買賣價差會影響投資人的持有期間與股票報酬率嗎?

Do Bid-Ask Spreads Affect Investors' Holding Period and Stock Returns?

闕河士(Horace Chueh) ； 陳俊成(Chun-Cheng Chen)

《中山管理評論》 13卷4期 (2005/12) Pp. 791-810

https://doi.org/10.6160/2005.12.01

摘要

交易成本對投資人的投資決策有重大的影響，而買賣價差則是交易成本的要素之一。Amihud and Mendelson (1986)提出二個命題，分別是買賣價差顧客效果假說和流動性溢酬假說，前者主張買賣價差越大的資產其被持有的期間越長，後者說明買賣價差越大的資產其預期報酬率越大。本文即是以台灣股票市場的交易資料驗證A&M的二個假說，實證結果發現，這兩個假說在證券櫃檯買賣中心都得到支持，但是台灣證券交易所則只有出現買賣價差顧客效果的現象。此種不一致的現象可能與台灣股票市場的最小升降單位制度和投資人報價行為有關。

關鍵字

買賣價差 ； 流動性 ； 持有期間 ； 資產定價

並列摘要

Bid-ask spread is an important trading cost, which has a great impact on investment decisions. Amuid and Mendelson (1986) (hereafter A&M) propose that assets with larger spreads are held for longer holding periods and assets with larger spreads yield a higher average return. These two propositions are called spread clientele effect hypothesis and liquidity premium hypothesis, respectively. This paper provides an empirical evidence for A&M's propositions via the equity markets in Taiwan. The results show that both propositions are supported in the GreTai Securities Market. However, the spread clientele effect exists only in the TSEC. The inconsistency may be attributed to the quotation behavior and the minimum tick system.

並列關鍵字

Spreads ； Liquidity ； Holding period ； Asset pricing

參考文獻

Amihud, Y.,H. Mendeson(1986).Asset pricing and the bid-ask spread.Journal of Financial Economics.17,223-249.

Amihud, Y.,H. Mendeson(1989).The effects of beta, bid-ask spread, residual risk, and size on stock returns.Journal of Finance.44,479-486.

Atkins, A.B.,E. A. Dyl(1997).Transactions costs and holding periods for common stocks.Journal of Finance.52,309-325.

Working paper, University of Chicago

Demsetz, H.(1968).The cost of transacting.Quarterly Journal of Economics.82,33-53.