| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | George Kuo | en_US |
| dc.contributor.author (Authors) | 梁紀芬 | zh_TW |
| dc.creator (作者) | 梁紀芬 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:15:44 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:15:44 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:15:44 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0903510051 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35141 | - |
| 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) | 90351005 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 我們在此文中檢視了股市流動性的動能效果，並將此效果連結到相對應股票的報酬表現上。我們發現過去六個月平均流動性較高的股票，在未來三年中也會具有較高的流動性。此外，我們發現買入較高流動性的股票，賣出流動性較低的股票，會有正的報酬。我們希望此研究能夠幫助投資人獲取更多有用的資訊。 | zh_TW |
| dc.description.abstract (摘要) | We examine the predictability of liquidity, the momentum effect in liquidity, and we also would like to link this effect to expected stock returns. We find that stocks with high liquidity in the past six month will be traded with high liquidity in the future (within 3 years) and that all of the zero-cost portfolios, which buy high liquidity stocks and sell low liquidity stocks, have positive returns. We hope the results in this study will help uninformed trader to obtain more information in the stock market. | en_US |
| dc.description.tableofcontents | Abstract ......................................................................................................................11. Introduction ..........................................................................................................12. Data and Methodology .........................................................................................62.2 Liquidity Measurement...................................................................................72.3 Test Procedures: Details .................................................................................83. The Momentum Effect in Liquidity: Empirical Results .......................................93.1Main Findings of Momentum Effect in Liquidity .........................................103.2 Profitability of these portfolios .....................................................................144. Conclusions .........................................................................................................17Reference ...................................................................................................................19Appendix ...................................................................................................................21 | zh_TW |
| dc.format.extent | 46249 bytes | - |
| dc.format.extent | 47058 bytes | - |
| dc.format.extent | 43887 bytes | - |
| dc.format.extent | 11869 bytes | - |
| dc.format.extent | 91771 bytes | - |
| dc.format.extent | 71996 bytes | - |
| dc.format.extent | 61503 bytes | - |
| dc.format.extent | 45631 bytes | - |
| dc.format.extent | 52287 bytes | - |
| dc.format.extent | 81953 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.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0903510051 | en_US |
| dc.subject (關鍵詞) | Momentum Effect | en_US |
| dc.subject (關鍵詞) | Liquidity | en_US |
| dc.subject (關鍵詞) | Abcdrmal turnover ratio | en_US |
| dc.subject (關鍵詞) | Turnover ratio | en_US |
| dc.subject (關鍵詞) | Momentum strategies | en_US |
| dc.title (題名) | 股市流動性之動能效果 | zh_TW |
| dc.title (題名) | Momentum Effect in Liquidity | 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, Yakov and Haim Mendelson, 1986, Asset pricing and the bid ask spread, Journal of Financial Economics 17, 223-249. | zh_TW |
| dc.relation.reference (參考文獻) | Banz, R., 1981, The Relationship Between Return and Market Value of Common Stock, Journal of Financial Economics 9, 3-18. | zh_TW |
| dc.relation.reference (參考文獻) | Basu, S., 1977, Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis, Journal of Finance 32, 663–81. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, MJ and A. Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441-464. | zh_TW |
| dc.relation.reference (參考文獻) | Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum Strategies, The Journal of Finance 51, 1681–1713. | zh_TW |
| dc.relation.reference (參考文獻) | Chordia, T., R. Roll, and A. Subrahmanyam, 2000, Commonality in Liquidity, Journal of Financial Economics 56, 3-28. | zh_TW |
| dc.relation.reference (參考文獻) | DeBondt, W.F.M. and Richard H. Thaler, 1985. Does the Stock Market Overreact?, Journal of Finance 40(3), 793-808. | zh_TW |
| dc.relation.reference (參考文獻) | DeBondt, W.F.M. and Richard H. Thaler, 1987. Further evidence on investor overreaction and stock market seasonality, Journal of Finance 42(3), 557-581. | zh_TW |
| dc.relation.reference (參考文獻) | Eleswarapu, Venkat R. and Marc R. Reinganum, 1993, The seasonal behavior of the liquidity premium in asset pricing, Journal of Financial Economics, 34, 373-86. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, Eugene F., 1970, Efficient Capital Markets, Journal of Finance 25, 383-417. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, Eugene F., and Kenneth R. French, 1988, Permanent and temporary components of stock prices. Journal of Political Economy 96, 246-273. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 427-465. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84. | zh_TW |
| dc.relation.reference (參考文獻) | Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91. | zh_TW |
| dc.relation.reference (參考文獻) | Kothari, S. P., Jay Shanken, and Richard G. Sloan, 1995, Another look at the cross-section of expected stock returns, Journal of Finance 50, 185-224. | zh_TW |
| dc.relation.reference (參考文獻) | Lakonishok, Josef, Andrei Shleifer and Robert Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578. | zh_TW |
| dc.relation.reference (參考文獻) | Lee, Charles, and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017–2069. | zh_TW |
| dc.relation.reference (參考文獻) | Tkac, P.A., 1999, A Trading Volume Benchmark: Theory and Evidence, Journal of Financial and Quantitative Analysis 34, 89-114. | zh_TW |
