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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/145926
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145926

    Title: DR股折溢價及賭徒偏好之探討-以TDR為例
    Gambling Preferences and the Impact of DR`s Premiums and Discounts: Evidence from TDR
    Authors: 林佑諭
    Lin, You-Yu
    Contributors: 周冠男
    Lin, You-Yu
    Keywords: 台灣存託憑證
    Gambling preference
    Lottery-type stocks
    Date: 2023
    Issue Date: 2023-07-06 17:01:25 (UTC+8)
    Abstract: 本研究旨在探討造成TDR折價或溢價的因素,為了進行相關的分析,選用了過往34檔TDR共計49,565筆的日資料進行研究,樣本區間為2010年7月1日至2022年12月30日。本研究主要將焦點放在TDR個別的獨特性風險以及具有賭徒偏好的投資者行為面上,以了解TDR為何會經常性發生折溢價的價格差異。除此之外,本研究也加入其他控制變數,如:市場報酬率、殖利率、週轉率、流動性及散戶持有股數比例進行迴歸分析,期望找出背後更確切的因素。
    This study examines the factors that cause the premium or discount of TDRs. To conduct this analysis, the paper selects a sample of TDRs from July 1, 2010, to December 30, 2022, consisting of a total of 49,565 daily observations across 34 TDRs. To understand why TDR mispricing occurs frequently, this study primarily focuses on examining the impact of idiosyncratic risk and investor behavior, specifically gambling preference. Additionally, other variables such as market return, dividend yield, turnover rate, illiquidity rate, and the proportion of retail investors` shareholding are included as control variables in the regression analysis to uncover the accurate reasons behind this issue.
    Using both OLS and fixed effect panel regressions, the study finds that idiosyncratic risk, LIDX, dividend yield, and liquidity significantly influence the extent of mispricing in TDRs. Based on the perspectives of arbitrageurs, investors, or speculators, these findings can be summarized from two perspectives. Firstly, it becomes more costly for arbitrageurs to engage in arbitrage activities when dealing with TDRs characterized by higher idiosyncratic risk, lower dividend yield, and lower liquidity. This suggests that factors affecting arbitrage costs play a role in TDR mispricing. Secondly, there exists a group of gambling preference investors who consider TDRs as attractive investments with the potential for significant future rewards. As a result, investors are prone to excessive chasing of a single target, leading to a high degree of premium or discount in TDRs.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357033
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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