Firm Characteristics, Corporate Governance and Liquidity Premium: Evidence from Taiwan Stock Market
Date Issued
2014
Date
2014
Author(s)
Chung, Ping-Hsien
Abstract
Based on sample of listed firms in Taiwan from 1991 to 2013, this study utilizes modified Amihud illiquidity proxy to explore the effect of equity liquidity on stock excess return in Taiwan stock market. From the cross-section regression, our results show positive relationship between stock returns and individual illiquidity. Theories suggest that corporate governance and firm size are associate with equity liquidity. According to the time-series regression, we find evidence that market illiquidity affects both dispersed ownership and small firm stocks more strongly. In addition, we also find that those factors like illiquidity, Beta, market capitalization, and January dummy have correlated to stock returns, which is the same as many literatures in Taiwan. However, those relationships seem less significant or even some have reverse relationships by using resent market data.
Subjects
流動性溢酬
公司治理
控制權集中度
流動性因子
Amihud非流動性指標
台灣
Type
thesis
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