臺灣博碩士論文加值系統

本研究探討1982〜2016台灣股票市場上是否存在非流動性溢酬。首先，使用Amihud(2014)方法計算市場的非流動性溢酬，將研究期間切割為四個期間，包含全期間與三個子期間，以觀察非流動性溢酬和傳統四因子溢酬的迴歸關係。接著根據Amihud(2002)非流動性的度量，將1982〜2016台灣股票市場依非流動性由小到大分為五個股票組合，進行五個組合在四個樣本期間內的四因子模型分析，最後加入非流動溢酬(IML)因子成為五因子模型，並探討五因子相較於四因子對股票報酬的解釋能力。實證結果發現，五因子模型確實增加了對股票報酬的解釋能力，在非流動性大的組合下，具有顯著正向的非流動性溢酬，且alpha值顯著變小，意味著非流動性大的股票組合內的確存在非流動性溢酬。

This thesis examines the existence of illiquidity premiums in Taiwan stock markets during the period, 1982-2016. Firstly, I calculates the illiquidity premium by the method of Amihud (2014) in the four-period samples, a whole period and three sub periods, and test the statistical relationship between illiquidity premium and risk factor premiums through the four-factor model. This study then constructs quint portfolios by Amihud (2002) measure in an ascending order and applies factor models to explore the relationship between stock returns and illiquidity premium. The empirical results indicate that the five-factor model increases the relative explanatory power comparing to the traditional four-factor model. Moreover, among the higher illiquidity portfolios, the illiquidity premium demonstrates significantly positive effects on stock returns and the five-factor model shows relatively smaller alphas, which in turns evidence the existence of market illiquidity premiums.

摘要 i
Abstract ii
目錄 iii
表目錄 iv
圖目錄 v
第一章　緒論 1
第一節　研究背景與動機 1
第二節　研究目的 2
第三節 研究架構 3
第四節 研究流程 4
第二章　文獻探討 5
第一節 四因子模型 5
第二節 非流動性與非流動性溢酬 7
第三章　研究方法 11
第一節　研究對象與期間 11
第二節 非流動性的度量(ILLIQ) 11
第三節 非流動性溢酬(IML) 12
第四節 實證模型 15
第四章 實證結果與分析 17
第一節 敘述性統計 17
第二節 迴歸分析 25
第五章 結論與建議 39
第一節 結論 39
第二節 未來研究方向與建議 40
參考文獻 41

1.Aitken, M. and Winn,R.(1997), "What is this thing called liquidity." Working paper,Securities Industry Research Center of Asia Pacific .
2.Amihud, Y. (2002), " Illiquidity and Stock Returns: Cross-Section and Time-Series Effects" Journal of Financial Markets ,5(1), pp.31-56.
3.Amihud, Y. (2014)," The Pricing of the Illiquidity Factor's Systematic Risk. "Working paper,New York University.
4.Amihud, Y. and Mendelson,H. (1986), " Asset Pricing and the Bid-Ask Spread." Journal of Financial Economics ,17(2), pp.223-249.
5.Amihud, Y. and Mendelson,H.(1986), "Liquidity and Stock Returns." Financial Analysts Journal ,42(3),pp. 43-48.
6.Banz, R. W. (1981),"The relationship between Return and Market Value of Common Stocks." Journal of Financial Economics ,9(1), pp.3-18.
7.Bhandari, L. C. (1988),"Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence." Journal of Finance ,43(2), pp.507-528.
8.Brennan, M. J. and Subrahmanyam,A. (1996)," Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns " Journal of Financial Economics ,41(3), pp.441-464.
9.Carhart, M. M. (1997),"On Persistence in Mutual Fund Performance." The Journal of Finance 52(1), pp.57-82.
10.Chan, L., Jegadeesh, N.and Lakonishok ,J. (1996),"Momentum strategies." The Journal of Finance ,51(5), pp.1681-1713.
11.Chordia, T.,Roll, R. and Subrahmanyam, A. (2000), "Commonality in liquidity." Journal of Financial Economics ,56(1), pp.3-28.
12.Datar, T.V., Naik, Y.N.and Radcliffe, R. (1998), "Liquidity and stock returns: An alternative test." Journal of Financial Markets, 1(2),pp. 203-219.
13.Eleswarapu, V.R. (1997),"Cost of transacting and expected returns in the Nasdaq market." The Journal of Finance ,52(5), pp.2113-2127.
14.Eleswarapu, V.R. and Reungnum, M. R. (1993),"The seasonal behavior of the liquidity premium in asset pricing." Journal of Financial Economics ,34(3), pp.373-386.
15.Fama, E. F. and French, K. R. (1993),"Common risk factors in the returns on stocks and bonds." Journal of Financial Economics ,33(1), pp.3-56.
16.Grammatikos, T. and George, P. (1986)," Market Reaction to NYSE Listings: Tests of the Marketability Gains Hypothesis." Journal of Financial Research, 9(3), pp.215-227.
17.Jegadeesh, N. and Titman, S. (1993),"Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance ,48(1), pp.65-91.
18.Kyle, A. S. (1985),"Continuous auctions and insider trading." Econometrica: Journal of the Econometric Society ,53(6),pp. 1315-1335.
19.Lee, C. and Swaminathan, B. (2000), " Price Momentum and Trading Volume ." The Journal of Finance ,55(5), pp.2017-2069.
20.Li, B., Sun, Q.and Wang, C.(2014), " Liquidity, Liquidity Risk and Stock Returns: Evidence from Japan " European financial management, 20(1),pp. 126-151.
21.Menyah, K. and Paudyal, K. (1996), "The Determinants and Dynamics of Bid-Ask Spreads on the London Stock Exchange"Journal of Financial Research ,19(3), pp.377-394.
22.Moskowitz, T. J. and Grinblatt , M.(1999), " Do Industries Explain Momentum?" The Journal of Finance ,54(4), pp.1249-1290.
23.Reinganum, M. R. (1981),"Misspecification of capital asset pricing." Journal of Financial Economics, 9(1), pp.19-46.
24.Sharpe, W. F. (1964),"Capital Asset Prices: A Theory of Market Equilibrium
甲、under Conditions of Risk. "The Journal of Finance, 19(3),pp.425-442.
25.Stattman, D. (1980),"Book values and stock return." The Chicago MBA: A Journal of Selected Papers 4(1), pp.25-45.
26.Tinic, S. M. (1972), "The economics of liquidity services." The Quarterly Journal of Economics, 86(1),pp.79-93.
27.杜幸樺 (1999)，「影響臺灣股票報酬之共同因素與企業特性之研究--Fama-French 三因子模式."動能策略與交易量因素」，國立中山大學企業管理研究所碩士論文。
28.林俊成(2010)，「台灣股市流動性溢酬之實證研究 -以金融類股為例」，國立臺灣大學經濟學研究所碩士論文。
29.邱俞華 (2006)，「中長期動能策略之研究: 以台灣股市為例」，國立政治大學財務管理研究所碩士論文。
30.邱臙珍 (2014)，「流動性共變影響因子之研究: 資金流動性與機構投資人交易行為觀點」，《經濟研究》，第50卷第2期，頁211-289。
31.胡星陽 (1998)，「流動性對台灣股票報酬率的影響」，《中國財務學刊》，第5卷第4期，頁1-19。
32.胡凱文 (2006)，「台灣股票市場流動性實證−使用Amihud (2002) 指標」，國立臺灣大學財務金融學研究所碩士論文。
33.張眾卓、王祝三 (2013)，「臺灣時間序列與橫斷面股票報酬之研究：不同模型 設定、投資組合建構以及樣本選擇下之再檢測」，《經濟研究》，第 49 卷第 1 期，頁 31-88。
34.陳隆勛 (1998)，「台灣上市公司股票流動性與股票報酬關聯性之研究」，國立交通大學管理科學研究所碩士論文。
35.陳榮昌 (2002)，「台灣股票報酬之結構分析」， 國立中山大學財務管理學系碩士論文。