未上市櫃未興櫃公司股票評價：Ohlson模型之延伸應用

本文嘗試藉由上市櫃與興櫃公司資料，推估股票流動性與股價之關係，並使用財務資料估計股票流動性，欲藉以估算未上市櫃未興櫃公司股票之流動性，並進一步推估未上市櫃未興櫃公司股票價格。本文以Ohlson（1995）模型為基礎，加入報價價差、成交值比重以及Amihud（2002）等三種流動性指標，實證結果顯示此等流動性指標對股價具有一定程度解釋能力。而本文所建立估計流動性之模型約有3%~20%之誤差，估計股價之模型則約有13%~16%之誤差，結合兩模型以估計未上市櫃未興櫃公司股票之最大誤差期望值約為15.6%~19.2%。

關鍵字

股價；流動性；評價

並列摘要

The goal of this paper is twofold. First, I add three liquidity measures into Ohlson (2005) model trying to find out how liquidity affects stock price. The three liquidity measures I add are quoted spread, individual dollar volume normalized by aggregate market dollar volume and Amihud (2002) liquidity measure. Second, I try using financial data that private companies can easily obtain to estimate the three liquidity measures of there own. Then anyone can use the estimated liquidity of private companies to estimate the stock price of private companies. Models used to estimate liquidity in this paper have mean absolute percentage error (MAPE) range from 3% to 20%. Models used to estimate stock price in this paper have MAPE range from 13% to 16%. Using two models together has a expected maximum MAPE range from 15.6% to 19.2%.

並列關鍵字

Stock Price ； Liquidity ； Valuation

參考文獻

Admati, A. and P. Pfleiderer. 1988. A Theory of Intraday Patterns: Volume and Price Variability. Review of Financial Studies 1 (1): 3–40.

Amihud, Y. and H. Mendelson. 1986. Liquidity and Stock Returns. Financial Analysts Journal 42 (3): 43–48.

Amihud, Y. and H. Mendelson. 1989. The Effects Of Beta, Bid-Ask Spread, Residual Risk, and Size of Stock Returns. The Journal of Finance 44 (2): 479–486.

Asness, C. S. 1995. The Power of Past Stock Returns to Explain Future stock Returns. Working Paper. Goldman Sachs Asset Management. NY.

Baker, M. and J. C. Stein. 2002. Market Liquidity as a Sentiment Indicator. Journal of Financial Markets 7 (3): 271–299.

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未上市櫃未興櫃公司股票評價：Ohlson模型之延伸應用

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