錯誤定價與股票市場量價關係

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Title:	錯誤定價與股票市場量價關係
Authors:	陳美錏;Chen, Mei-Ya
Contributors:	經濟學系
Keywords:	錯誤定價;股票市場量價關係;混合迴歸模型;Pooling Regression model;Mispricing;Turnover rate
Date:	2020-07-06
Issue Date:	2020-09-02 17:34:11 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文根據Han et al.（2019）的錯誤定價實證模型衡量股票為高估價值或低估價值，以台灣股市為例，探討自1990 年1 月至2019 年12 月錯誤定價對股票市場量價關係之影響，並將高估價值與低估價值以虛擬變數加入混合迴歸模型（Pooling Regression），分析股票市場之量價關係是否在考慮錯誤定價中對股票量價關係不明確的現象能有明確的解釋。實證結果顯示考慮錯誤定價因子後，股票市場量價關係會更加明確。當投資人對該股票未來發展狀況存在意見分歧時，其股票之週轉率會增加，週轉率過高會間接影響該股票進而造成錯誤定價，其中，alpha 為負表示股票被高估股價進而影響未來的超額報酬減少，所以，報酬率與週轉率為負向關係；反之，alpha 為正則表示股票被低估股價，因此未來的超額報酬增加，報酬率與週轉率為正向關係。;This paper accounts for overpriced and underpriced stocks according to the mispricing empirical model of Han et al. (2019). We use the Pooling Regression model to study the impact of mispricing on the turnover rate-return relationship in the Taiwan stock market from January 1990 to December 2019. The empirical results show that considering the mispricing factor, the turnover rate-return relationship in the stock market will be more clearly. The return is positively related to turnover rate for underpriced stocks, but negatively related to turnover rate for overpriced stocks.
Appears in Collections:	[Graduate Institute of Economics] Electronic Thesis & Dissertation

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