自我股權收購報酬、波動性與買賣單不平衡

Self-Tender Return, Volatility, and Order Imbalance

王馨瑩(Hsin-Ying Wang)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.10388

摘要

無資料

關鍵字

自我股權收購

並列摘要

When firms feel their stocks are undervalued and are confident about their future performance, they may announce self-tender. Thus, self-tender is usually a good signal. At this moment, informed traders trades and result in order imbalances. In practice, the market is not efficient, if it’s long enough for uninformed traders enter the market once they find out trading activities executed by informed traders and still make profits, then order imbalance is worth of our research since it also represents one of the signals sent out by informed traders.
The main idea of this thesis is to find out does order imbalance affect price volatilities. According to our results, since market makers care more about price volatilities than inventory risk, they tend to lower bid and ask prices to control prices. This result is different with previous paper which argues that market makers tend to increase bid and ask prices to control inventory risk. Also, we use GARCH (1,1) model to discuss the same issue and find out the result is the same. This tells us that order imbalance doesn’t affect the price volatilities of self-tender firms.
We further find out that firm’s capitalization does not affect the level of order imbalance, which means there is no small firm effect exists in self-tender firms. The reason why this is so may because the capitalization distribution of our sample is skewed to the right. Last but not least, we form a strategy under quote and trade prices basis to buy the stock upon seeing positive order imbalances and sell the stock once we see negative order imbalances. However, we regret to say no matter under which basis, we cannot beat the open-to-close returns.

並列關鍵字

Self-tender

參考文獻

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2. Barclay, M. And J. Warner, 1993, Stealth Trading and Volatility, Journal of Financial Economics 34, 281-305.

3. Comment, R., Jarrell, G.A., 1991. The Relative Signaling Power of Dutch-auction and Fixed-Price Self-Tender Offers and Open-Market Share Repurchases, Journal of Finance 46, 1243-1271.

4. Chordia, T. R. Roll, and A. Subrahmanyam, 2004, Order Imbalance, Liquidity, and Market Returns, Journal of Financial Economics 72, 486-518.

5. Chordia, T. R. Roll, and A. Subrahmanyam, 2005, Evidence on the Speed of Convergence to Market Efficiency, Journal of Financial Economics 76, 271-292.