English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140891 (78%)
Visitors : 46235498      Online Users : 1098
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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
    林佑諭
    Lin, You-Yu
    Keywords: 台灣存託憑證
    折溢價
    賭徒偏好
    樂透型股票
    TDR
    Mispricing
    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。
    該研究使用OLS和固定效果的面板資料進行迴歸分析,研究發現獨特性風險、樂透型指數、殖利率及流動性對於TDR的折溢價幅度有顯著的影響。依據套利者、投資者抑或是投機者的角度,可以歸納出以下兩點結論:第一,若TDR具備高獨特性風險、低殖利率及低流動性特徵時,套利者從事套利活動的成本會加大,這樣的結果會讓TDR有大幅度的折溢價現象發生。第二,市場存在著一群具有賭徒偏好的投資者,他們會認為TDR是一項具有吸引力的投資標的,有機會在未來獲取更大的潛在報酬。因此,投資者容易會有過度追捧單一標的,而導致TDR有高程度折溢價現象發生。
    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.
    Reference: Alsayed, H., & McGroarty, F. (2012). Arbitrage and the Law of One Price in the market for American depository receipts. Journal of International Financial Markets, Institutions and Money, 22(5), 1258-1276.
    Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56
    Beckmann, K. S., Ngo, T., & Wang, D. (2015). The informational content of ADR mispricing. Journal of Multinational Financial Management, 32, 1-14.
    De Jong, A., Rosenthal, L., & van Dijk, M. A. (2003). The limits of arbitrage: Evidence from dual-listed companies. Erasmus University working paper.
    De Jong, A., Rosenthal, L., & Van Dijk, M. A. (2009). The risk and return of arbitrage in dual-listed companies. Review of Finance, 13(3), 495-520.
    De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.
    Eichler, S. (2012). Limited investor attention and the mispricing of American Depositary Receipts. Economics Letters, 115(3), 490-492.
    Gagnon, L., & Karolyi, G. A. (2010). Multi-market trading and arbitrage. Journal of Financial Economics, 97(1), 53-80.
    Gemmill, G., & Thomas, D. C. (2002). Noise trading, costly arbitrage, and asset prices: Evidence from closed‐end funds. The Journal of Finance, 57(6), 2571-2594.
    Grossmann, A., Ozuna, T., & Simpson, M. W. (2007). ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation?. Journal of International Financial Markets, Institutions and Money, 17(4), 361-371.
    Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295.
    Kai-Ineman, D. A. N. I. E. L., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 363-391.
    Kumar, A. (2009). Who gambles in the stock market?. The Journal of Finance, 64(4), 1889-1933.
    Kumar, A., Page, J. K., & Spalt, O. G. (2016). Gambling and comovement. Journal of Financial and Quantitative Analysis, 51(1), 85-111.
    Lamont, Owen, A., and Richard H. Thaler. 2003. "Anomalies: The Law of One Price in Financial Markets." Journal of Economic Perspectives, 17 (4): 191-202.
    Pontiff, J. (2006). Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics, 42(1-2), 35-52.
    Shleifer, A., & Summers, L. H. (1990). The noise trader approach to finance. Journal of Economic Perspectives, 4(2), 19-33.
    Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. The Journal of Finance, 52(1), 35-55.
    Statman, M. (2002). Lottery players/stock traders. Financial Analysts Journal, 58(1), 14- 21.
    Thaler, R. H., & Johnson, E. J. (1990). Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice. Management Science, 36(6), 643- 660.
    Welte, J. W., Barnes, G. M., Wieczorek, W. F., Tidwell, M. C., & Parker, J. (2002). Gambling participation in the US—results from a national survey. Journal of gambling studies, 18, 313-337.
    Description: 碩士
    國立政治大學
    財務管理學系
    110357033
    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

    Files in This Item:

    File Description SizeFormat
    703301.pdf968KbAdobe PDF291View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback