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Yeung, Wing Chuen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 68-70). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background Study --- p.4 / Chapter 2.1 --- Liquidity Management --- p.4 / Chapter 2.2 --- Default Prediction Analysis --- p.7 / Chapter 2.3 --- The Merton Model --- p.10 / Chapter 3 --- Insolvency Model --- p.15 / Chapter 3.1 --- Insolvency Probability --- p.16 / Chapter 3.2 --- Factors Affecting Insolvency Probability --- p.19 / Chapter 3.3 --- Chapter Summary --- p.29 / Chapter 4 --- "Profitability, Liquidity and Insolvency" --- p.30 / Chapter 4.1 --- Profitability and Liquidity --- p.31 / Chapter 4.2 --- Modified Insolvency Probability --- p.34 / Chapter 4.3 --- Chapter Summary --- p.38 / Chapter 5 --- Decision on Optimal Liquidity Level --- p.39 / Chapter 5.1 --- Expected Loss in case of Insolvency --- p.40 / Chapter 5.2 --- Optimal Liquidity Level --- p.43 / Chapter 5.3 --- Numerical Example --- p.46 / Chapter 5.4 --- Chapter Summary --- p.49 / Chapter 6 --- Liquidity Strategies --- p.50 / Chapter 6.1 --- Liquidity Strategies --- p.51 / Chapter 6.2 --- Scenario Tests --- p.54 / Chapter 6.3 --- Chapter Summary --- p.59 / Chapter 7 --- Conclusions --- p.60 / Chapter A --- Fibonacci Algorithm --- p.62 / Chapter B --- Stimulation Results --- p.64 / Bibliography --- p.68

本文探討關於影響股票流通量的不同因素。數據資料包括40國家由1981年開始30年的每月數據，當中股票流通量使用股票交投量計算。本文特別關注企業管治質素對於股票流通量的影響，並透過使用封閉型控股比例及審計師報告量度企業管治質素。本文研究的另一個目的為確定國家管治質素對於股票流通量的影響。除此之外，本文亦探討經濟增長及宏觀政策穩定性對於股票流通量的影響，及股票流通量與公司財政狀況的關係。 / 透過使用固定影響面版數據迴歸分析，結果顯示股票流通量與（i）企業管治質素成正比關係；（ii）國家管治質素成正比關係；（iii）宏觀經濟發展及政策穩定性成正比關係；（iv）公司財政狀況成正比關係。投資者普遍拒絶交易一些企業管治質素差的股票以防被大股東剝奪。良好的國家管治質素能夠促進投資者信心並提高相關股票市場的交易量。較高的經濟發展及穩定的貨幣政策預期能夠提供可觀的回報並吸引投資者。良好的公司財政表現表示公司有較強的增長並吸引投資者交易相關股票。 / 透過抽選不同的情況以驗證結果的準確性，當中顯示股票交投量能夠恰當計算股票流通量，當中的迴歸結果皆十分有力。本文對影響股票流通量的不同因素提供全面的分析。政府及股票市場監管機構應將焦點放於改善市場制度以促進流通量，並減低上市公司的資本成本。將來的相關研究能夠集中於政策探討並深化有關研究。 / This thesis investigates the different factors that affect stock liquidity. The data set comprises 40 countries with monthly data for the 30 years starting from 1981. Stock liquidity is measured using the stock turnover rate. The first concern of this thesis is the determination of the manner by which the standard of corporate governance affects the stock liquidity based on the percentages of closely held shares and the reports of auditors as the proxy of corporate governance. The second concern is the ascertainment of the effects of country governance on stock liquidity. Furthermore, the current study investigates the effects of economic growth and macroeconomic policy stability on stock liquidity. In addition, the present work also determines the relationship between stock liquidity and the financial status of companies. / The results of fixed effect panel data regression show that the stock liquidity is (i) positively correlated to the corporate governance standard, (ii) positively correlated to the country governance standard, (iii) positively correlated to the macroeconomic development and policy stability, and (iv) positively correlated to the financial status of companies. Investors typically refuse to trade the stocks with poor corporate governance records to prevent minority expropriation. Moreover, better country governance improves investor confidence in trading in the respective country’s stock market. Higher economic growth and stable monetary policy attract investors by providing promising results. In addition, better financial performance by companies implies stronger growth and attracts investors to trade on the stocks of such companies. / Using different selected occasions for the validation of robustness, the stock turnover rate is confirmed to be a good proxy for stock liquidity, and the results of different regressions are strong. The current study provides a comprehensive analysis on the factors affecting stock liquidity. Governments and stock market regulators should focus on having a better institutional design to improve liquidity, which can potentially reduce the cost of equity for listed firms. The future extension on this topic can focus more on policy implication to deepen the investigation further. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Lin, Yuk Lun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 58-60). / Abstracts also in Chinese. / ABSTRACT --- p.i / 摘要 --- p.iii / ACKNOWLEDGEMENTS --- p.iv / TABLE OF CONTENTS --- p.v / TABLES --- p.vii / FIGURES --- p.ix / Chapter CHAPTER 1 --- INTRODUCTION --- p.1 / Chapter CHAPTER 2 --- LITERATURE REVIEW AND HYPOTHESIS DEVELOPMENT --- p.3 / Chapter 2.a --- Literature review --- p.3 / Chapter 2.b --- Hypothesis development --- p.6 / Chapter CHAPTER 3 --- DATA DESCRIPTION AND SUMMARY STATISTICS --- p.8 / Chapter 3.a --- Firm-level time series data --- p.8 / Chapter 3.b --- Country-level time series data --- p.10 / Chapter 3.c --- Data summary --- p.11 / Chapter CHAPTER 4 --- SAMPLE SUMMARY OF DIFFERENT LAW ORIGINS --- p.12 / Chapter CHAPTER 5 --- REGRESSION MODEL AND RESULT --- p.14 / Chapter 5.a --- Stock turnover rate, corporate governance, country governance, and control variables --- p.14 / Chapter 5.b --- Amihud measure, ownership structure, country governance, and control variables --- p.19 / Chapter 5.c --- Stock turnover rate, ownership structure, squared ownership structure, country governance, and control variables --- p.21 / Chapter 5.d --- Stock turnover rate, corporate governance, country governance, interaction term of corporate and country governance, and control variables --- p.23 / Chapter 5.e --- Summary of the results --- p.24 / Chapter CHAPTER 6 --- ROBUSTNESS CHECKS --- p.26 / Chapter 6.a --- Alternative measure for stock turnover rate --- p.26 / Chapter 6.b --- Exclusion of the data on developing countries --- p.26 / Chapter 6.c --- Exclusion of the period of great volatility --- p.28 / Chapter CHAPTER 7 --- POLICY IMPLICATION --- p.30 / Chapter 7.a --- Implications for corporate governance --- p.30 / Chapter 7.b --- Implications for information disclosure --- p.31 / Chapter 7.c --- Implications for country governance --- p.32 / Chapter 7.d --- Implications for country and firm level data --- p.33 / Chapter CHAPTER 8 --- CONCLUSION --- p.34 / BIBLIOGRAPHY --- p.60

The role of liquidity in asset pricing model has attracted much attention in recent financial studies; however there is a paucity of literature with respect to liquidity risk and asset pricing in the direct housing market. The housing market is characterized by costly searching, inelastic supply and short-sale constraints. It is expected that the housing market should incur more significant illiquid effects, since it is much more illiquid than stock market. Motivated by this intuition, this thesis aims to explore 1) whether and to what extent liquidity can explain variations in over-time/crosssectional housing returns; and 2) whether liquidity factor plays a role in explaining the second moment (i.e. volatility) of housing price. We employ the panel regression and Fama-MacBeth two-stage procedure to investigate over-time and cross-sectional relations between liquidity and housing return. Liquidity asset pricing theory suggests that assets with lower degree of liquidity offer higher expected returns. Consistent with this prediction, the panel regression results suggest that housing return is a decreasing function of liquidity in previous year, while it is positively relative to contemporary liquidity shocks. For the cross-sectional asset pricing tests, housing estate specific betas are estimated using rolling time-series regressions of a three-factor asset pricing model. We investigate the proposition that housing estates with greater return sensitivity to market liquidity earns higher expected return. Using a disaggregate dataset of 55 popular housing estates, we find (1) both market liquidity beta and housing estate specific liquidity risk are significantly priced in the cross-sectional housing estate returns, implying that cross-sectional differences in estate premium partially represent the liquidity premium. (2) The market beta, sentiment beta and market liquidity beta explain 14.36% of variations in cross-sectional estate returns. The results are robust across different specifications. (3) Investors are less willing to bear liquidity risk during the down markets, which shed new light on the positive price-volume correlation. These findings complement the cross-sectional liquidity-return relationship in the financial literature. Measuring housing price volatility is fundamental to the study of the dynamics of housing price risk. We investigate the effects of liquidity on housing price volatility in different housing classes (classified by size of the housing unit according to the Rating and Valuation Department’s definitions). Housing price volatility is measured as the conditional variance of a GARCH model under the Adaptive Expectations framework. We reveal that volatility transmits from small housing units to large housing units, which indirectly supports the trade-up effect in previous literature. Besides, the starter and high-end housing classes are extraordinarily sensitive to negative and positive liquidity shocks respectively. Consistent with the friction search theory, we find that the pricing errors are alleviated as the trading volume increases, since the valuated price tends to be more accurate as more information arrives. Lastly, the variance decomposition and impulse response results imply that the positive liquidity shock accounts for a large proportion of variations in housing volatility. / published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy

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