流動性風險與股票市場績效之相關性研究

Abstract

本研究以1988年至2009年所有台灣上市櫃公司為樣本，採用Fabozzi & Francis (1979)提出區分多空頭市場的方式，分別採用長期趨勢及月報酬二種方法，以實證方式探討季報酬及P/B兩種情況下，對所有樣本分類為多空頭及上市櫃，其獲利指標與流動性指標之間的差異；並且透過逐步迴歸去找出具有代表性的自變數，再使用多元迴歸分析衡量季報酬與P/B、多空頭及上市櫃間的關係。 本研究的實證結果發現： 在季報酬的情況下，在市場空頭時，流動性指標比獲利指標表現更為顯著，且在多頭時獲利指標較為顯著，另外以P/B與獲利性與流動性關係來看，也發現在多頭時獲利指標較為顯著，在空頭流動性指標較為顯著。

We collect the samples from the public listed companies ,and OTC companies of Taiwan for the period from 1988 to 2009. We refer the way that Fabozzi & Francis (1979) identify the bear or bull market to exploit both the long-term trend and the monthly return separately. All the samples are classified by two criteria: bear or bull; listed or OTC. Two indexes, Quarterly return P/B ratio, are used for investigating the differences between Liquidity risk and Profit risk. Initially we take the Stepwisel regression to find the independent variables, then use the Multiple regression to analysis the relationship between the Quarterly return and P/B in bear/bull market or public Listed/OTC companies.

This conclusions are listed as following: (1) In the view of Quarterly return, the liquidity risk are more pronounced than profit risk at Bear market. While at Bull market, it’s opposite. (2) In the view of P/B, the liquidity risk are more pronounced than profit risk at Bear market.While at Bull market, it’s opposite.