- 學位論文
金融危機中不動產貸款公司之流動性交易
Illiquid trades on Mortgage companies in Financial Crisis
摘要
近年來，流動性對股價的影響是財務金融學領域裡最熱門也最重受關注的議題。特別地，這個議題與定義市場投機以及投資者利用特殊資訊來獲得超額報酬的著名「市場效率假說」有非常密切的關係。本論文指在探究這兩者間密切而影響廣大的關係。
關鍵字
財務金融並列摘要
The effects of liquidity on stock market returns, in recent years has been the most debated and concerned issue in both contemporary finance as well as econometric research. In particular, this issue is closely linked to the very concept of market efficiency, which governs the laws of probability that traders with special information gain abnormal returns. We attempt to investigate the relationship between illiquid trades and market efficiency.
並列關鍵字
illiquid trades參考文獻
1. Acharya, V., and L. Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 385-410.
2. Admati, A. and P. Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.
3. Amihud, Y., and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
4. Amihud, Y., 2002, Illiquidity and stock returns: Cross-section and time-series effects, Journal of Financial Markets 5, 31-56.
5. Baker, M., and J. Stein, 2004, Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299.
延伸閱讀
- Wu, J. D. (2011). 金融危機之商業銀行之非流動性交易 [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2011.10470
- Hsieh, H. T. (2009). 企業發生財務危機之前的銀行往來關係 [master's thesis, Yuan Ze University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0009-1507200909374000
- 楊曼屏（2021）。銀行流動性與抵押放款核貸率之關聯性研究：資產證券化與金融危機之影響〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU202100893
- 林耀廷（2013）。金融危機時期銀行業社會責任與其存放款之關聯性〔碩士論文，國立臺北大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0023-1107201300231000
- Yang, S. C. (2011). Illiquid Trades on Insurance Companies in Financial Crisis [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2011.10871