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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 許耀文 | |
| dc.contributor.author | Yu-Jen Chou | en |
| dc.contributor.author | 周育任 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:14:18Z | - |
| dc.date.copyright | 2006-07-17 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-07-06 | |
| dc.identifier.citation | 5. Reference
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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. Chalmers, John MR, Gregory B. Kadlec, 1998, An Empirical Examination of the Amortized. Spread, Journal of Financial Economics, 48, 2, 159-188. Chan, KC, PH Hendershott and AB Sanders, 1990, “Risk and Return on Real Estate: Evidence from Equity REITs”, AREUEA Journal. Chordia, Tarun, Richard Roll and Avanidhar Subrahmanyam, 2000,“Commonality in Liquidity”, Journal of Financial Economics 56. Chordia, Tarun, Richard Roll and Avanidhar Subrahmanyam, 2001, “Market Liquidity and Trading Activity”, Journal of Finance 56, 501-530. Chordia, T., A. Subrahmanyam and V. R. Anshuman, 2001, “Trading Activity and Expected Stock Returns”, Journal of Financial Economics 59: 3-32. Clayton, J., and G. 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The value of endogenous market trading.” Unpublished working paper, University of New South Wales. Sadka, R., 2002. “Momentum, liquidity risk, and limits to arbitrage”. Unpublished working paper, Northwestern University Vijh, Anand M.,1990, “Liquidity of the CBOE Equity Options”, Journal of Finance 45(4), 1157-1179. Wang, A.W., 2002. “Institutional equity flows, liquidity risk and asset pricing”, Unpublished working paper, University of California, Los Angeles. Article In Press | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24022 | - |
| dc.description.abstract | Liquidity measures, such as bid-ask spread, have always influenced the required return of a security significantly. Since the investment objective of REIT is mostly related to real estates, the REITs market, in particular, stresses the importance of asset liquidity even more. This study tries to investigate whether liquidity factor is an important variable when pricing the REIT stocks. The research result should hopefully serve to improve the understanding of REIT market and encourage its future development. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:14:18Z (GMT). No. of bitstreams: 1 ntu-95-R93724045-1.pdf: 280184 bytes, checksum: dd2a162599e71e2d5ca8495b9adac268 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | 1.Introduction p3
2.Methodology p6 2.1 Description of Data p7 2.2 Liquidity Measures p9 2.2.1 bid-ask spread p10 2.2.2 turnover ratio p11 2.2.3 sensitivity of daily return to trading volume p11 2.3 Liquidity Adjusted CAPM p12 3.Empirical Findings p15 3.1 Liquidity Risk p15 3.2 Impact of Liquidity Risk p24 4.Conclusion p28 5.Reference p30 | |
| dc.language.iso | en | |
| dc.subject | 預期報酬 | zh_TW |
| dc.subject | 流動性風險 | zh_TW |
| dc.subject | Expected Return | en |
| dc.subject | Liquidity Risk | en |
| dc.title | 流動性風險與REIT預期報酬 | zh_TW |
| dc.title | Liquidity Risks and Expected REIT Return | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢,胡星陽,荷世平 | |
| dc.subject.keyword | 流動性風險,預期報酬, | zh_TW |
| dc.subject.keyword | Liquidity Risk,Expected Return, | en |
| dc.relation.page | 33 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2006-07-07 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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