私募股票的流動性風險與股價報酬率

The relationship between liquidity risk and expected stock returns for private equity firms

周哲均(Che-Chun Chou)

指導教授 ： 吳儀玲

國立臺灣大學/社會科學院/經濟學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.10726

摘要

現存的文獻中指出，進行私募的股票，其私募後之股價報酬率的長期表現常有不如未進行私募之股票的現象。本文章以1980~2006年間在美國交易所掛牌交易的公司所發行私募的資料，探討其在發行私募前後流動性風險的變化，並檢定私募前後，納入模擬流動性因子LIQ的二因子資產訂價模型是否有顯著變化。

關鍵字

私募 ； 長期股價報酬率 ； 流動性風險 ； 流動性指標 ； 資產訂價模型

並列摘要

Previous literature indicates that after the placement the long-term stock return performance of private equities was usually worse than the equities which did not issue the private placement. In the thesis we use the data of private equities which had listed on the stock exchange of United States between 1980~2006 to analyze the pattern of liquidity risk, and we also test whether the two-factor capital asset pricing model that incorporate mimicking liquidity factor (LIQ) had significant structural change before and after private placement.

並列關鍵字

Private placement ； Long-term stock return ； Liquidity risk ； Liquidity measure ； Capital asset pricing model

參考文獻

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