流动性对台湾股票报酬率的影响

JournalofFinancialStudiesVol.5No.4April19981TheEffectofTurnoveronStockReturnsinTaiwanShing-yangHu*NationalTaiwanUniversity19761994CAPMAbstractInaneconomywithtransactioncosts,investorswithalowertradingfrequencywillchoosetoholdassetswithahighertransactioncost,andwillrequireahigherexpectedreturntocompensate.Ifweusetradingturnovertomeasurethetradingfrequencyofmarginalinves-tors,Taiwan’sdataisconsistentwiththisprediction.Usingthe1976-1994sampleperiod,wefindthatstockswithhigherturnoverhavelowerexpectedreturns.Thereisalsoasignificantsizeeffectinthedata:thestockswithalargermarketcapi-talizationhavealowerexpectedreturn.Therelationbetweendividendyieldandexpectedre-turnsisnotsignificantlypositive,whichisnotconsistentwiththetaxhypothesis.ThedataisnotconsistentwiththeCAPMeither,marketbetacannotexplainexpectedreturns.Keywords:TransactionCost,Turnover,ExpectedReturn,SizeEffect,DividendYield,CAPM*106414450Tel:[phone]ext.2970Fax:[phone]e-mail:[e-mail]87JournalofFinancialStudiesVol.5No.4April19982ChouandJohnson(1990)MaandShaw(1990)sizeP/EYang(1994,1995)1995AmihudandMendelson1986specialist1991HuangandStoll19961997HaugenandBaker1996JournalofFinancialStudiesVol.5No.4April19983CAPM1995RiiSiiS3-S2=S2-S1=ΔS0S1=0riiRiR11212T1T2jiR1+ri-TjSiTjSiAmihudandMendelson1986jjj+1T11r1-T1S1=r2-T1S2(1)r1-T1S1r3-T1S3(2)T22r2-T2S2r1-T2S1(3)JournalofFinancialStudiesVol.5No.4April19984r2-T2S2=r3-T2S3(4)12313r1-r2=T1(S1-S2)T2(S1-S2)r1-r2S1S2r1r2r1-r2=T1(S1-S2)T2(S1-S2)r1-r2(T1-T2)(S1-S2)0S1S2T1T211212132TURNT1(T1+T2)/2T2TURN1TURN2TURN3AmihudandMendelson1986AmihudandMendelsonPACAPdatabase11212319765199412542691745261JournalofFinancialStudiesVol.5No.4April19985121019765199412269172.31716.8304.3695.3889963.0325689.350.3211.959-5.66955.6881.7753.1553.3274.598-0.050-0.005-0.2220.0420.0480.1120.041-0.0700.4080.3850.024-0.1920.2240.0860.2160.005-0.1310.1950.1860.1350.22312sizebook-to-marketvalueearningsyieldorE/PratiocashdividendyieldstockdividendyieldJournalofFinancialStudiesVol.5No.4April19986HawawiniandKeim,1995Brennan,1970marketbeta10444.44.41963-19950.41976-19930.512575198919901019923.219899172577524.7-0.05-0.22FamaandMacBeth1973i,,t=0t+1ti,,t-1+2ti,,t-1+3ti,,t-1+4ti,,t-1+5ti,,t-1+6ti,,t-1+ei,t!JournalofFinancialStudiesVol.5No.4April19988t-1t020%20%020%20%0001.0782.1442.2842.58412.7523.0943.1272.0812.3962.2492.51322.5602.4872.3532.4132.4032.4062.23032.4192.3372.2812.4722.4842.3552.14542.3112.4621.8732.2532.3992.4032.15251.7352.0182.1512.7552.5802.2172.2321-51.017*(0.581)1.076*(0.593)0.976(0.673)-0.674(0.586)-0.184(0.406)0.032(0.409)0.281(0.422)%1-500.571**(0.033)0.602**(0.033)0.509(0.033)0.473(0.033)0.455(0.033)0.469(0.033)0.545(0.033)JournalofFinancialStudiesVol.5No.4April199893.1%2.2%0.98%10%0ChouandJohnson(1990)MaandShaw(1990)22411450.9%50%2.7%1.7%1%10%022412857%50%3.1%2%1.1%10%013560%50%111/3131/31/3JournalofFinancialStudiesVol.5No.4April199810111/3131/31/312313.5592.9762.56122.5152.3331.87332.3171.8411.268-0.4t-3.01%01%-0.4%-4.8%76-85-0.2210%085-94-0.575%0-0.64t-3.2sizeeffectHawawiniandKeim,19952.4t1.810%Chan,Hamao,andLakonishok,1991;FamaandFrench,1992JournalofFinancialStudiesVol.5No.4April199811FamaandMacBeth1973i,t=0t+1ti,t-1+2ti,t-1+3ti,t-1+4ti,t-1+5ti,t-1+6ti,t-1+ei,t76/5-94/12-0.890**(0.167)-0.941**(0.222)-0.397**(0.131)-0.638**(0.198)2.406*(1.361)-0.013(0.036)-0.103(0.063)-0.075**(0.032)-0.393**(0.133)-0.681**(0.197)2.142*(1.278)-0.031(0.038)-0.337**(0.134)-0.513**(0.187)1.518(1.300)-0.084(0.066)-0.077**(0.033)76/5-85/8-0.413**(0.129)-0.365**(0.207)-0.221*(0.125)-0.405*(0.229)0.215(0.648)0.099**(0.036)0.053(0.034)-0.040(0.031)-0.249**(0.125)-0.469**(0.226)0.172(0.620)0.106**(0.037)-0.313**(0.123)-0.346(0.220)-0.045(0.643)0.085**(0.037)-0.047(0.029)85/9-94/12-1.357**(0.303)-1.518**(0.388)-0.574**(0.230)-0.871**(0.321)4.598*(2.634)-0.126**(0.062)-0.259**(0.119)-0.110*(0.057)-0.537**(0.234)-0.894**(0.323)4.112*(2.472)-0.168**(0.064)-0.360(0.238)-0.680**(0.303)3.081(2.516)-0.253**(0.125)-0.107*(0.059)-0.075t-2.35%JournalofFinancialStudiesVol.5No.4April199812199576-850.1t2.85%ChouandJohnson(1990)MaandShaw(1990)HawawiniandKeim,199585-94-0.13t-2.05%76-8585-9419EleswarapuandReinganum,1993;TinicandWest,1984CAPMJournalofFinancialStudiesVol.5No.4April1998131995EleswarapuandReinganum,1993;TinicandWest,1984tt7t-13t12t7t-1120.9t0.97t0JournalofFinancialStudiesVol.5No.4April199814t0CAPMCAPMFamaandFrench(1992)24PACAP164416171978-1994-3.3t-1.6710%t0.3-0.65t-0.4CAPMJournalofFinancialStudiesVol.5No.4April199815-78/1-94/12-3.331*1.989-0.499**(0.146)-0.648(1.548)-0.611**(0.221)2.660*(1.536)-0.058(0.040)-0.130(0.085)-0.096**(0.041)78/1-85/8-8.350**(2.524)-0.295**(0.141)-3.457(2.573)-0.280(0.274)0.049(0.715)0.032(0.037)0.023(0.040)-0.021(0.040)85/7-94/120.792(2.924)-0.666**(0.239)1.660(1.849)-0.883**(0.333)4.805*(2.725)-0.131**(0.066)-0.255*(0.150)-0.157**(0.066)19959Fama-MacBeth-0.11t-2.6-0.06t-1.6JournalofFinancialStudiesVol.5No.4April199816111/3131/31/312313.9512.6882.50522.2712.2831.95232.2012.0211.7920.42-JournalofFinancial