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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35081


    Title: 股票報酬與資訊不對稱
    Information Asymmetry and Stock Return
    Authors: 曾一平
    Contributors: 郭維裕
    曾一平
    Keywords: 股票報酬
    資訊不對稱
    流動性
    風險貼水
    逆選擇
    information asymmetry
    bid-ask spread
    adverse selection component
    stock return
    risk premium
    Date: 2003
    Issue Date: 2009-09-18 14:06:52 (UTC+8)
    Abstract: Abstract
    In this paper, we examine the relation among different information asymmetry measures in Taiwan Stock Exchange and exploit the ability of the microstructure measures to measure asymmetric information. We also investigate the role of information asymmetry measures in affecting stock returns. With a random sample of 180 firms, we find that the market microstructure measure is significantly correlated with most of the corporate finance measures that should shed lights on the level of information asymmetry in advance. We also find that the analysts’ forecast measures have no relation with the microstructure measure. One main result is that the adverse selection risk does affect the stock returns. For the whole sample period, the adverse selection component has a significant impact on the stock returns and dominates all other variables except for the number of analysts following. Other significant measures include the volatility, firm size, leverage, and market to book ratio of equity. Although these information asymmetry measures act as competent determinants in the whole- period regression, they do not have consistent performance across quarters. The inconsistent result suggests that these measures may have diverse performance with regard to different periods.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    90351025
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090351025
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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