- 學位論文
個股股票報酬率領先落後關係之實證研究
On the Empirical Determinants of the Lead-Lag Relationship among Individual Stock Returns
摘要
文獻上研究股票報酬率的領先落後關係(lead-lag relation among stock returns)及其經濟成因大多著重在短期一個月內投資組合之間報酬率的交互影響。本文從個股的角度對領先落後關係提出全盤的研究，將過去的討論範圍延伸至個股報酬率(individual stock returns)在短期一個月到長期二年的領先落後關係，進而分析短、中、長期下個股報酬率的領先落後關係(individual lead-lag relation)如何受到特徵(firm characteristics)的影響。 實證結果顯示：一、大規模(size)公司的股票報酬率在一到三個月內領先小規模公司的股票報酬率，在考量此規模的影響後，同產業下(intra-industry)大規模公司仍能領先小規模公司。當領先落後期間長度為六個月時，轉變為小規模公司領先大規模公司，但同產業下大規模公司仍領先小規模公司。二、在領先落後期間長度為一個月與六個月時，高交易量(trading volume)的公司領先低交易量的公司。三、在領先落後期間長度為三個月與六個月時，低帳面市值比(book-to-market ratio)的公司領先高帳面市值比的公司。總言之，規模(size)、交易量(trading volume)、帳面市值比(book-to-market ratio)、產業(industry)、交易所(exchange)，還有特徵之間的交互影響，如產業內規模效果(intra-industry size effect)，共同決定了個股報酬率的領先落後關係，在不同的領先落後期間有著各自不同的解釋能力。
並列摘要
The sources of lead-lag relation among stock returns have been extensively discussed in portfolio and in daily, weekly or monthly terms. The thesis extends previous lead-lag studies by focusing on the lead-lag relation among individual stock returns from one-month to two-year lag periods and investigates the effects of firm characteristics on the individual lead-lag relation. The results of cross-sectional regressions provide a comprehensive description on lead-lag relation. Size and intra-industry size effects determine the lead-lag relation positively from one- to three-month lag periods, but the effect of size reverses to be negative in six-month lag period. Trading volume provides a positive impact on the lead-lag relation with one- and six-month lag period. Book-to-market ratio has a negative impact on the lead-lag relation in three- and six-month lag period. Only interactions between characteristic and industry (or exchange) determine the lead-lag relation in 24-month lag period. The characteristics above can impact lead-lag relation simultaneously and not all of them are proxies for each other.