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An Empirical Study of the Liquidity Premium in Taiwan Equity Market –The Case of Financial Industries
No full text在證券市場當中，流動性的重要性不僅於資產績效的衡量與市場機制實施成效的評估，更是決定報酬的關鍵因素。投資人能否在資訊不對稱下，從觀察流動性及股票報酬的相互關係，獲取有效資訊以減少投資風險，將是值得探討的議題。尤其是在歷經次貸事件與國際金融海嘯洗禮後，更凸顯金融業面對的市場流動性變動程度遠大於其他產業。
故本文以台灣證券市場金融類股為研究對象，採用Fama-MacBeth（1973）的橫斷面迴歸分析方法，以週轉率做為流動性衡量指標。除以Amihud（2002）的方法將流動性分解成預期及未預期兩部分外，再以Fama 與 French （1992、1993）的三因子模型中的市場風險、公司規模、淨值市價比，最後再加上外資持股比例當作解釋股票報酬的變數，驗證在台灣股票市場金融類股中，是否有流動性溢酬或存在其它影響橫斷面股票報酬的因素。
結果發現：1、beta值與股票報酬間存在極小的負向關係，是因為金融業特殊的資產結構所產生的結果。2、規模效應的確存在於台灣股市金融類股當中3、不存在元月效果，但卻存在春節效應4、從預期流動性的角度來看，流動性溢酬是不存在的；但從人們觀察到當期未預期流動性高低後的反應切入分析，發現流動性溢酬的確存在於台灣股市金融類股中，只是傳遞途徑不同而已。In security market, liquidity is not only important to the measurement of asset return and the evaluation of market mechanism execution, but also to the key factor of return. It is worth exploring if investors, facing information asymmetry, can obtain effective information to decrease risk by observing the relationship between liquidity and stock return. Especially after subprime crisis and financial tsunami, it is obvious that the volatility of liquidity faced by financial industry is far greater than that of other industries.
This thesis is to study financial sector in Taiwan equity market through Fama-MacBeth (1973) cross-sectional regression analysis, using turnover as liquidity indicator. By using Amihud（2002）method, liquidity is divided into two parts: expected and unexpected. Then market risk, firm size and b/m ratio in the three-factor model of Fama and French （1992、1993） are taken into account. The percentage of shares held by foreign investors is the variable of explaination of stock return. Then this study verifies if there is any liquidity premium or any factor influencing cross-sectional stock return for financial sector in Taiwan equity market.
The results are: (1) the relationship between beta and return is extremely small and negative, an outcome resulted from the special asset structure in financial sector.; (2) The company size is important in financial sector; (3) there is no evidence supporting January effect, but Chinese New Year effect exists; and (4) from the perspective of expected liquidity, liquidity premium does not exist, but it is found that, by analyzing investors’ response to the change of unexpected liquidity, liquidity premium indeed exists in financial sector, only with different distribution channel
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
Author Under Sail The Imagination of Jack London, 1893-1902
No full textIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Intro -- Title Page -- Copyright Page -- Dedication -- Contents -- Acknowledgments -- Introduction -- 1. Spirit Truth -- 2. From Absorption to Theatricality and Back Again -- 3. "I Will Build a New Present" -- 4. Sons as Authors -- 5. Fathers as Publishers -- 6. The Daughter as Author -- 7. Lovers as Authors -- 8. At Sea with the Family -- 9. Yellow News, Yellow Stories -- 10. The Return Home -- Notes -- Bibliography -- Index -- About Jay WilliamsIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Description based on publisher supplied metadata and other sources.Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, YYYY. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
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