流動性對台灣股票報酬率的影響

The Effect of Turnover on Stock Returns in Taiwan

胡星陽(Shing-Yang Hu)

《中國財務學刊》 5卷4期 (1998/04) Pp. 1-19

https://doi.org/10.6545/JoFS.1998.5(4).1

摘要

在一個有交易成本的模型中，低交易頻率的邊際投資人會選擇持有高交易成本的資產，但會要求較高的毛報酬率以作為補償。如果我們用周轉率來衡量邊際投資人的交易頻率，台灣的資料吻合理論的預測。在1976到1994的台灣股市中，高周轉率的股票有比較低的預期報酬率。除了周轉率外，這段時期的台灣股市也存在明顯的規模效果，市價總值高的股票有較低的預期報酬率。至於股利殖利率對報酬率的影響比較弱，而且偏向負向關係，不符合賦稅效果預測的正向關係。此外市場貝它不能解釋台灣股市報酬率，違背CAPM的預測。

關鍵字

交易成本 ； 周轉率 ； 預期報酬率 ； 規模效果 ； 股利殖利率 ； 資本資產定價模型

並列摘要

In an economy with transaction costs, investors with a lower trading frequency will choose to hold assets with a higher transaction cost, and will require a higher expected return to compensate. If we use trading turnover to measure the trading frequency of marginal investors, Taiwan's data is consistent with this prediction. Using the 1976-1994 sample period, we find that stocks with higher turnover have lower expected returns. There is also a significant size effect in the data: the stocks with a larger market capitalization have a lower expected return. The relation between dividend yield and expected returns is not significantly positive, which is not consistent with the tax hypothesis. The data is not consistent with the CAPM either, market beta cannot explain expected returns.

並列關鍵字

Transaction Cost ； Turnover ； Expected Return ； Size Effect Dividend Yield ； CAPM