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dc.contributor.author張世賢en_US
dc.contributor.authorChang, Shih- Hsienen_US
dc.contributor.author吳儀玲en_US
dc.contributor.author洪慧念en_US
dc.contributor.authorWu, Yi-Linen_US
dc.contributor.authorHung, Hui-Nienen_US
dc.date.accessioned2014-12-12T01:41:06Z-
dc.date.available2014-12-12T01:41:06Z-
dc.date.issued2009en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT079726508en_US
dc.identifier.urihttp://hdl.handle.net/11536/45238-
dc.description.abstract自2000年來,學術界開始廣泛地討論系統流動性風險因子以及非流動性因子是否在資產評價上有重要的影響,尤其在最近的金融危機中,市場的流動性風險應該如何被衡量及量化也是實務上重視的課題。 在本篇文章裡,我們探討非預期總體波動性風險曝險度對未來股價報酬的影響。我們採用Pastor 和Stambaugh (2003)對於流動性的估計並用一般動差法 (GMM)用來估計我們的模型。發現流動性較高的股票會有較高的預期報酬。在我們使用Fama & French三因子加上動量因子作為我們的模型,發現在1966年的一月到2002年的12月,擁有高度敏感性的股票 (high liquidity beta)超過高低度敏感性的股票 (low liquidity beta)的平均報酬是每年6.29%(顯著的異常報酬)。zh_TW
dc.description.abstractIn this paper, we form 10 portfolios based on the predicted liquidity betas and examine that stocks’ “liquidity betas,” the sensitivities to innovations in aggregate liquidity, is important in asset pricing. We find stocks with higher liquidity betas contribute to higher expected returns using Pastor and Stambaugh (2003)’s liquidity measure and GMM estimation. Between January 1966 and December 2002, the average return on stocks with high liquidity beta exceeds that for stocks with low liquidity beta by 6.29 percent per year, adjusted for exposures to the market return, size, value (Fama-French Factors) and momentum factor.en_US
dc.language.isoen_USen_US
dc.subject流動性zh_TW
dc.subject流動性風險zh_TW
dc.subject一般動差法zh_TW
dc.subjectliquidityen_US
dc.subjectliquidity risken_US
dc.subjectgeneralized method of momentsen_US
dc.title流動性與預期報酬zh_TW
dc.titleLiquidity and Expected Stock Returnsen_US
dc.typeThesisen_US
dc.contributor.department統計學研究所zh_TW
Appears in Collections:Thesis