台灣票券市場報酬率特性之研究

Holding Period Returns and Risk Premia on Taiwan Money Market Securities

李賢源(Shyan-Yuan Lee) ； 林玫吟(Mei-Yin Lin)

《中國財務學刊》 4卷1期 (1996/07) Pp. 23-48

https://doi.org/10.6545/JoFS.1996.4(1).2

摘要

本文探討國內票券市場持有報酬率及風險貼水的顯著性，同時亦研究持有報酬率及風險貼水與經濟景氣循環的相關性。我們發現各早已券持有報酬率顯著為正，並隨到期日單調遞增。除了次級市場無顯著之違約貼水，其餘各票券報酬率中皆包含顯著為正的風險貼水，而且報酬率與風險貼水在景氣收縮時較高，擴張時較低。另外，本文亦探討票券公司於初級市場的承作利潤是否高於在次級市場的買賣？票券報酬率是否有月別或季別效應？我們發現票券公司在初級市場享有較次級市場為高之利潤。多數票券報酬率在年關附近較低，第二、三季報酬率較高。

關鍵字

利率期限結構 ； 理性預期假說 ； 持有報酬率 ； 期限貼水 ； 違約貼水 ； 經濟景氣循環

並列摘要

This paper is to test whether holding period returns and risk premia of financial instruments in Taiwan money market are significantly positive. This paper also investigates the relationship between business cycle and both holding period returns and risk premia. We find that holding period returns on all instruments increase monotonically with maturity and there exists risk premium in the return on any instrument but no default premium in the secondary market. Also, holding period returns and risk premia move opposite with business cycle except the default premium in the secondary market. Furthermore, this paper examines whether security firms earn higher profit from operations in the primary market than from the secondary market and whether there exists seasonality in holding period returns. The evidence indicates that security firms indeed enjoy more profitable business in the primary market than in the secondary market. Most returns are low around the new year and high in the second and third quarters.

並列關鍵字

Term Structure of Interest Rates ； Expectations Hypothesis ； Holding Period Return Term Premium ； Default Premium ； Business Cycle