股票流動性對股價錯估之影響

Abstract

Amihud and Mendelson (1986)提出的流動性-報酬關係理論，指出了流動性對股票的預期報酬的影響。而後許多學者相繼投身研究流動性與預期報酬的關係。過去的研究已經廣泛證實了流動性對於股票預期報酬的影響。 本研究旨在透過探討不流動性效果在不同錯估程度間的差異，了解股票市場中投資者對於流動性風險的反應，並且研究股票流動性如何影響其預期報酬。本研究引用Stambaugh, Yu and Yuan (2015)定義的股價定義的股價錯估指標，以及Amidhud (2002)建構出的衡量股票不流動性的指標，並使用相關的實證方法進行實證。根據我們的模型，不流動性對於股票的預期報酬具有顯著正向關係，特別是在不同錯估程度的情況下，由於套利限制，以及雜訊交易者的過度自信，當股票被低估時，不流動性對於預期報酬的影響，會大於股票被高估時的不流動性效果。而後我們將股票以法人持股比例分組，發現法人持股比例較低的股票中，由於放空限制，被高估的股票流動性效應愈加顯著。最後一節排除小公司，發現流動性效果較大部分集中在中小型公司。

The liquidity-return relationship theory proposed by Amihud and Mendelson (1986) suggests that liquidity affects the expected returns of stocks. Subsequently, many scholars have conducted research on the relationship between liquidity and expected returns. Previous studies have extensively confirmed the impact of liquidity on the expected returns of stocks. However, different degrees of mispricing may have different effects on liquidity risk, which is the motivation behind this study. The objective of this study is to explore the impact of liquidity risk on different levels of mispricing and understand how different types of investors in the stock market react to liquidity risk. We employ the stock mispricing measure defined by Stambaugh, Yu, and Yuan (2015) and the illiquidity measure developed by Amihud (2002). Empirical methods are utilized to examine the relationship. According to our model, liquidity significantly influences the expected returns of stocks, particularly in different levels of mispricing. Due to arbitrage constraints and the overconfidence of noise traders, when stocks are undervalued, the impact of liquidity on expected returns is greater than the liquidity effect observed when stocks are overvalued. In the final section, we exclude small firms and find that the majority of this effect is concentrated in medium and small-sized companies. Keywords: Mispricing; Arbitrage Constraints; Overconfidence; Liquidity; Noise Trader