公司特性、公司治理與流動性溢酬-台灣股票市場的實證

Abstract

本文的研究樣本為台灣上市公司1991到2013年的交易資料並使用修正後的Amihud非流動性指標來檢驗股票的流動性與報酬間的關係。於橫斷面回歸分析的結果中，我們發現個股的流動性越差，投資人對該股的要求報酬也越高。過去文獻支持，公司治理及規模與股票的流動性息息相關。在我們時間序列回歸分析的結果中，流動性對於控制權較分散及規模較小的公司有較大的影響力。此外，與過去學者的研究相符，流動性、Beta、公司市值、是否為正月等因子皆影響了台股報酬。然而，當我們將樣本分割後卻發現，近期各因子與股票報酬間的關係有減弱甚至發生與理論預期反轉的現象。

Based on sample of listed firms in Taiwan from 1991 to 2013, this study utilizes modified Amihud illiquidity proxy to explore the effect of equity liquidity on stock excess return in Taiwan stock market. From the cross-section regression, our results show positive relationship between stock returns and individual illiquidity. Theories suggest that corporate governance and firm size are associate with equity liquidity. According to the time-series regression, we find evidence that market illiquidity affects both dispersed ownership and small firm stocks more strongly. In addition, we also find that those factors like illiquidity, Beta, market capitalization, and January dummy have correlated to stock returns, which is the same as many literatures in Taiwan. However, those relationships seem less significant or even some have reverse relationships by using resent market data.