Browsing by Author "Chen, Wei-Peng"

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Corporate governance and equity liquidity: analysis of S&P transparency and disclosure rankings
(2007-07-01)
Chen, Wei-Peng
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Chung, Huimin
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Lee, Chengfew
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Liao, Wei-Li
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管理科學系
This paper sets out to investigate the effects of disclosure, and other corporate governance mechanisms, on equity liquidity, arguing that those companies adopting poor information transparency and disclosure practices will experience serious information asymmetry. Since poor corporate governance leads to greater information asymmetry, liquidity providers will incur relatively higher adverse information risks and will therefore offer higher information asymmetry components in their effective bid-ask spreads. The Transparency and Disclosure (T&D) rankings of the individual stocks on the S&P 500 index are employed to examine whether firms with greater T&D rankings have lower information asymmetry components and lower stock spreads. Our results reveal that the economic costs of equity liquidity, i.e. the effective spread and the quoted half-spread, are greater for those companies with poor information transparency and disclosure practices.
External Financing Needs, Corporate Governance, and Firm Value
(2010-05-01)
Chen, Wei-Peng
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Chung, Huimin
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Hsu, Tsui-Ling
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Wu, Soushan
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交大名義發表
Manuscript Type: Empirical Research Question/Issue: We set out in this study to explore the overall impact of external financing needs on corporate governance and firm value, arguing that external financing needs have extremely important impacts on corporate governance, essentially because external financing can prove to be very costly, largely as a result of asymmetric information. Thus, we suggest that improvements in corporate governance of firms with external financing needs could help to reduce costs of outside equity financing. Research Findings/Insights: Our results reveal that it is in fact firm valuation that has an effect on governance practices, as opposed to the reverse, and that external financing needs appear to strengthen the influence of the quality of corporate governance practices on firm value. Theoretical/Academic Implications: The external forces considered in this study are product market competition, investment opportunities, and external financing needs, with particular emphasis being placed upon the impact of external financing needs, since this relates directly to outside shareholders. Given that poor corporate governance practices signal higher asymmetric information costs, and thus, lead to an increase in the costs of raising external capital, it is important to gain a comprehensive understanding of the impact of external financing needs on firm value and corporate governance. Practitioner/Policy Implications: Our results demonstrate the important implications that corporate governance practices have for those firms with a particularly strong need for external equity, and the fact that external financing needs provide incentives for firms to seek out ways of making improvements to the overall quality of their corporate governance practices.
Has the introduction of S&P 500 ETF options LED to improvements in price discovery of SPDRs?
(2012-07-01)
Chen, Wei-Peng
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Chung, Huimin
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
This study sets out to investigate trading in Standard and Poor's Depository Receipt Trust Series I (SPDR) options and the impact on the price-discovery process of SPDRs. The empirical results reveal a significant rise in liquidity within the SPDR market following the introduction of SPDR options. Furthermore, the results also show that the introduction of SPDR options has led to a significant improvement in the information share of SPDRs, and that the contribution of SPDRs to price discovery has become very close to that of E-mini index futures. These findings imply that developments in the derivatives market can lead to improvements in market quality, including the level of liquidity and price discovery of the underlying securities. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:683711, 2012
Price discovery in the S&P 500 index derivatives markets
(2016-09)
Chen, Wei-Peng
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Chung, Huimin
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Lien, Donald
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
This study sets out to examine the dynamics of price discovery between the S&P 500 index and its derivative products: the index futures, the index options, the S&P 500 exchange-traded funds (SPDRs), and the SPDR options. Empirical results reveal that overall the contribution of SPDRs to price discovery exceeds the contribution of E-mini index futures except in the high volatility period. However, E-mini index futures contribute higher information share than SPDRs in the high volatility sub-period, indicating that E-mini index futures play an important role on hedge strategies. The results are associated with (i) increasing institutional ownership in SPDRs and (ii) the rapid growth of algorithmic trading (AT) and high-frequency trading (HFT) by institutional investors. (C) 2016 Elsevier Inc. All rights reserved.