買賣價差會影響投資人的持有期間與股票報酬率嗎？

Do Bid-Ask Spreads Affect Investors' Holding Period and Stock Returns?

交易成本對投資人的投資決策有重大的影響，而買賣價差則是交易成本的要素之一。Amihud and Mendelson（1986）提出二個命題，分別是買賣價差顧客效果假說和流動性溢酬假說，前者主張買賣價差越大的資產其被持有的其間越長，後都說明買賣價差越大的資產其預期報酬率越大。本文即是以臺灣股票市場的交易資料驗證A&M的二個假說，實證結果發現，這兩個假說在證券櫃檯買賣中心都得到支持，但是臺灣證券交易所則只有出現買賣價差顧客效果的現象。此種不一致的現象可能與臺灣股票市場的最小升降單位制度和投資人報價行為有關。

Bid-ask spread is an important trading cost, which has a great impact on investment decisions. Amuid and Mendelson (1986) (hereafter A&M) propose that assets with larger spreads are held for longer holding periods and assets with larger spreads yield a higher average return. These two propositions are called spread clientele effect hypothesis and liquidity premium hypothesis, respectively. This paper provides and empirical evidence for A&M’s propositions via the equity markets in Taiwan. The results show that both propositions are supported in the GreTai Securities Market. However, the spread clientele effect exists only in the TSEC. The inconsistency may be attributed to the quotation behavior and the minimum tick system.