| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.author (作者) | 曾一平 | zh_TW |
| dc.creator (作者) | 曾一平 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-九月-2009 14:06:52 (UTC+8) | - |
| dc.date.available | 18-九月-2009 14:06:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-九月-2009 14:06:52 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0090351025 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35081 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 90351025 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | AbstractIn this paper, we examine the relation among different information asymmetry measures in Taiwan Stock Exchange and exploit the ability of the microstructure measures to measure asymmetric information. We also investigate the role of information asymmetry measures in affecting stock returns. With a random sample of 180 firms, we find that the market microstructure measure is significantly correlated with most of the corporate finance measures that should shed lights on the level of information asymmetry in advance. We also find that the analysts’ forecast measures have no relation with the microstructure measure. One main result is that the adverse selection risk does affect the stock returns. For the whole sample period, the adverse selection component has a significant impact on the stock returns and dominates all other variables except for the number of analysts following. Other significant measures include the volatility, firm size, leverage, and market to book ratio of equity. Although these information asymmetry measures act as competent determinants in the whole- period regression, they do not have consistent performance across quarters. The inconsistent result suggests that these measures may have diverse performance with regard to different periods. | en_US |
| dc.description.tableofcontents | none | zh_TW |
| dc.format.extent | 7602 bytes | - |
| dc.format.extent | 8262 bytes | - |
| dc.format.extent | 8618 bytes | - |
| dc.format.extent | 25453 bytes | - |
| dc.format.extent | 31190 bytes | - |
| dc.format.extent | 24592 bytes | - |
| dc.format.extent | 35560 bytes | - |
| dc.format.extent | 14001 bytes | - |
| dc.format.extent | 17783 bytes | - |
| dc.format.extent | 72628 bytes | - |
| dc.format.extent | 98743 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090351025 | en_US |
| dc.subject (關鍵詞) | 股票報酬 | zh_TW |
| dc.subject (關鍵詞) | 資訊不對稱 | zh_TW |
| dc.subject (關鍵詞) | 流動性 | zh_TW |
| dc.subject (關鍵詞) | 風險貼水 | zh_TW |
| dc.subject (關鍵詞) | 逆選擇 | zh_TW |
| dc.subject (關鍵詞) | information asymmetry | en_US |
| dc.subject (關鍵詞) | bid-ask spread | en_US |
| dc.subject (關鍵詞) | adverse selection component | en_US |
| dc.subject (關鍵詞) | stock return | en_US |
| dc.subject (關鍵詞) | risk premium | en_US |
| dc.title (題名) | 股票報酬與資訊不對稱 | zh_TW |
| dc.title (題名) | Information Asymmetry and Stock Return | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | REFERENCES | zh_TW |
| dc.relation.reference (參考文獻) | Amihud, Y. and Mendelson, H., 1986, “Asset Pricing and the Bid-Ask Spread,” Journal of Financial Economics 17, 223-249. | zh_TW |
| dc.relation.reference (參考文獻) | Bagehot, W., 1971,"The only game in town," Financial Analysts Journal 22, 12- 14. | zh_TW |
| dc.relation.reference (參考文獻) | Bhushan, R., 1989a, “Collection of Information about Publicly Traded Firms,” Journal of Accounting and Economics 11, 183-206. | zh_TW |
| dc.relation.reference (參考文獻) | Bhushan, R., 1989b, “Firm Characteristics and Analyst Following,” Journal of Accounting and Economics 11, 255-274. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, M.J., and A. Subrahmanyam, 1995, “Investment Analysis and Price Formation in Securities Markets,” Journal of Financial Economics 38, 361-381. | zh_TW |
| dc.relation.reference (參考文獻) | Chung, K. and C. Charoenwong, 1998, “Insider Trading and the Bid-Ask Spread,” Financial Review 33, 1-20. | zh_TW |
| dc.relation.reference (參考文獻) | Chung, K.H., T.H. McInish, R.A. Wood, and D.J. Wyhowski, 1995, “Production of Information, Information Asymmetry and the Bid-Ask Spread: Empirical Evidence from Analysts’ Forecasts,” Journal of Banking and Finance 19, 1025-1046. | zh_TW |
| dc.relation.reference (參考文獻) | Clarke, J., and K. Shastri, 2000, “On Information Asymmetry Metrics,” University of Pittsburgh Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Copeland, T. and D. Galai, 1983, “Information effects on the bid-ask spread,” Journal of Finance 38, 1457-1469. | zh_TW |
| dc.relation.reference (參考文獻) | Easley, D. and M. O’Hara, 1987, “Price, trade size and information in securities markets,” Journal of Financial Economics 19, 69-90. | zh_TW |
| dc.relation.reference (參考文獻) | Easley, D., N. Kiefer, M. O’Hara, and J. Paperman, 1996, “Liquidity, Information, and Infrequently Traded Stocks,” Journal of Finance 51, 1405-1436. | zh_TW |
| dc.relation.reference (參考文獻) | Easley, D., S. Hvidkjaer, and M. O’Hara, 2000, “Is Information Risk a Determinant of Asset Returns?” Journal of Finance 57, 2185-2221. | zh_TW |
| dc.relation.reference (參考文獻) | Easterwood, J.C., and S.R. Nutt, 1999, “Inefficiency in Analysts’ Earnings Forecasts: Systematic Misreaction or Systematic Optimism?” Journal of Finance 54, 1777–1797. | zh_TW |
| dc.relation.reference (參考文獻) | George, T., G. Kaul, and M. Nimalendran, 1991, “Estimation of the Bid-Ask Spread and its Components: A New Approach,” Review of Financial Studies 4,623-656. | zh_TW |
| dc.relation.reference (參考文獻) | Glosten, L. and P. Milgrom, 1985, “Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,” Journal of Financial Economics 14, 71-100. | zh_TW |
| dc.relation.reference (參考文獻) | Glosten, L.R. and L.E. Harris, 1988, “Estimating the Components of the Bid/Ask Spread,” Journal of Financial Economic 21,123-142. | zh_TW |
| dc.relation.reference (參考文獻) | Hong, H., T. Lim, and J. C. Stein, 2000, " Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," Journal of Finance 55, 265-295. | zh_TW |
| dc.relation.reference (參考文獻) | Huang, R.D. and H.R. Stoll, 1997, “The Components of the Bid-Ask Spread: A General Approach,” Review of Financial Studies 10, 995-1034. | zh_TW |
| dc.relation.reference (參考文獻) | Krishnaswami and Subramaniam (1998) Krishnaswami, S. and V., Subramaniam, 1999, Journal of Financial Economics 53, 73-112. | zh_TW |
| dc.relation.reference (參考文獻) | Kyle, A., 1985, “Continuous auctions and insider trading,” Econometrica 53, 1315–1336. | zh_TW |
| dc.relation.reference (參考文獻) | Lin, J., G. Sanger, and G. Booth, 1995, “Trade Size and Components of the Bid-Ask Spread,” Review of Financial Studies 8, 1153-1183. | zh_TW |
| dc.relation.reference (參考文獻) | Madhavan, A., M. Richardson, and M. Roomans, 1997, “Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks,” Review of Financial Studies 10, 1035-1064. | zh_TW |
| dc.relation.reference (參考文獻) | McLaughlin, R., A. Safieddine, and G. Vasudevan, 1998, “The Information Content of Corporate Offerings of Seasoned Securities,” Financial Management 27, 31-45. | zh_TW |
| dc.relation.reference (參考文獻) | Moyer, R.C., R.E. Chatfield and P.M. Sisneros, 1989, “Security Analyst Monitoring Activity: Agency Costs and Information Demand,” Journal of Financial and Quantitative Analysis 24, 503-512. | zh_TW |
| dc.relation.reference (參考文獻) | Van Ness, B.F., R.A. Van Ness, and R.S. Warr, 2001, “How Well Do Adverse Selection Components Measure Adverse Selection?”, Financial Management, 77-98. | zh_TW |
