The Effects of Liquidity and Attention on Stock Returns

• Main Authors: Hsin-Tung Li, 李信東
• Other Authors: 林盈課
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/93312873530548336164

碩士 === 國立中興大學 === 財務金融學系所 === 103 === This paper studies the effect of liquidity and attention on stock returns of Taiwan stock market. This paper has the following hypotheses: First, there is higher abnormal return on illiquidity stock. Second, attention effect misprices stocks’ price. Third, the less liquidity of a stock is, the stronger reaction to the attention effect. This paper forms investment portfolios by liquidity and attention index and see the influences of stock returns. In the empirical results, attention effect has more influence of stock returns on less liquidity stock, and its’ influence is positive; Forming positive attention index under a stricter stander can result in lower stock return with lower positive attention effect in different liquidity level; Forming negative attention index under a stricter stander can result in higher stock return with higher negative attention effect in the worst liquidity level.