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題名 DR股折溢價及賭徒偏好之探討-以TDR為例
Gambling Preferences and the Impact of DR`s Premiums and Discounts: Evidence from TDR
作者 林佑諭
Lin, You-Yu
貢獻者 周冠男
林佑諭
Lin, You-Yu
關鍵詞 台灣存託憑證
折溢價
賭徒偏好
樂透型股票
TDR
Mispricing
Gambling preference
Lottery-type stocks
日期 2023
上傳時間 6-Jul-2023 17:01:25 (UTC+8)
摘要 本研究旨在探討造成TDR折價或溢價的因素，為了進行相關的分析，選用了過往34檔TDR共計49,565筆的日資料進行研究，樣本區間為2010年7月1日至2022年12月30日。本研究主要將焦點放在TDR個別的獨特性風險以及具有賭徒偏好的投資者行為面上，以了解TDR為何會經常性發生折溢價的價格差異。除此之外，本研究也加入其他控制變數，如：市場報酬率、殖利率、週轉率、流動性及散戶持有股數比例進行迴歸分析，期望找出背後更確切的因素。
該研究使用OLS和固定效果的面板資料進行迴歸分析，研究發現獨特性風險、樂透型指數、殖利率及流動性對於TDR的折溢價幅度有顯著的影響。依據套利者、投資者抑或是投機者的角度，可以歸納出以下兩點結論：第一，若TDR具備高獨特性風險、低殖利率及低流動性特徵時，套利者從事套利活動的成本會加大，這樣的結果會讓TDR有大幅度的折溢價現象發生。第二，市場存在著一群具有賭徒偏好的投資者，他們會認為TDR是一項具有吸引力的投資標的，有機會在未來獲取更大的潛在報酬。因此，投資者容易會有過度追捧單一標的，而導致TDR有高程度折溢價現象發生。
This study examines the factors that cause the premium or discount of TDRs. To conduct this analysis, the paper selects a sample of TDRs from July 1, 2010, to December 30, 2022, consisting of a total of 49,565 daily observations across 34 TDRs. To understand why TDR mispricing occurs frequently, this study primarily focuses on examining the impact of idiosyncratic risk and investor behavior, specifically gambling preference. Additionally, other variables such as market return, dividend yield, turnover rate, illiquidity rate, and the proportion of retail investors` shareholding are included as control variables in the regression analysis to uncover the accurate reasons behind this issue.
Using both OLS and fixed effect panel regressions, the study finds that idiosyncratic risk, LIDX, dividend yield, and liquidity significantly influence the extent of mispricing in TDRs. Based on the perspectives of arbitrageurs, investors, or speculators, these findings can be summarized from two perspectives. Firstly, it becomes more costly for arbitrageurs to engage in arbitrage activities when dealing with TDRs characterized by higher idiosyncratic risk, lower dividend yield, and lower liquidity. This suggests that factors affecting arbitrage costs play a role in TDR mispricing. Secondly, there exists a group of gambling preference investors who consider TDRs as attractive investments with the potential for significant future rewards. As a result, investors are prone to excessive chasing of a single target, leading to a high degree of premium or discount in TDRs.
參考文獻 Alsayed, H., & McGroarty, F. (2012). Arbitrage and the Law of One Price in the market for American depository receipts. Journal of International Financial Markets, Institutions and Money, 22(5), 1258-1276.
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56
Beckmann, K. S., Ngo, T., & Wang, D. (2015). The informational content of ADR mispricing. Journal of Multinational Financial Management, 32, 1-14.
De Jong, A., Rosenthal, L., & van Dijk, M. A. (2003). The limits of arbitrage: Evidence from dual-listed companies. Erasmus University working paper.
De Jong, A., Rosenthal, L., & Van Dijk, M. A. (2009). The risk and return of arbitrage in dual-listed companies. Review of Finance, 13(3), 495-520.
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.
Eichler, S. (2012). Limited investor attention and the mispricing of American Depositary Receipts. Economics Letters, 115(3), 490-492.
Gagnon, L., & Karolyi, G. A. (2010). Multi-market trading and arbitrage. Journal of Financial Economics, 97(1), 53-80.
Gemmill, G., & Thomas, D. C. (2002). Noise trading, costly arbitrage, and asset prices: Evidence from closed‐end funds. The Journal of Finance, 57(6), 2571-2594.
Grossmann, A., Ozuna, T., & Simpson, M. W. (2007). ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation?. Journal of International Financial Markets, Institutions and Money, 17(4), 361-371.
Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295.
Kai-Ineman, D. A. N. I. E. L., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 363-391.
Kumar, A. (2009). Who gambles in the stock market?. The Journal of Finance, 64(4), 1889-1933.
Kumar, A., Page, J. K., & Spalt, O. G. (2016). Gambling and comovement. Journal of Financial and Quantitative Analysis, 51(1), 85-111.
Lamont, Owen, A., and Richard H. Thaler. 2003. "Anomalies: The Law of One Price in Financial Markets." Journal of Economic Perspectives, 17 (4): 191-202.
Pontiff, J. (2006). Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics, 42(1-2), 35-52.
Shleifer, A., & Summers, L. H. (1990). The noise trader approach to finance. Journal of Economic Perspectives, 4(2), 19-33.
Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. The Journal of Finance, 52(1), 35-55.
Statman, M. (2002). Lottery players/stock traders. Financial Analysts Journal, 58(1), 14- 21.
Thaler, R. H., & Johnson, E. J. (1990). Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice. Management Science, 36(6), 643- 660.
Welte, J. W., Barnes, G. M., Wieczorek, W. F., Tidwell, M. C., & Parker, J. (2002). Gambling participation in the US—results from a national survey. Journal of gambling studies, 18, 313-337.
描述 碩士
國立政治大學
財務管理學系
110357033
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357033
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 林佑諭zh_TW
dc.contributor.author (Authors) Lin, You-Yuen_US
dc.creator (作者) 林佑諭zh_TW
dc.creator (作者) Lin, You-Yuen_US
dc.date (日期) 2023en_US
dc.date.accessioned 6-Jul-2023 17:01:25 (UTC+8)-
dc.date.available 6-Jul-2023 17:01:25 (UTC+8)-
dc.date.issued (上傳時間) 6-Jul-2023 17:01:25 (UTC+8)-
dc.identifier (Other Identifiers) G0110357033en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145926-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 110357033zh_TW
dc.description.abstract (摘要) 本研究旨在探討造成TDR折價或溢價的因素，為了進行相關的分析，選用了過往34檔TDR共計49,565筆的日資料進行研究，樣本區間為2010年7月1日至2022年12月30日。本研究主要將焦點放在TDR個別的獨特性風險以及具有賭徒偏好的投資者行為面上，以了解TDR為何會經常性發生折溢價的價格差異。除此之外，本研究也加入其他控制變數，如：市場報酬率、殖利率、週轉率、流動性及散戶持有股數比例進行迴歸分析，期望找出背後更確切的因素。
該研究使用OLS和固定效果的面板資料進行迴歸分析，研究發現獨特性風險、樂透型指數、殖利率及流動性對於TDR的折溢價幅度有顯著的影響。依據套利者、投資者抑或是投機者的角度，可以歸納出以下兩點結論：第一，若TDR具備高獨特性風險、低殖利率及低流動性特徵時，套利者從事套利活動的成本會加大，這樣的結果會讓TDR有大幅度的折溢價現象發生。第二，市場存在著一群具有賭徒偏好的投資者，他們會認為TDR是一項具有吸引力的投資標的，有機會在未來獲取更大的潛在報酬。因此，投資者容易會有過度追捧單一標的，而導致TDR有高程度折溢價現象發生。		zh_TW
dc.description.abstract (摘要) This study examines the factors that cause the premium or discount of TDRs. To conduct this analysis, the paper selects a sample of TDRs from July 1, 2010, to December 30, 2022, consisting of a total of 49,565 daily observations across 34 TDRs. To understand why TDR mispricing occurs frequently, this study primarily focuses on examining the impact of idiosyncratic risk and investor behavior, specifically gambling preference. Additionally, other variables such as market return, dividend yield, turnover rate, illiquidity rate, and the proportion of retail investors` shareholding are included as control variables in the regression analysis to uncover the accurate reasons behind this issue.
Using both OLS and fixed effect panel regressions, the study finds that idiosyncratic risk, LIDX, dividend yield, and liquidity significantly influence the extent of mispricing in TDRs. Based on the perspectives of arbitrageurs, investors, or speculators, these findings can be summarized from two perspectives. Firstly, it becomes more costly for arbitrageurs to engage in arbitrage activities when dealing with TDRs characterized by higher idiosyncratic risk, lower dividend yield, and lower liquidity. This suggests that factors affecting arbitrage costs play a role in TDR mispricing. Secondly, there exists a group of gambling preference investors who consider TDRs as attractive investments with the potential for significant future rewards. As a result, investors are prone to excessive chasing of a single target, leading to a high degree of premium or discount in TDRs.		en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature and Hypothesis Development 4
2.1 Mispricing on cross-listing 4
2.2 Gambling Preference 5
2.3 Lottery-type Stocks 7
2.4 Hypothesis Development 8
3. Data and Methodology 10
3.1 Sample Selection 10
3.2 Data Description 12
3.3 Data Processing 17
4. Empirical Result 19
4.1 Descriptive Statistics 19
4.2 Empirical Findings 23
5. Conclusion 27
Reference 28		zh_TW
dc.format.extent 991442 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357033en_US
dc.subject (關鍵詞) 台灣存託憑證zh_TW
dc.subject (關鍵詞) 折溢價zh_TW
dc.subject (關鍵詞) 賭徒偏好zh_TW
dc.subject (關鍵詞) 樂透型股票zh_TW
dc.subject (關鍵詞) TDRen_US
dc.subject (關鍵詞) Mispricingen_US
dc.subject (關鍵詞) Gambling preferenceen_US
dc.subject (關鍵詞) Lottery-type stocksen_US
dc.title (題名) DR股折溢價及賭徒偏好之探討-以TDR為例zh_TW
dc.title (題名) Gambling Preferences and the Impact of DR`s Premiums and Discounts: Evidence from TDRen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Alsayed, H., & McGroarty, F. (2012). Arbitrage and the Law of One Price in the market for American depository receipts. Journal of International Financial Markets, Institutions and Money, 22(5), 1258-1276.
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56
Beckmann, K. S., Ngo, T., & Wang, D. (2015). The informational content of ADR mispricing. Journal of Multinational Financial Management, 32, 1-14.
De Jong, A., Rosenthal, L., & van Dijk, M. A. (2003). The limits of arbitrage: Evidence from dual-listed companies. Erasmus University working paper.
De Jong, A., Rosenthal, L., & Van Dijk, M. A. (2009). The risk and return of arbitrage in dual-listed companies. Review of Finance, 13(3), 495-520.
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.
Eichler, S. (2012). Limited investor attention and the mispricing of American Depositary Receipts. Economics Letters, 115(3), 490-492.
Gagnon, L., & Karolyi, G. A. (2010). Multi-market trading and arbitrage. Journal of Financial Economics, 97(1), 53-80.
Gemmill, G., & Thomas, D. C. (2002). Noise trading, costly arbitrage, and asset prices: Evidence from closed‐end funds. The Journal of Finance, 57(6), 2571-2594.
Grossmann, A., Ozuna, T., & Simpson, M. W. (2007). ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation?. Journal of International Financial Markets, Institutions and Money, 17(4), 361-371.
Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295.
Kai-Ineman, D. A. N. I. E. L., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 363-391.
Kumar, A. (2009). Who gambles in the stock market?. The Journal of Finance, 64(4), 1889-1933.
Kumar, A., Page, J. K., & Spalt, O. G. (2016). Gambling and comovement. Journal of Financial and Quantitative Analysis, 51(1), 85-111.
Lamont, Owen, A., and Richard H. Thaler. 2003. "Anomalies: The Law of One Price in Financial Markets." Journal of Economic Perspectives, 17 (4): 191-202.
Pontiff, J. (2006). Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics, 42(1-2), 35-52.
Shleifer, A., & Summers, L. H. (1990). The noise trader approach to finance. Journal of Economic Perspectives, 4(2), 19-33.
Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. The Journal of Finance, 52(1), 35-55.
Statman, M. (2002). Lottery players/stock traders. Financial Analysts Journal, 58(1), 14- 21.
Thaler, R. H., & Johnson, E. J. (1990). Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice. Management Science, 36(6), 643- 660.
Welte, J. W., Barnes, G. M., Wieczorek, W. F., Tidwell, M. C., & Parker, J. (2002). Gambling participation in the US—results from a national survey. Journal of gambling studies, 18, 313-337.		zh_TW