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研究生:黎國揚
研究生(外文):Kevin Li
論文名稱:規模效果和元月效應之微觀
論文名稱(外文):A Microscopic View of the Size and January Effects
指導教授:周賓凰周賓凰引用關係周冠男周冠男引用關係
指導教授(外文):Pin-Huang ChouRobin K. Chou
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:英文
論文頁數:59
中文關鍵詞:價值加權投資組合元月異常規模效果日內異常買賣價偏誤
外文關鍵詞:Size EffectValue-Weighted PortfolioJanuary AnomalyIntraday AnomalyBid-Ask Bias
相關次數:
  • 被引用被引用:3
  • 點閱點閱:222
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本論文使用了不同週期的資料去重新檢驗元月效應與規模效果,並希望能發掘出其構成份子。在1963-2002年間一月的報酬明顯大於非一月的報酬,且規模效果確實只存在於一月。接下來我們縮小研究範圍,並將重心放在最小規模的公司在一月的價值加權平均報酬的表現,結果我們發現在1994-2002年間,一月的第一個交易禮拜佔了整個一月平均報酬45%,且集中在前兩個交易日。這個結果與Keim (1983)是相似的。進一步我們去分析最小規模公司的市場日內資料, 結果顯示一月平均報酬的50%來自於開盤和收盤的半小時。此外整個一月最大的日內平均報酬來自第一個交易日的開盤半小時,最後我們使用買賣價的中價來做調整後價格,結果發現一月的開盤半小時平均報酬仍舊有異常的報酬。主要原因是因為,買賣價的相對分佈比率在我們的研究期間內與過去的研究不太相同,產生了結構上的改變,這是一個新發現。同時我們發現只有向上的買賣價的偏誤能夠部分的解釋日內異常報酬。最後我們發現交易成本小於0.3%的投資人,將有可能在我們的研究期間內的一月第一個交易日的開盤半小時獲得投資利潤。
The purpose of this paper is to use different frequency data to reexamine the size and January effect. During the period 1963 - 2002, the results exhibit that size effect only exists in January. More than 45 percent of January returns are from the first trading week, particularly on the first and second trading day during the period 1994-2002. These results are similar to Keim (1983). Further, we analyze intraday data and find that about 50 percent of January returns come from the first half hour and the last half hour of January. Especially, the first half of first trading day has the largest return. Furthermore, the intraday anomaly still exists even when we use the quoted mid-point instead of trading price to eliminate possible bid-ask bias. The movement of the relative proportion of bid-ask is an important reason and it also influences the empirical results. Only upward bid-ask bias effect can explain part of intraday anomaly, particularly on 9:30 A.M. of the first trading day during the period 1994-2002. Finally, we suggest that if the transaction costs of investors are lower than 0.3 percent, they could obtain profit during the first half hour of the first trading day in our research period.
Contents
1. Introduction ------------------------------------------------------------1
2. January and Size effects ------------------------------------------------4
3. Data and Methodology ----------------------------------------------------7
4. Empirical Results--------------------------------------------------------9
4.1 Size and January effects with monthly data------------------------------9
4.2 Average daily returns of the smallest size decile in January-----------14
4.3 Average intraday returns of the smallest size decile in January--------16
4.4 Adjustment of bid-ask bias---------------------------------------------18
4.5 The influence of shift in proportion of bid-ask------------------------21
5. Summary and Conclusion--------------------------------------------------24
Reference -----------------------------------------------------------------28
Appendix ------------------------------------------------------------------52
Reference
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Bhardwaj, R. K. and Brooks, L. D. (1992). The January anomaly: Effects of low share price, transaction costs, and bid-ask bias, Journal of Finance, 47, 553-575.
Chou, P. H., Chou, R. K., and Wang, J. S. (2004). On the cross-section of expected stock returns: Fama-French ten years later, Finance letters, 2 (1), 18-22.
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Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12, 13-32.
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Pearce, K. D. (1996). The robustness of calendar anomalies in daily stock returns, Journal of Economics and Finance, 20, 69-80.
Reinganum, M. R. (1983). The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. Journal of Financial Economics, 12, 89-104.
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Roll, R. (1983). “Vas ist das? The turn of year effect and the return premia of small firms, Journal of Portfolio Management, 9, 18-28.
Seyhun, H. N. (1988). The January effect and aggregate insider trading, Journal of Finance, 43, 129-141.
Seyhun, H. N. (1993). Can omitted risk factors explain the January effect? A stochastic dominance approach, Journal of Financial and Quantitative Analysis, 28, 195-212.
Stoll, H. R., and Whaley, R. E. (1983). Transaction costs and the small firms effect, Journal of Financial Economics, 12, 57-80.
Tinic, S. M. and West, R. R. (1984). Risk and return: January vs. the rest of the year. Journal of Financial Economics, 13, 561-574.
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