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dc.contributor.author黃柏勛zh_TW
dc.contributor.author黃宜侯zh_TW
dc.contributor.authorHuang, Po-Hsunen_US
dc.contributor.authorHuang, Yi-Houen_US
dc.date.accessioned2018-01-24T07:43:26Z-
dc.date.available2018-01-24T07:43:26Z-
dc.date.issued2016en_US
dc.identifier.urihttp://etd.lib.nctu.edu.tw/cdrfb3/record/nctu/#GT070353902en_US
dc.identifier.urihttp://hdl.handle.net/11536/143418-
dc.description.abstract本研究藉由日頻率最高價與最低價資料,設立一衡量個股流動性的新指標。將 NYSE/AMEX and NASDQA 股票市場依此指標分組後,透過買賣套利策略,我們發現即使將組合之報酬率扣除 CRSP 資料庫所提供的美國整體市場平均報酬過後,流動性溢酬依舊能為投資者帶來顯著的超額報酬,但是流動性溢酬在2004年後有明顯的下降趨勢。此研究結果與Ben-Rephael et al. (2015)所提出的「流動性溢酬近四十年來在美國市場逐年下降」有部分一致之處。我們合理地將此現象歸因於近年更迅速且低交易成本的交易工具與交易環境,致使以流動性溢酬為主的交易策略的獲利降低。 另一方面,本研究透過不同樣本分組方式與不同持有時間來探討及建立流動性資產訂價因子,並以追蹤資料(Panel Data)迴歸分析法建立資產訂價模型後發現:「加入本研究所組合之流動性資產訂價因子,能夠強化 Fama-French 之三因子資產訂價模型解釋股票報酬的效果,進一步地降低經模型解釋後的超額報酬。更甚者,此強化現象在總體經濟收縮時期更為明顯,顯示出 Fama-French 之三因子資產訂價模型仍有延伸討論空間」除此之外,我們發現流動性資產訂價因子在 2004年與 2014 之間對股票報酬率的解釋效果較其它研究樣本區間顯著。於此,本研究合理假設:「在近年更迅速且低交易成本的交易工具與交易環境下,雖然縮小了流動性溢酬的區間,但是更精準地反應出股票真實的流動性溢酬,確立流動性風險占整體資產訂價風險的比例與重要性。」zh_TW
dc.description.abstractUsing a new measure of liquidity, this paper addresses a significant liquidity premium adjusting by the U.S. equally-weighted market portfolio return including ADRs from CRSP, and documents Fama-French three factors model has an improvement on explaining stock return after adding our liquidity factor, especially in the contraction time. Nevertheless, liquidity premium is diminishing in recent decades; our finding suggests liquidity factor becomes an important source of priced risk in recent decade. There is an obviously contrary result between liquidity premium and the explanatory power of liquidity power in the period from 2004 to 2014. We reasonably assume this phenomenon is contributed to the dramatic increase in trading activity and lower sensitivity of expected returns to liquidity. Concisely, the growing up trading activity reduces the liquidity premium but enables the more precise liquidity systematic pricing factoren_US
dc.language.isoen_USen_US
dc.subject流動性zh_TW
dc.subject流動性計算指標zh_TW
dc.subject資產訂價模型zh_TW
dc.subject流動性與財務狀況zh_TW
dc.subjectLiquidityen_US
dc.subjectLiquidity Measureen_US
dc.subjectAsset-Pricing Modelen_US
dc.subjectLiquidity and Financial Situationen_US
dc.title流動性與資產訂價模型zh_TW
dc.titleLiquidity and Asset-Pricing Modelen_US
dc.typeThesisen_US
dc.contributor.department財務金融研究所zh_TW
Appears in Collections:Thesis