台灣股市流動性溢酬之實證研究 -以金融類股為例

Abstract

在證券市場當中，流動性的重要性不僅於資產績效的衡量與市場機制實施成效的評估，更是決定報酬的關鍵因素。投資人能否在資訊不對稱下，從觀察流動性及股票報酬的相互關係，獲取有效資訊以減少投資風險，將是值得探討的議題。尤其是在歷經次貸事件與國際金融海嘯洗禮後，更凸顯金融業面對的市場流動性變動程度遠大於其他產業。 故本文以台灣證券市場金融類股為研究對象，採用Fama-MacBeth（1973）的橫斷面迴歸分析方法，以週轉率做為流動性衡量指標。除以Amihud（2002）的方法將流動性分解成預期及未預期兩部分外，再以Fama 與 French （1992、1993）的三因子模型中的市場風險、公司規模、淨值市價比，最後再加上外資持股比例當作解釋股票報酬的變數，驗證在台灣股票市場金融類股中，是否有流動性溢酬或存在其它影響橫斷面股票報酬的因素。 結果發現：1、beta值與股票報酬間存在極小的負向關係，是因為金融業特殊的資產結構所產生的結果。2、規模效應的確存在於台灣股市金融類股當中3、不存在元月效果，但卻存在春節效應4、從預期流動性的角度來看，流動性溢酬是不存在的；但從人們觀察到當期未預期流動性高低後的反應切入分析，發現流動性溢酬的確存在於台灣股市金融類股中，只是傳遞途徑不同而已。

In security market, liquidity is not only important to the measurement of asset return and the evaluation of market mechanism execution, but also to the key factor of return. It is worth exploring if investors, facing information asymmetry, can obtain effective information to decrease risk by observing the relationship between liquidity and stock return. Especially after subprime crisis and financial tsunami, it is obvious that the volatility of liquidity faced by financial industry is far greater than that of other industries. This thesis is to study financial sector in Taiwan equity market through Fama-MacBeth (1973) cross-sectional regression analysis, using turnover as liquidity indicator. By using Amihud（2002）method, liquidity is divided into two parts: expected and unexpected. Then market risk, firm size and b/m ratio in the three-factor model of Fama and French （1992、1993） are taken into account. The percentage of shares held by foreign investors is the variable of explaination of stock return. Then this study verifies if there is any liquidity premium or any factor influencing cross-sectional stock return for financial sector in Taiwan equity market. The results are: (1) the relationship between beta and return is extremely small and negative, an outcome resulted from the special asset structure in financial sector.; (2) The company size is important in financial sector; (3) there is no evidence supporting January effect, but Chinese New Year effect exists; and (4) from the perspective of expected liquidity, liquidity premium does not exist, but it is found that, by analyzing investors’ response to the change of unexpected liquidity, liquidity premium indeed exists in financial sector, only with different distribution channel.