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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 莊文議 | zh_TW |
| dc.contributor.advisor | Wen-I Chuang | en |
| dc.contributor.author | 張琍韓 | zh_TW |
| dc.contributor.author | Li-Han Chang | en |
| dc.date.accessioned | 2024-06-04T16:06:39Z | - |
| dc.date.available | 2024-06-05 | - |
| dc.date.copyright | 2024-06-04 | - |
| dc.date.issued | 2024 | - |
| dc.date.submitted | 2024-05-24 | - |
| dc.identifier.citation | Acharya, V. V. and L. H. Pedersen (2005), “Asset pricing with liquidity risk”, Journal of Financial Economics, 77, 375-410.
Alexander, G. J., G. Cici, and S. Gibson (2007), “Does trade motivation matter? An analysis of mutual fund trades”, Review of Financial Studies, 20, 125-150. Amihud, Y. (2002), “Illiquidity and stock returns: cross-section and time-series effects”, Journal of Financial Market, 5, 31-56. Amihud, Y. and H. Mendelson (1986), “Asset pricing and the bid-ask spread”, Journal of Financial Economics, 17, 223-249. Ang, A. and J. Chen (2002), “Asymmetric correlations of equity portfolios”, Journal of Financial Economics, 63, 443-494. Baele, L., G. Bekaert, and K. Inghelbrecht (2010), “The determinants of stock and bond return comovements”, Review of Financial Studies, 23, 2374-2428. Bali, T. G., S. J. Brown, and Y. Tang (2017), “Is economic uncertainty priced in the cross-section of stock returns?”, Journal of Financial Economics, 126, 471-489. Baker, M. and J. C. Stein (2004), “Market liquidity as a sentiment indicator”, Journal of Financial Markets, 7, 271-299. Bessembinder, H. (2003), “Trade execution costs and market quality after decimalization”, Journal of Financial and Quantitative Analysis, 38, 747-777. Bessembinder, H. and H. M. Kaufman (1997), “A comparison of trade execution costs for NYSE and Nasdaq-listed stocks”, Journal of Financial and Quantitative Analysis, 32, 287-310. Brennan, M. J., T. Chordia, and A. Subrahmanyam (1998), “Alternative factor specifications, security characteristics, and the cross-section of expected stock returns”, Journal of Financial Economics, 49, 345-373. Chen, X., J. Z. Huang, Z. Sun, T. Yao, and T. Yu (2020), “Liquidity premium in the eye of the beholder: an analysis of the clientele effect in the corporate bond market”, Management Science, 66, 932-957. Chordia, T., R. Roll, and A. Subrahmanyam (2000), “Commonality in liquidity”, Journal of Financial Economics, 56, 3-28. Coughenour, J. F. and M. M. Saad (2004), “Common market makers and commonality in liquidity”, Journal of Financial Economics, 73, 37-70. Fama, E. F. and K. R. French (2015), “A five-factor asset pricing model”, Journal of Financial Economics, 116, 1-22. Foucault, T., O. Kadan, and E. Kandel (2005), “Limit order book as a market for liquidity”, Review of Financial Studies, 18, 1171-1217. Gao, X. and J. R. Ritter (2010), “The marketing of seasoned equity offerings”, Journal of Financial Economics, 97, 33-52. Goldstein, M. A. and K. A. Kavajecz (2000), “Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE”, Journal of Financial Economics, 56, 125-149. Grullon, G., Y. Kaba, and A. Núñez-Torres (2020), “When low beats high: riding the sales seasonality premium”, Journal of Financial Economics, 138, 572-591. Hameed, A., W. Kang, and S. Viswanathan (2010), “Stock market declines and liquidity”, Journal of Finance, 65, 257-293. 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. Kyle, A. S. and W. Xiong (2001), “Contagion as a wealth effect”, Journal of Finance 56, 1401-1440. Pastor, L. and R. F. Stambaugh (2003), “Liquidity risk and expected stock returns”, Journal of Political Economy, 111, 642-685. Vayanos, D. (2004), “Flight to quality, flight to liquidity, and the pricing of risk”, Working paper, London School of Economics. Yan, X. and Z. Zhang (2009), “Institutional investors and equity returns: are short-term institutions better informed?”, Review of Finance Studies, 22, 893-924. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/92676 | - |
| dc.description.abstract | 本篇論文研究股票市場中流動性市場區隔的現象，探討異質性機構投資人對流動性的不同偏好所造成的影響。實證結果證實，不同機構投資人對於流動性偏好的差異導致流動性市場區隔，且此一市場區隔為一長期現象，可持續長達數年之久，與Amihud和Mendelson (1986) 的理論模型推測一致。證明其長期存在性之後，我們發現被相同類型機構投資人偏好的股票存在流動性共移及報酬共移，這兩種共移來自於流動性市場區隔現象。此外，本篇論文亦探討了不同機構投資人對流動性偏好的差異對投資組合報酬的影響，結果顯示不同流動性偏好的機構投資人其投資組合報酬會存在顯著差異，此一發現強調了機構投資人的流動性偏好對其投資組合報酬存在實質的影響。 | zh_TW |
| dc.description.abstract | This paper investigates the presence of liquidity market segmentation in the stock market, focusing on the distinct preferences for liquidity among heterogeneous institutional investors. Empirical result confirms that variations in liquidity preferences among different institutional investors do lead to liquidity market segmentation, and this segmentation is observed as a long-term phenomenon, persisting for several years, aligning with the theoretical conjectures of Amihud and Mendelson (1986). Proving its long-term presence, we find stocks favored by similar investors exhibit liquidity and return co-movement. These two co-movements stem from the liquidity market segmentation phenomenon. Furthermore, this study explores the impact of varying liquidity preferences among institutional investors on portfolio returns, demonstrating substantial differences based on their respective preferences. This finding underscores the tangible influence of institutional investors' liquidity preferences on their portfolio returns. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2024-06-04T16:06:39Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2024-06-04T16:06:39Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 口試委員會審定書
摘要......................................................................i Abstract.................................................................ii Table of Contents.......................................................iii List of Figures..........................................................iv List of Tables............................................................v Chapter 1 Introduction....................................................1 Chapter 2 Data and variables..............................................7 2.1 Data..................................................................7 2.2 Institutional investor’s liquidity preference on stock................7 2.2.1 Short-term and long-term institutional investors....................7 2.2.2 Liquidity preference of institutional investor on stocks............9 2.3 Liquidity measure....................................................11 Chapter 3 Liquidity market segmentation..................................13 Chapter 4 Liquidity co-movement and return co-movement...................15 4.1 Liquidity co-movement at the daily frequency.........................16 4.2 Return co-movement at the daily frequency............................19 4.3 Liquidity and return co-movement under different market conditions...21 4.3.1 Co-movements under the up and down market..........................21 4.3.2 Co-movements under the expansion and recession.....................24 4.3.3 Co-movements under the low- and high-volatility market.............26 Chapter 5 Liquidity preferences among institutional investors on portfolio returns..................................................................30 Chapter 6 Conclusion.....................................................31 References...............................................................34 | - |
| dc.language.iso | en | - |
| dc.subject | 流動性偏好 | zh_TW |
| dc.subject | 市場區隔 | zh_TW |
| dc.subject | 流動性共移 | zh_TW |
| dc.subject | 報酬共移 | zh_TW |
| dc.subject | 異質性機構投資人 | zh_TW |
| dc.subject | liquidity co-movement | en |
| dc.subject | liquidity preference | en |
| dc.subject | market segmentation | en |
| dc.subject | heterogeneous institutional investor | en |
| dc.subject | return co-movement | en |
| dc.title | 異質性機構投資人的流動性偏好與流動性客群效應 | zh_TW |
| dc.title | Liquidity Preferences of Heterogeneous Institutional Investors and Liquidity Clientele Effect | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 112-2 | - |
| dc.description.degree | 博士 | - |
| dc.contributor.oralexamcommittee | 石百達;鄭宏文;顏廣杰;張瑄凌 | zh_TW |
| dc.contributor.oralexamcommittee | Pai-Ta Shih;Hung-Wen Cheng;Kuang-Chieh Yen;Hsuan-Ling Chang | en |
| dc.subject.keyword | 流動性偏好,市場區隔,流動性共移,報酬共移,異質性機構投資人, | zh_TW |
| dc.subject.keyword | liquidity preference,market segmentation,liquidity co-movement,return co-movement,heterogeneous institutional investor, | en |
| dc.relation.page | 56 | - |
| dc.identifier.doi | 10.6342/NTU202401007 | - |
| dc.rights.note | 未授權 | - |
| dc.date.accepted | 2024-05-24 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| 顯示於系所單位： | 財務金融學系 | |
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