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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王耀輝(Yaw-Huei Wang) | |
| dc.contributor.author | Ping-Hsien Chung | en |
| dc.contributor.author | 鍾秉憲 | zh_TW |
| dc.date.accessioned | 2021-06-16T06:52:47Z | - |
| dc.date.available | 2024-12-31 | |
| dc.date.copyright | 2014-08-16 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2014-07-22 | |
| dc.identifier.citation | Acharya, V., and Pederson, L. (2005), “Asset pricing with liquidity risk”, Journal of Financial Economics, 77, 375-410.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/57586 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T06:52:47Z (GMT). No. of bitstreams: 1 ntu-103-R01723027-1.pdf: 1137394 bytes, checksum: 8dccfe5928dc119a1a137110003a10a2 (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 誌謝 I
中文摘要 II ABSTRACT III 目錄 IV 第一章、 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 3 第二章、 文獻回顧 4 2.1 流動性 4 2.1.1 流動性的衡量方式 4 2.1.2 流動性與資產定價 5 2.2 公司規模 7 2.3 公司治理 8 2.3.1 公司權力集中程度與資訊揭露 8 2.3.2 公司治理與流動性 9 第三章、 研究方法與資料 11 3.1 研究方法 11 3.2 研究資料來源與定義 12 3.2.1 資料來源與樣本篩選 12 3.2.2 非流動性指標 13 3.2.3 流動性與股票預期報酬之橫斷面分析 15 3.2.4 市場流動性與市場投資組合超額報酬之時間序列分析 17 3.2.5. 研究假說 21 第四章、 實證結果與分析 22 4.1 流動性與股票預期報酬之橫斷面分析 22 4.2 市場流動性與市場投資組合超額報酬之時間序列分析 23 4.2.1 公司市值分群 23 4.2.2 公司治理分群 25 4.3 穩健性檢驗 27 第五章、 結論 36 參考文獻 38 | |
| dc.language.iso | zh-TW | |
| dc.subject | 台灣 | zh_TW |
| dc.subject | 控制權集中度 | zh_TW |
| dc.subject | 流動性溢酬 | zh_TW |
| dc.subject | 公司治理 | zh_TW |
| dc.subject | 流動性因子 | zh_TW |
| dc.subject | Amihud非流動性指標 | zh_TW |
| dc.subject | Liquidity premium | en |
| dc.subject | Taiwan | en |
| dc.subject | Amihud illiquidity proxy | en |
| dc.subject | Liquidity factor | en |
| dc.subject | Ownership concentration | en |
| dc.subject | Corporate governance | en |
| dc.title | 公司特性、公司治理與流動性溢酬-台灣股票市場的實證 | zh_TW |
| dc.title | Firm Characteristics, Corporate Governance and Liquidity Premium: Evidence from Taiwan Stock Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 102-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何耕宇(Keng-Yu Ho),石百達(Pai-Ta Shih) | |
| dc.subject.keyword | 流動性溢酬,公司治理,控制權集中度,流動性因子,Amihud非流動性指標,台灣, | zh_TW |
| dc.subject.keyword | Liquidity premium,Corporate governance,Ownership concentration,Liquidity factor,Amihud illiquidity proxy,Taiwan, | en |
| dc.relation.page | 42 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2014-07-22 | |
| 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 | |
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