個股股票報酬率領先落後關係之實證研究

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：23

、訪客IP：18.118.154.79

姓名

林宜永(Yi-yong Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

個股股票報酬率領先落後關係之實證研究
(On the Empirical Determinants of the Lead-Lag Relationship among Individual Stock Returns)

相關論文

★ 避險基金之績效評估	★ 展望理論與共同基金績效
★ 生命週期基金 :行為財務學觀點	★ 行為特性與投資績效相關性之研究
★ 專業投資人行為特性探討	★ 中小型企業融資缺口與資訊不對稱之探討
★ 九型人格特質與理財偏誤行為之相關性研究	★ 銀行通路轉型策略個案研究
★ 銀行財富管理行銷策略分析-以兩家在台外商銀行為例	★ 羅盤玫瑰可預測型態之探討
★ 巢式與非巢式資產定價理論之比較與檢定	★ 投資者情緒與市場報酬
★ 資產定價模型樣本外績效之檢定	★ 規模效果和元月效應之微觀
★ 因子或特徵:全球觀點	★ 特徵與因子：日本證據

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

摘要(中)

文獻上研究股票報酬率的領先落後關係(lead-lag relation among stock returns)及其經濟成因大多著重在短期一個月內投資組合之間報酬率的交互影響。本文從個股的角度對領先落後關係提出全盤的研究，將過去的討論範圍延伸至個股報酬率(individual stock returns)在短期一個月到長期二年的領先落後關係，進而分析短、中、長期下個股報酬率的領先落後關係(individual lead-lag relation)如何受到特徵(firm characteristics)的影響。
實證結果顯示：一、大規模(size)公司的股票報酬率在一到三個月內領先小規模公司的股票報酬率，在考量此規模的影響後，同產業下(intra-industry)大規模公司仍能領先小規模公司。當領先落後期間長度為六個月時，轉變為小規模公司領先大規模公司，但同產業下大規模公司仍領先小規模公司。二、在領先落後期間長度為一個月與六個月時，高交易量(trading volume)的公司領先低交易量的公司。三、在領先落後期間長度為三個月與六個月時，低帳面市值比(book-to-market ratio)的公司領先高帳面市值比的公司。總言之，規模(size)、交易量(trading volume)、帳面市值比(book-to-market ratio)、產業(industry)、交易所(exchange)，還有特徵之間的交互影響，如產業內規模效果(intra-industry size effect)，共同決定了個股報酬率的領先落後關係，在不同的領先落後期間有著各自不同的解釋能力。

摘要(英)

The sources of lead-lag relation among stock returns have been extensively discussed in portfolio and in daily, weekly or monthly terms. The thesis extends previous lead-lag studies by focusing on the lead-lag relation among individual stock returns from one-month to two-year lag periods and investigates the effects of firm characteristics on the individual lead-lag relation.
The results of cross-sectional regressions provide a comprehensive description on lead-lag relation. Size and intra-industry size effects determine the lead-lag relation positively from one- to three-month lag periods, but the effect of size reverses to be negative in six-month lag period. Trading volume provides a positive impact on the lead-lag relation with one- and six-month lag period. Book-to-market ratio has a negative impact on the lead-lag relation in three- and six-month lag period. Only interactions between characteristic and industry (or exchange) determine the lead-lag relation in 24-month lag period. The characteristics above can impact lead-lag relation simultaneously and not all of them are proxies for each other.

關鍵字(中)

★ 個股股票報酬
★ 領先落後關係
★ 特徵

關鍵字(英)

★ firm characteristics
★ ead-lag relation
★ individual stock returns

論文目次

Chapter 1 Introduction 1
Chapter 2 Literature Review 3
Chapter 3 Data and Methodology 6
3.1 Data ……………………………………………………………… 6
3.2 Empirical patterns of individual lead-lag relation ……………… 8
3.3 Regression model ……………………………………………… 17
Chapter 4 Empirical Results 20
4.1 Effects of size, book-to-market ratio and trading volume on
individual lead-lag relation …………………………………… 20
4.2 Intra-industry and intra-exchange lead-lag relation ………… 22
4.3 Intra-industry and intra-exchange characteristic-dependent
lead-lag relation ……………………………………………..... 24
Chapter 5 Conclusion 32
Reference 34
Appendix A 37
Appendix B 40

參考文獻

Badrinath, SG, J. R. Kale, and T. H. Noe, 1995, Of Shepherds, Sheep, and the Cross-Autocorrelations in Equity Returns, Review of Financial Studies 8, 401-430.
Brennan, M. J., N. Jegadeesh, and B. Swaminathan, 1993, Investment Analysis and the Adjustment of Stock Prices to Common Information, Review of Financial Studies 6, 799-824.
Chan, K., 1993, Imperfect Information and Cross-Autocorrelation among Stock Prices, Journal of Finance 48, 1211-1230.
Chordia, T., A. Sarkar, and A. Subrahmanyam, Anonymous Anonymous Anonymous Anonymous 2006, Liquidity Spillovers and Cross-Autocorrelations, Working paper.
Chordia, T., and B. Swaminathan, 2000, Trading Volume and Cross-Autocorrelations in Stock Returns, Journal of Finance 55, 913-935.
Daniel, Kent D., David Hirshleifer, and Avanidhar Subrahmanyam, 1998, Investor psychology and security market under- and over-reactions, Journal of Finance 53, 1839–1886.
Desai, A. S., Higgins E. J. and Tavakkol A., 2004, The Significance of Size and Volume Cross-Autocorrelations in Equity Returns, Kansas State University, Working paper.
Desai, A. S. and Tavakkol A., 2004, The Effect of Size and Turnover Volume on Cross-Autocorrelation of Equity Returns, Kansas State University, Working paper.
Fama, E. F., and K. R. French, 1997, Industry Costs of Equity, Journal of Financial Economics 43, 153-193.
Fama, E. F., and K. R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465.
Fama, E. F., and K. R. French, 1988, Permanent and Temporary Components of Stock Prices, Journal of Political Economy 96, 246-273.
Fama, E. F., 1965, The Behavior of Stock-Market Prices, Journal of Business 38, 34-105.
Fisher, L., 1966, Some New Stock-Market Indexes, Journal of Business 39, 191-225.
Hong, Harrison, and Jeremy Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143–2184.
Hou, K., 2007, Industry Information Diffusion and the Lead-Lag Effect in Stock Returns, Review of Financial Studies, forthcoming.
Jegadeesh, N., 1990, Evidence of Predictable Behavior of Security Returns, Journal of Finance 45, 881-898.
Lewellen, J., 2002, Momentum and Autocorrelation in Stock Returns, Review of Financial Studies 15, 533-563.
Lo, A. W., and MacKinlay A. C., 1988, Stock Market Prices do Not Follow Random Walks: Evidence from a Simple Specification Test, Review of Financial Studies 1, 41-66.
Lo, A. W., and MacKinlay A. C., 1990a, When are Contrarian Profits due to Stock Market Overreaction? Review of Financial Studies 3, 175-205.
Lo, A. W., and MacKinlay A. C., 1990b, An econometric analysis of nonsynchronous trading, Journal of Econometrics 45, 181-211.
McQueen, G., M. Pinegar, and S. Thorley, 1996, Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns, Journal of Finance 51, 889-919.
Perry, P. R., 1985, Portfolio Serial Correlation and Nonsynchronous Trading, Journal of Financial and Quantitative Analysis 20, 517-523.
Sias, R. W., and L. T. Starks, 1997, Return Autocorrelation and Institutional Investors, Journal of Financial Economics 46, 103-131.

指導教授

周賓凰(Pin-huang Chou)

審核日期

2007-7-10

推文