請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16105
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳聖賢 | |
dc.contributor.author | Chin-Te Yu | en |
dc.contributor.author | 游景德 | zh_TW |
dc.date.accessioned | 2021-06-07T18:01:12Z | - |
dc.date.copyright | 2012-08-19 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-08-06 | |
dc.identifier.citation | Acharya, V.V. and Pedersen, L.H., 2005, “Asset Pricing with Liquidity Risk,” Journal of Financial Economics, 77, 375-410.
Almeida, H., Campello, M., and Weisbach, M. S., 2004, “The Cash Flow Sensitivity of Cash,” Journal of Finance, 59, 1777–1804. Amihud, Y., 2002, “Illiquidity and Stock Returns: Cross-section and Time-series Effects.,” Journal of Financial Markets, 5, 31-56. Amihud, Y., and H. Mendelson, 1986, “Asset Pricing and the Bid-Ask Spread,” Journal of Financial Economics, 17, 223-249. Amihud, A. and H. Mendelson,1987, “Trading Mechanisms and Stock Returns: An Empirical Investigation,” Journal of Finance, 42, 533-555. Amihud, A. and H. Mendelson, 1991, “Trading Mechanisms and Value Discovery: Cross National Evidence and Policy Implications,” Carnegie-Rochester Conference Series on Public Policy, 34, 105-130. Angelini, P., and A. Generale, 2008, “On the Evolution of Firm Size Distributions,” American Economic Review, 98, 426-438. Atkins, A., and E. Dyl, 1997, ‘‘Market Structure and Reported Trading Volume: Nasdaq Versus the NYSE,’’ Journal of Financial Research, 20, 291-304. Banz, R.W., 1981, “The Relationship between Return and Market Value of Common Stocks,” Journal of Financial Economics, 9, 3-18. Baker, M., and J. Wurgler, 2006, Investor Sentiment and the Cross-Section of Stock Returns, Journal of Finance, 61, 1645-1680. Baker, M. and J. C. Stein, 2004, “Market Liquidity as a Sentiment Indicator,” Journal of Financial Markets, 7, 271-299. Barber, B. M. and T. Odean, 2008, “All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors,” Review of Financial Studies, 21, 785-818. Beck, T., A. Demirgu‥c-Kunt, and V. Maksimovic, 2005, “Financial and Legal Constraints to Growth: Does Firm Size Matter?” Journal of Finance, 60, 137-177. Brandt, M.W., Brav, A., Graham, J.R., and Kumar, A., 2010, “The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?” Review of Financial Studies, 23, 863-899. Brunnermeier, M., and L. Pedersen, 2009, “Market Liquidity and Funding Liquidity,” Review of Financial Studies, 22, 2201–2238. Cabral, Luis M.B. and Jose Mata, 2003, “On the Evolution of the Firm Size Distribution: Facts and Theory,” American Economic Review, 93, 1075-1090. Campbell, J. Y., S. Grossman, and J. Wang, 1993, “Trading Volume and Serial Correlation in Stock Returns,” The Quarterly Journal of Economics, 108, 905-939. Campbell, J. Y., M. Lettau, B. G. Malkiel, and Y. Xu, 2001, “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,” Journal of Finance, 56, 1-43. Chordia, T., S. Huh, and A. Subrahmanyam, 2007, ‘‘The Cross-Section of Expected Trading Activity,’’ Review of Financial Studies, 20, 709-740. Chordia, T., R. Roll, and A. Subrahmanyam, 2001, ‘‘Market Liquidity and Trading Activity,’’ Journal of Finance, 56, 501-530. Chordia, T., R. Roll, and A. Subrahmanyam, 2011, ‘‘Recent Trends in Trading Activity and Market Quality,’’ Journal of Financial Economics, 101, 243-263. Dichev, I.D., 1998, “Is the Risk of Bankruptcy a Systematic Risk?” Journal of Finance, 53, 1131-1147. Dickey, D. A. and Fuller, W.A., 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root ,” Econometrica , 49, 1057-1072. Eleswarapu, V. R. and M. R. Reinganum, , 1993, “The Seasonal Behavior of the Liquidity Premium in Asset Pricing,” Journal of Financial Economics, 34, 373-386. Foster, F. and S. Viswanathan, , 1990, “A theory of Interday Variations in Volume, Variance and Trading Costs in Securities Markets,” Review of Financial Studies, 3, 593–624. Frazzini A. and O. Lamont, 2006), “The Earnings Announcement Premium and Trading Volume,” NBER working paper. French, K., 2008, “The Cost of Active Investing,” Journal of Finance, 63, 1537-1573. Gallant, R., P. Rossi, and G. Tauchen, 1992, ‘‘Stock Prices and Volume,’’ Review of Financial Studies, 5, 199-242. Gervais, S., R. Kaniel, and D. Mingelgrin, 2001, “The High-Volume Return Premium,” Journal of Finance, 56, 877-919. Gompers, P. A. and Metrick, A., 2001, “Institutional Investors and Equity Prices,” The Quarterly Journal of Economics, 116, 229-259. Gorton, G. B., and G. Pennacchi, 1993, “Security Baskets and Index-linked Securities,” Journal of Business, 66, 1-27. Griffin, J., F. Nardari, and R. Stulz, 2005, ‘‘Do Investors Trade More when Stocks have Performed Well? Evidence from 46 Countries,’’ Review of Financial Studies, 20, 905-951. Hameed, A.,W. Kang, and S. Viswanathan, 2010, “Stock Market Declines and Liquidity,” Journal of Finance 65, 257-293. Hendershott, T., C. Jones, and A. Menkveld, 2008, “Does Algorithmic Trading Improve Liquidity?” Working Paper, Columbia University. Holmstrom B. and J. Tirole, 2001, “LAPM: A Liquidity-based Asset Pricing Model,” Journal of Finance, 56, 1837-1867. Jain. P. C. and G. John, 1988, “The Dependence between Hourly Price and Trading Volume,' Journal of Financial Quantitative Analysis, 23, 269-283. Karolyi, G. A., Kuan-Hui Lee and Mathijs A.van Dijk, 2011, “Understanding commonality in liquidity around the world,” Journal of Financial Economics, doi:10.1016/j.jfineco.2011.12.008 Kaplan, S.N., and L. Zingales, 1997, “Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?” Quarterly Journal of Economics, 112, 707-712. Kamara, A., X. Lou and R. Sadka, 2008, “The Divergence of Liquidity Commonality in the Cross-section of Stocks, Journal of Financial Economics, 89, 444-466. Karpoff, J., 1987, “The Relation between Price Changes and Trading Volume: a Survey,” Journal of Financial and Quantitative Analysis, 22, 109–126 Keim, D., 1983, “Size Related Anomalies and Stock Market Seasonality; Further Empirical Evidence,” Journal of Financial Economics, 12, 12-32. Lakonishok, J., A. Shleifer, and R. Vishny, 1992, “The Structure and Performance of the Money Management Industry,” Brookings Papers: Microeconomics, 339-391. Lamont, O., C. Polk and J. Saa-Requejo, 2001, “Financial Constraints and Stock Returns,” Review of Financial Studies, 14, 529-554. Lee, C. M. C., and B. Swaminathan, 2000, Price Momentum and Trading Volume, Journal of Finance, 55, 2017-2069. Liu, W., 2006, A Liquidity-augmented Capital Asset Pricing Model, Journal of Financial Economics, 82, 631-671. Lo, A., and J. Wang, 2000, ‘‘Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory,’’ Review of Financial Studies, 13, 257-300. Longstaff, F. A., 2009, “Portfolio Claustrophobia: Asset Pricing in Markets with Illiquidity Assets,” American Economic Review, 99, 1119-1144. Lakonishok, J. and S. Smidt, 1986, “Volume for Winners and Losers: Taxation and Other Motives for Stock Trading,” Journal of Finance, 41, 951-974. Merton, R., 1987, ‘‘A Simple Model of Capital Market Equilibrium with Incomplete Information,’’ Journal of Finance, 42, 483-510. Naes, R., J.A. Skjeltorp, and B.A. Odegaard, 2011, “Stock Market Liquidity and the Business Cycle,” Journal of Finance, 66, 139-176. Newey, W., and K. West, 1987, ‘‘A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,’’ Econometrica, 55, 703-708. Odean, Terrance, 1999, “Do Investors Trade too Much?” American Economic Review, 89, 1279-1298. Pastor, Lubos and R. F. Stambaugh, 2003, “Liquidity Risk and Expect Stock Returns,” Journal of Political Economy, 111, 642-685. Pagano, Marco, 1989, “Trading Volume and Asset Liquidity,” The Quarterly Journal of Economics, 104, 256-274. Roll, R., 1984, A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance 39, 1127-1139. Statman, M, S. Thorley, and K. Vorkink, 2006, “Investor Overconfidence and Trading Volume,” Review of Financial Studies, 19, 1531-1565. Vayanos, D., 2004, “Flight to quality, flight to liquidity and the pricing of risk,” NBER working paper. Vayanos, D. and T. Wang, 2007, “Search and Endogenous Concentration of Liquidity in Asset Markets,” Journal of Economic Theory, 136, 66-104 Whited, T. M., and G. Wu, 2006, Financial Constraints Risk, Review of Financial Studies, 19, 531-559. Wagner, W., 2011, ‘‘Systemic Liquidation Risk and the Diversity-Diversification Trade-Off,’’ Journal of Finance, 66, 1141-1175. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16105 | - |
dc.description.abstract | 本論文對美國股票市場交易量的橫斷面分布與其對資產定價的影響進行實證研究。本文發現美國股票市場交易量的橫斷面分布具有高度集中的特性並且此集中度有增加的趨勢。交易量最大的前20%個股創造了超過整個股票市場80%的交易量「所謂的80/20法則」。而且,這個交易量最大的前20%個股所佔整體市場交易量的比例在1963年到2010年間呈現上升趨勢。本文進一步發現交易量集中度的演變,本質上和股票市值集中度的演變有高度正相關;同時,交易量集中度也和股票市場的報酬率、週轉率和流動性呈現負相關,和系統性風險與個股特有風險呈現正相關。控制了這些市場變數後,本文進一步發現機構投資人的持股動向(需求面)與融資/交易成本(供給面)可以顯著解釋本文所發現的交易量集中度的演變。最後,本文提出實證證據顯示,交易量集中度可以反映投資人的流動性偏好,因而對資產定價產生系統性的影響。 | zh_TW |
dc.description.abstract | This paper empirically studies the evolution of cross-sectional distribution of trading volume in U.S. stock market and its implication for asset pricing. We document high and increasing concentration of trading volume in the cross-sectional stocks over the period from 1963 to 2010. The top 20% actively-traded stocks supply more than 80% of aggregate trading volume (“80-20 rule”) and the percentage they account for shows significant uptrend. The evolution of trading volume concentration is inherently associated with (but has magnified) the similar evolution in market capitalization concentration. Additionally, we find that trading volume concentration is negatively associated with market return, market turnover and market liquidity and is positively associated with systematic risk and idiosyncratic risk in return. After controlling for these general market dynamics, we find that trading volume concentration is significantly explained both by institutional ownership (demand-side force) and by funding/trading cost (supply-side force) over the sample period. We also show that trading volume concentration captures investors’ time-varying liquidity preference and thus has systematic effects on asset pricing. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T18:01:12Z (GMT). No. of bitstreams: 1 ntu-101-D94723003-1.pdf: 1491507 bytes, checksum: a5c392d6cd2bc8d7580367e5ce26b2db (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 口試委員會審定書……………………………………………………………………………………... i
誌謝…………………………………………………………………………………………………………… ii 中文摘要…………………………………………………………………………………………………… iii 英文摘要…………………………………………………………………………………………………… iv 1. Introduction……………………………………………………………………………………………. 2 2. Data, Sample and Variables ………………………….………………………………………… 13 3. Cross-sectional Concentration of Trading Volume and Its Evolution………… 16 3.1. Cross-sectional Distribution of Trading Volume…………………..……………. 16 3.2. The Evolution of Trading Volume Concentration………………..……………... 19 3.3. Anatomy of Trading-volume Concentration……………………………….……… 25 4. Explanations for Recent Trends in Trading-volume Concentration……………. 28 5. The Implication of Trading-volume Concentration for Asset Returns………... 35 5.1. Trading Volume Concentration and Illiquidity Premium…………………...... 38 5.2. Trading Volume Concentration and Size Premium……………………………... 42 5.3. Trading Volume Concentration and Financial Constraint…………………… 44 5.4. Asymmetric Return Effect and Economic Significance Analyses………... 48 5.5. Trading Volume Concentration and Value Premium…………………………... 50 6. Robustness Check…….……………………………………………………………………………... 52 6.1. NASDAQ Market………………………………………………………………………...…… 52 6.2. Sub-period Analysis…………….……………………………………………………………. 54 6.3. Alternative Measures……………………………………..………………………………….. 55 7. Discussion and Conclusion……………………………………………………………………… 56 Reference…………………………………………………………………………………………………… 59 Appendix ……..…………………………………………………………………………………………… 99 | |
dc.language.iso | en | |
dc.title | 交易量集中度與對資產定價的意涵 | zh_TW |
dc.title | Cross-Sectional Trading Volume Concentration and Its Implication for Asset Pricing | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 陳業寧,周冠男,王衍智,黃嘉威 | |
dc.subject.keyword | 交易量市場流動性,資產定價,流動性偏好, | zh_TW |
dc.subject.keyword | Trading volume,market liquidity,asset pricing,liquidity preference, | en |
dc.relation.page | 100 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2012-08-06 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-101-1.pdf 目前未授權公開取用 | 1.46 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。