Testing the Cost of Capital Effects of Taiwan's First Stock Market Liberalization

實證台灣股市首次自由化之資金成本效應

10.6545/JFS.2013.21(3).3

黃一祥(I-Hsiang Huang)；黃旭輝(Hsu-Huei Huang)；張志向(Chih-Hsiang Chang)；楊琬如(Wan-Ru Yang)

股市自由化 ； 國際資產評價模式 ； 投資者認知假說 ； 流動性改善假說 ； 資金成本 ； Stock market liberalization ； international asset pricing model ； investor recognition hypothesis ； liquidity ； cost of equity capital

財務金融學刊

21卷3期（2013 / 09 / 30）

63 - 96

英文

本文整合實證台灣股市首次自由化之資金成本效應。我們發現，台股在自由化期間的每月平均股價重評價效果為1.713%，其預期報酬和波動在自由化之後亦皆顯著下降。與Errunza andLosq（1985）的國際資產評價模式和Merton（1987）的投資者認知假說一致，重評價效果與風險分散利益具正相關、與不完全資訊成本和台股beta存在負相關。但流動性無法解釋重評價效果。

We synthetically test the cost of the capital effects for Taiwan's first stock market liberalization using firm-level data. We find that Taiwan-listed firms experience an average monthly stock price revaluation of 1.713% during liberalization and that both expected returns and volatility are decreased following liberalization. Consistent with Errunza and Losq's (1985) international asset pricing model and Merton's (1987) investor recognition hypothesis, the liberalization-induced revaluation is positively related to the potentials of diversification benefits and negatively related to the cost of incomplete information and local market beta. However, liquidity fails to explain the positive revaluation.

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