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論文名稱 Title |
極值流動性風險、線性流動性風險與資產定價 Extreme Downside Liquidity Risk、Linear Liquidity Risk and Asset Pricing |
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系所名稱 Department |
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畢業學年期 Year, semester |
語文別 Language |
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學位類別 Degree |
頁數 Number of pages |
93 |
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研究生 Author |
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指導教授 Advisor |
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召集委員 Convenor |
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口試委員 Advisory Committee |
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口試日期 Date of Exam |
2013-06-26 |
繳交日期 Date of Submission |
2013-07-10 |
關鍵字 Keywords |
代表性偏誤、Clayton Copulas、資產定價、處置效應、流動性風險 Disposition effect, Clayton Copulas, Asset pricing, Liquidity risk, Representative bias |
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統計 Statistics |
本論文已被瀏覽 5779 次,被下載 1119 次 The thesis/dissertation has been browsed 5779 times, has been downloaded 1119 times. |
中文摘要 |
近來金融危機發生,導致市場流動性快速蒸發,或者導致個股流動性與大盤流動性共變程度更為緊密,此時流動性風險為不易被分散之系統風險,投資者之資本能力與財富全取決於「流動性」。本研重究首重調查流動性風險於台灣是否為顯著之定價因子,探討投資者持有的個股若與市場崩盤較為敏感時,投資者能否獲得額外風險溢酬。本研究探討市場下跌時,(1)個股流動性與市場流動性(2)個股報酬與市場流動性(3)個股流動性與市場報酬,此三項個股與大盤之敏感程度衡量流動性風險,並使用非線性式 Clayton Copulas 函數,與線性式流動性調整 CAPM 估計個股流動性(報酬)與大盤流動性(報酬)之連動流動性風險,分別稱為極值流動性風險與線性流動性風險,前者強調個股流動性(報酬)與大盤流動性(報酬)左尾端分配 10%之相依性,為條件式流動性風險,後者則透過共變異數捕捉個股與大盤之相關程度,為非條件式流動性風險。 本文發現控制公司特色與動能因子後,台灣資本市場的確在乎流動性風險,且流動性風險於資產定價之重要性高於流動性水準與市場風險 Beta,而台灣場不僅在乎個股流動與大盤流動性之共變風險,亦在乎個股報酬與大盤流動性、個股流動性與大盤報酬之連動流動性風險,且流動性風險對個股預期報酬之影響,會隨著市場狀態從正常至金融危機期間,由正轉負,本文以投資者行為觀點解釋流動性風險與個股預期報酬負相關之議題。 |
Abstract |
Many serious financial crises have hit the global financial market over the past decades. In those crises, liquidity could suddenly dries up and liquidity commonality between stocks and market becomes more significant. Liquidity risk is not an easily diversifiable systematic risk, and investor’s wealth and capital also depend on assets’ liquidity when market crashes. This research focuses on the issues of whether liquidity risk is a significant factor in Taiwan capital market. Do investors get liquidity risk premium if they hold the stock which is highly sensitive to market crash? The liquidity risk of a stock represents three different forms:(1) individual stock liquidity sensitivity to market liquidity; (2) individual stock liquidity sensitivity to market return; (3) individual stock return sensitivity to market liquidity .We use Clayton Copula and liquidity-adjusted capital asset model to measure these different liquidity risks, which are extreme downside liquidity risks (EDL) and linear liquidity risks (LLR) respectively. Extreme downside liquidity risk, which is the conditional liquidity risk, emphasizes clustering in the lower left tail 10% dependence of bivariate distribution between individual stock liquidity (return) and market liquidity (return). Linear liquidity risk, which is the unconditional liquidity risk, uses covariance to capture sensitivity between individual liquidity (return) and market liquidity (return). After we control for market risk, size, book to market, and momentum risk factors, we find that liquidity risk is an important determinant of cross-section of expected return. Besides, liquidity risk is also more important than market risk and the level of liquidity. In addition to the liquidity commonality risk, we also find the co-movement risk between individual stock liquidity and market return, and co-movement risk between individual stock return and market liquidity are cared by investors. When market declines, the relationship between liquidity risk and expected return reverses from positive to negative. We use behavior of investors to explain this phenomenon. |
目次 Table of Contents |
第一章 緒論 .............................................................................................. 1 第一節 研究動機 .................................................................................................. 1 第二節 研究目的 .................................................................................................. 4 第三節 研究結果與貢獻 ...................................................................................... 6 第二章 文獻探討 ...................................................................................... 7 第一節 流動性風險與資產定價 .......................................................................... 7 第二節 下方風險與資產定價 .............................................................................. 7 第三節 流動性風險、下方風險與金融危機 ...................................................... 8 第四節 極值理論與 Copulas 於財務之應用 ...................................................... 9 第三章 資料、模型與研究方法 ............................................................ 10 第一節 資料與樣本期間 .................................................................................... 10 第二節 計算流動性 ............................................................................................ 10 第三節 Clayton Copula 捕捉極值流動性風險 ................................................. 13 第四節 流動性調整 CAPM 捕捉線性流動性風險 .......................................... 17 第五節 極值流動性風險與線性流動性風險之發展 ........................................ 19 第四章 實證分析 .................................................................................... 25 第一節 流動性風險因子敘述統計 .................................................................... 25 第二節 利用極值流動性風險與線性流動性風險形成投資組合 .................... 33 第三節 因子模型 ................................................................................................ 40 第四節 Fama-MacBeth 橫斷面迴歸分析 .......................................................... 50 第五章 結論與建議 ................................................................................ 78 參考文獻................................................................................................... 81 |
參考文獻 References |
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