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研究生:顧正雄
研究生(外文):Cheng-Hsiung Ku
論文名稱:資訊風險,價格跳動,與股票價格動態效應
論文名稱(外文):Information Risk, Price Jumps, and Stock Price Momentum
指導教授:黃宜侯黃宜侯引用關係
指導教授(外文):Yi-Hou Huang
口試委員:詹佳縈周德瑋
口試委員(外文):Chia-Ying ChanDe-Wai Chou
口試日期:2013-06-13
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融暨會計碩士班(財務金融學程)
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:英文
論文頁數:74
中文關鍵詞:價格跳動資訊風險動能效應
外文關鍵詞:Price jumpInformation riskMomentum
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在財務實證下發現資訊風險可以用來解釋價格跳動,根據現有文獻可以發現資訊風險可以用來解釋報酬異常現象。在我們的論文中,我們想要調查價格跳動的來源是否和資訊風險及資訊模糊度有關,並且探討價格跳動的來源是來自資訊交易者或是非資訊交易者。此外,價格跳動的行為和有資訊的交易行為會根據動能效應及景氣循環變化。結果發現,贏家的價格跳動是由資訊交易者所驅使,輸家的價格跳動是由非資訊交易者所驅使。在景氣衰退的時候,價格跳動是由資訊交易者所驅使;在景氣擴張的時候,價格跳動是由非資訊交易者所驅使。特別地,在景氣擴張的時候,贏家的價格跳動是由資訊交易者所驅使。
Empirical financial evidence shows the stock price jump can be explain by information risk. Existing studying find the information risk is a pricing factor for explain the return anomalies. In our paper, we want to investigate the relation between jump orientation with information risk and information ambiguity. The jump orientation is from informed traders or noise traders. Finally, the jump behavior and the information-based trading are different across momentum classification. Particularly, the jump behavior of winners stocks is oriented by informed traders and the jump behavior of losers stocks is driven from noise traders. The jump behavior of recession is oriented by informed traders and the jump behavior of expansion is driven from noise traders. Particularly, the jump behavior of winners stocks is oriented by informed traders during expansion.
Contents
1. Introduction 1
2. Literature Review and Hypotheses 5
3. Data and Methodology 9
3.1 Data 9
3.2 Methodology 10
3.2.1 Stock Price Jump 10
3.2.2 Information Risk 12
3.2.3 Regression Model 15
3.3 Summary Statistics 17
3.3.1 Statistics 17
3.3.2 Illustration 20
4. Regression Outcomes 22
4.1 Pool Regression Outcomes 23
4.2 Regression Outcomes of Momentum 32
4.3 Regression Outcomes of Sub-periods 33
4.4 Regression Outcomes of Momentum for Sub-periods 35
4.5 Robustness Checks 38
5. Conclusion 43
References 44
Table 46
Figure 64
References
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