Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/95852
標題: The liquidity impact on firm values: The evidence of Taiwan's banking industry
作者: Chen Ren-Raw
Yang Tung-Hsiao
葉仕國
Shih-Kuo Yeh
關鍵字: Financial institutions;Liquidity risk;Liquidity discount;Liquidity vulnerability
出版社: JOURNAL OF BANKING & FINANCE
Project: Journal of Banking & Finance, Volume 82, September 2017, Pages 191-202
摘要: 
Liquidity plays an important role in financial markets, especially during a financial crisis. New Basel III regulatory framework highlights the importance of liquidity risk management implemented by financial institutions. Moreover, updated International Financial Reporting Standards (IFRS) require the improvements about fair value measurements and reinforce existing principles for disclosures about the liquidity risk associated with financial instruments. Using the liquidity discount model of Chen (2012), we are able to empirically classify Taiwan's financial institutions into three liquidity categories: safe, crisis contagious and vulnerable. Our findings can serve as an early warning signal for liquidity calamity. In addition, we investigate what factors affect firm-specific liquidity discounts for these institutions and conduct a sub-period analysis, which examines whether there is significant liquidity discounts changes before and after the 2008 financial crisis. We find that liquidity discounts change substantially during the financial crisis. Furthermore, we find that liquidity discounts can be attributed to some firm-specific performance.
URI: http://hdl.handle.net/11455/95852
DOI: 10.1016/j.jbankfin.2016.07.003
Appears in Collections:財務金融學系所

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