up to the seriousness of liquidity risk. So we are interested in using the illiquidity factors and Fama and French (1993) three factors model to price the stock of financial institutions. Empirical results show that both of illiquidity discount rate and Amihud index can illustrate the illiquidity index soar in the financial crisis. Then we use the financial institutions illiquidity factors and Fama and French (1993) three factors model to price the stock of financial institutions. We find that the four factors models are better than Fama and French (1993) three factors model and CAPM model. Referring to Li-Ting Chiu and Len-Kuo Hu (2012), we establish portfolios by illiquidity discount rate coefficient, Amihud index coefficient and market values. We find that the strategy portfolio which established by capitalization-weighted illiquidity discount rate performed better.
其他識別: U0005-2406201521111300
Rights: 同意授權瀏覽/列印電子全文服務,2016-07-03起公開。
Appears in Collections:財務金融學系所

Files in This Item:
File Description SizeFormat Existing users please Login
nchu-104-7102021022-1.pdf1.91 MBAdobe PDFThis file is only available in the university internal network    Request a copy
Show full item record

Google ScholarTM


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