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標題: Cash-flow news, market liquidity and liquidity risk
作者: Lin, Y.M.;Hsu, Y.S.;Chen, S.L.
林宜勉;許永聲
關鍵字: expected stock returns;asset returns;variance decomposition;investment strategies;momentum;prices;institutions;impact
日期: 2009
Issue Date: 2012-12-14 10:26:13 (UTC+8)
關連: Applied Economics, Volume 41, Issue 9, Page(s) 1137-1156.
摘要: This article adopts Campbell's (1991) return decomposition model to decompose the unexpected stock return and unexpected excess stock return in the US stock market. The study also investigates the factors that cause the shock to stock return and excess stock return. We further examine the responses of stock market to cash-flow news, expected stock return news, expected excess stock return news and interest rate news. Last, we examine the reaction of market liquidity, liquidity risk and abnormal trading volume to cash-flow news, expected stock return news, expected excess stock return news and interest rate news. Our main findings are summarized as follows: first, cash-flow news is the main driver of stock return and excess stock return in stock market. Second, the dividend payout ratio is able to predict stock return and excess stock return. Third, under the model of stock return variance, unexpected market liquidity and unexpected liquidity risk are negatively related to expected stock return news, but not related to cash-flow news. Fourth, under the model of excess stock return variance, unexpected market liquidity and unexpected liquidity risk are negatively related to cash-flow news, expected excess stock return news, and interest rate news.
Relation: Applied Economics
Appears in Collections:[依教師分類] 林宜勉
[依教師分類] 林宜勉
[依資料類型分類] 期刊論文
[依教師分類] 許永聲

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