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    題名: 股市流動性之動能效果
    Momentum Effect in Liquidity
    作者: 梁紀芬
    貢獻者: 郭維裕
    George Kuo
    梁紀芬
    關鍵詞: Momentum Effect
    Liquidity
    Abcdrmal turnover ratio
    Turnover ratio
    Momentum strategies
    日期: 2002
    上傳時間: 2009-09-18 14:15:44 (UTC+8)
    摘要: 我們在此文中檢視了股市流動性的動能效果，並將此效果連結到相對應股票的報酬表現上。我們發現過去六個月平均流動性較高的股票，在未來三年中也會具有較高的流動性。此外，我們發現買入較高流動性的股票，賣出流動性較低的股票，會有正的報酬。我們希望此研究能夠幫助投資人獲取更多有用的資訊。
    We examine the predictability of liquidity, the momentum effect in liquidity, and we also would like to link this effect to expected stock returns. We find that stocks with high liquidity in the past six month will be traded with high liquidity in the future (within 3 years) and that all of the zero-cost portfolios, which buy high liquidity stocks and sell low liquidity stocks, have positive returns. We hope the results in this study will help uninformed trader to obtain more information in the stock market.
    參考文獻: REFERENCES
    Amihud, Yakov and Haim Mendelson, 1986, Asset pricing and the bid ask spread, Journal of Financial Economics 17, 223-249.
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    Basu, S., 1977, Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis, Journal of Finance 32, 663–81.
    Brennan, MJ and A. Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441-464.
    Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum Strategies, The Journal of Finance 51, 1681–1713.
    Chordia, T., R. Roll, and A. Subrahmanyam, 2000, Commonality in Liquidity, Journal of Financial Economics 56, 3-28.
    DeBondt, W.F.M. and Richard H. Thaler, 1985. Does the Stock Market Overreact?, Journal of Finance 40(3), 793-808.
    DeBondt, W.F.M. and Richard H. Thaler, 1987. Further evidence on investor overreaction and stock market seasonality, Journal of Finance 42(3), 557-581.
    Eleswarapu, Venkat R. and Marc R. Reinganum, 1993, The seasonal behavior of the liquidity premium in asset pricing, Journal of Financial Economics, 34, 373-86.
    Fama, Eugene F., 1970, Efficient Capital Markets, Journal of Finance 25, 383-417.
    Fama, Eugene F., and Kenneth R. French, 1988, Permanent and temporary components of stock prices. Journal of Political Economy 96, 246-273.
    Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
    Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 427-465.
    Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
    Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
    Kothari, S. P., Jay Shanken, and Richard G. Sloan, 1995, Another look at the cross-section of expected stock returns, Journal of Finance 50, 185-224.
    Lakonishok, Josef, Andrei Shleifer and Robert Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
    Lee, Charles, and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017–2069.
    Tkac, P.A., 1999, A Trading Volume Benchmark: Theory and Evidence, Journal of Financial and Quantitative Analysis 34, 89-114.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    90351005
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0903510051
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

    文件中的檔案:

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