下方風險與流動性-以美國金融類股為例

Abstract

相較於上漲所得，投資人比較在乎下跌所造成的損失。 因此他們對於市場下跌敏感度高的股票需要額外的報酬才願意持有。在這篇論文中，我們證實這些容易受到市場下跌影響的股票都會有較高的平均下方風險報酬，特別是在2008年的金融海嘯期間效果更明顯。另外我們也提供證據顯示下方風險與上方風險對於股票的流動性是具有不同的影響效果的。股票的下方風險越高，在市場上流動性就越低。另一方面，股票的上方風險越高，流動性就越高。

Investors care more about downside losses than upside gains. They require additional compensation for holding stocks with high sensitivities to downside market movements. In this paper, we show that the cross section of stock returns reflects a downside risk premium, especially during the financial crisis in 2008. Moreover, we provide evidence that downside risk and upside risk affect stock liquidity in different ways. Stocks with greater downside risk tend to be less liquid. On the other side, stocks with higher upside risk provide more liquidity.