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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54393


    Title: 流動性交易需求與股價報酬率
    Liquidity trading demand and stock returns
    Authors: 曾和風
    Contributors: 郭炳伸
    林信助

    曾和風
    Keywords: 流動性交易需求
    股票報酬率
    股票脆弱性
    基金流量
    資產定價模型
    三因子模型
    Date: 2011
    Issue Date: 2012-10-30 10:55:22 (UTC+8)
    Abstract:   本文旨在探討台灣流動性交易需求對於股票報酬之波動性(變異數)與共移性(共變異數)的解釋能力。我們仿照Greenwood and Thesmar (2011) 的作法,完全利用共同基金的資料來近似股票的流動性交易需求(共同基金增加或減少其持有某支股票的部位)以及股權分佈,並據以推導出股票的脆弱性以及共脆弱性來預測股票報酬的變異數以及股票間的股票報酬共變異數。根據這個理論模型,當股票投資者面臨流動性衝擊,如果股權高度集中,或是散戶投資者間的流動性交易需求具有高度相關(即同時買進或同時賣出)時,流動性交易需求對股票報酬變異數以及股票間的股票報酬共變異數會產生顯著的影響。本文利用台灣2002年至2011年50家共同基金的資料,得到以下的結果:一、由股票流動性交易需求所推導出來的股票報酬波動(即股票之脆弱性)與利用股價所計算出的股票報酬變異數有明顯的正相關。二、股票的共脆弱性以及股票之間的共移性呈明顯正相關。三、小公司股、成長股、歷史表現好的股票均具有高脆弱性。以上實證結果指出,流動性交易需求對股票報酬有顯著的影響力,因此可利用股票之脆弱性預測股票報酬之波動。
    Reference: 一、中文部份
    1.黃彥聖,2007,「市場機制與股票價格行為」,國立臺灣科技大學企業管理系國科會計畫。
    2.張國平,2000,「台灣股票價格影響因素之實證研究」,清華大學經濟系國科會計畫。
    3.高楷翔,2005,「股票報酬的異象分析」,淡江大學產業經濟學系碩士論文。
    4.許永聲,1988,「新上市股票異常價格績效之驗證與探討」,東海大學企業管理研究所碩士論文。

    二、英文部份
    1.Anton, Miguel, and Christopher Polk (2010), “Connected stocks”, Working Paper.
    2.Barberis, Nicholas, Andrei Shleifer, and Jeffrey Wurgler (2005), “Comovement”, Journal of Financial Economics, 75, 283-317.
    3.Campbell, John, Christopher Polk and Tuomo Vuolteenaho (2009), “Growth or glamour? Fundamentals and systematic risk in stock returns”, Review of Financial Studies, 23, 305-344.
    4.Campbell, John, and Tuomo Vuolteenaho (2004), “Bad beta, good beta”, American Economic Review, 94, 1249-1275.
    5.Chacko, George, Jakub W. Jurek, and Erik Stafford (2008), “The price of immediacy”, Journal of Finance, 63, 1253-1290.
    6.Chen, Qi, Itay Goldstein, and Wei Jiang (2010), “Payoff complementarities and financial fragility: Evidence from mutual fund outflows”, Journal of Financial Economics, 97, 239-262.
    7.Coval, Joshua, and Erik Stafford (2007), “Asset fire sales (and purchases) in equity markets”, Journal of Financial Economic, 86, 479-512.
    8.DeGennaro, Ramon P (1997), “Coping with Financial Fragility and Systemic Risk”, Journal of Finance, 52, 431-434.
    9.Fama, Eugene, and Kenneth French (1993), “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, 33, 3-56.
    10.Franzoni, Francesco (2002), “Where is beta going? The riskiness of value and small stocks”, Working paper.
    11.Greenwood, Robin and David Thesmar (2011), “Stock price fragility”, Journal of Financial Economics, 102, 471-490.
    12.Harris, Lawrence, and Eitan Gurel (1986), “Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures”, Journal of Finance, 41, 815-829.
    13.Khan, Mozaffar, Leonid Kogan, and George Serafeim (2009), “Mutual fund trading pressure: Firm-level stock price impact and timing of SEOs”, Working Paper.
    14.Kumar, Alok, Jeremy K. Page, and Oliver G. Spalt (2009), “Investor clienteles and habitat-based return comovement: Direct evidence”, Working Paper.
    15.Shleifer, Andrei (1986), “Do demand curves for stocks slope down?”, Journal of Finance, 41, 579-590.
    16.Sias, Richard W. (1996), “Volatility and the institutional investor”, Financial Analysts Journal, 52,13-20.
    17.Wurglar, Jeffrey, and Ekaterina Zhuravskaya (2002), “Does arbitrage flatten demand curve stocks?”, Journal of Business, 75, 583-608.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    99351029
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099351029
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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