學術產出-Theses
Article View/Open
Publication Export
-
題名 台灣ETF溢價現象與賭博偏好
ETF Premium Ratio and Gambling Preference in Taiwan作者 林禹岑
Lin, Yu-Cen貢獻者 周冠男
Chou, Robin K.
林禹岑
Lin, Yu-Cen關鍵詞 ETF
折溢價率
賭博偏好
樂透型股票
樂透股指數LIDX
ETF
Premium ratio
Gambling preference
Lottery-type stock
Lottery index (LIDX)日期 2021 上傳時間 3-Jul-2021 00:39:15 (UTC+8) 摘要 過去國內外文獻極少針對ETF市場討論投資人賭博偏好，本文旨在初步連結相關議題，期望能有拋磚引玉之效。在排除債券ETF和境外ETF後，採用2015至2020年間曾於證交所或櫃買中心掛牌之125檔ETF作為研究樣本，探討台灣ETF出現極端高溢價之成因，並從投資人行為面進行解釋。實證結果發現：高溢價ETF的未來報酬表現較差。透過事件研究法得知，當溢價率超越30%時，60個交易日（約3個月）內標準化累積異常報酬率（SCAR）為-24%。觀察各類型ETF後發現，涉及國外指數商品之ETF溢價率低於一般ETF，但涉及期貨商品之ETF、具槓桿反向特性之ETF、符合前兩項任一條件之ETF，皆因期貨轉倉成本而導致溢價率顯著高於一般ETF。而實證回歸結果指出，高溢價ETF具有低市價、高單日最大報酬率、低年化報酬率之特性，與樂透型股票相似。可進一步推論，ETF的高溢價率與投資人的賭博偏好有關。然而，溢價率與異質偏態的關係和樂透型股票相反，並且，樂透股指數LIDX不適合作為ETF異常高溢價之預警指標。另外，實證研究發現，投資者因損失趨避而不願實現損失，導致ETF市價下跌幅度小於淨值，使溢價率居高不下。而由於投資者的關注會加深購買力道，導致規模大或交易量大的ETF溢價率更高。最後，高流動性有助於減緩ETF溢價情形。
Empirical studies are rare regarding gambling preference in the ETF market. This paper aims at filling the gap and figures out the reasons for the abnormal high premium ratio of ETFs in Taiwan, using 125 ETF monthly data in 6 years from the TEJ database. The empirical results are as the followings: First, high-premium ETFs perform worse in the future. When the ETF premium ratio surpasses 30%, there is a standardized cumulative abnormal return (SCAR) of 24% loss after 60 transaction days (about 3 months). Second, the mean premium ratio of Foreign-type ETFs is lower than Pure ETFs. But for Futures-type ETFs, Leverage-type ETFs, and Futures-or-Leverage-type ETFs, their premium ratios are significantly higher than Pure ETFs due to the rolling cost of futures in their portfolio. Third, high-premium ETFs tend to have lower prices, higher maximum daily returns, and lower yearly returns, similar to lottery-type stocks. Therefore, the high premium ratio of ETF is related to investors` gambling preferences. However, the relationship with idiosyncratic skewness is contrary to lottery-type stocks, and the lottery index (LIDX) is not a suitable indicator of an abnormal ETF premium phenomenon. Moreover, investors’ reluctance of realizing loss causes prices to fall less than NAV, making the premium ratio stay high. And big and hot ETFs have higher premium ratios because of investors’ attention to them. Finally, higher liquidity is helpful to correct ETF mispricing.參考文獻 Ackert, L. F., & Tian, Y. S. (2008). Arbitrage, liquidity, and the valuation of exchange traded funds. Financial Markets, Institutions & Instruments, 17(5), 331-362.Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5, 31-56.Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785-818.Blalock, G., Just, D. R., & Simon, D. H. (2007). Hitting the jackpot or hitting the skids: Entertainment, poverty, and the demand for state lotteries. American Journal of Economics and Sociology, 66(3), 545-570.Brunnermeier, M. K., & Parker, J. A. (2005). Optimal expectations. American Economic Review, 95(4), 1092-1118.Cochran, W. G. (1957). Experimental designs 2nd ed. John wiley & sons.Garrett, T. A., & Sobel, R. S. (2004). State lottery revenue: The importance of game characteristics. Public Finance Review, 32(3), 313-330.Goetzmann, W. N., & Kumar, A. (2005). Why do individual investors hold under-diversified portfolios? (No. ysm454). Yale School of Management.Hilliard, J. (2014). Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds. Global Finance Journal, 25(2), 90-107.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.Rompotis, G. G. (2010). Does premium impact exchange-traded funds’ returns? Evidence from iShares. Journal of Asset Management, 11(4), 298-308.Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. The Journal of Finance, 40(3), 777-790.Tversky, A., & Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 5(4), 297-323. 描述 碩士
國立政治大學
財務管理學系
108357008資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357008 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K. en_US dc.contributor.author (Authors) 林禹岑 zh_TW dc.contributor.author (Authors) Lin, Yu-Cen en_US dc.creator (作者) 林禹岑 zh_TW dc.creator (作者) Lin, Yu-Cen en_US dc.date (日期) 2021 en_US dc.date.accessioned 3-Jul-2021 00:39:15 (UTC+8) - dc.date.available 3-Jul-2021 00:39:15 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2021 00:39:15 (UTC+8) - dc.identifier (Other Identifiers) G0108357008 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136051 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 108357008 zh_TW dc.description.abstract (摘要) 過去國內外文獻極少針對ETF市場討論投資人賭博偏好，本文旨在初步連結相關議題，期望能有拋磚引玉之效。在排除債券ETF和境外ETF後，採用2015至2020年間曾於證交所或櫃買中心掛牌之125檔ETF作為研究樣本，探討台灣ETF出現極端高溢價之成因，並從投資人行為面進行解釋。實證結果發現：高溢價ETF的未來報酬表現較差。透過事件研究法得知，當溢價率超越30%時，60個交易日（約3個月）內標準化累積異常報酬率（SCAR）為-24%。觀察各類型ETF後發現，涉及國外指數商品之ETF溢價率低於一般ETF，但涉及期貨商品之ETF、具槓桿反向特性之ETF、符合前兩項任一條件之ETF，皆因期貨轉倉成本而導致溢價率顯著高於一般ETF。而實證回歸結果指出，高溢價ETF具有低市價、高單日最大報酬率、低年化報酬率之特性，與樂透型股票相似。可進一步推論，ETF的高溢價率與投資人的賭博偏好有關。然而，溢價率與異質偏態的關係和樂透型股票相反，並且，樂透股指數LIDX不適合作為ETF異常高溢價之預警指標。另外，實證研究發現，投資者因損失趨避而不願實現損失，導致ETF市價下跌幅度小於淨值，使溢價率居高不下。而由於投資者的關注會加深購買力道，導致規模大或交易量大的ETF溢價率更高。最後，高流動性有助於減緩ETF溢價情形。 zh_TW dc.description.abstract (摘要) Empirical studies are rare regarding gambling preference in the ETF market. This paper aims at filling the gap and figures out the reasons for the abnormal high premium ratio of ETFs in Taiwan, using 125 ETF monthly data in 6 years from the TEJ database. The empirical results are as the followings: First, high-premium ETFs perform worse in the future. When the ETF premium ratio surpasses 30%, there is a standardized cumulative abnormal return (SCAR) of 24% loss after 60 transaction days (about 3 months). Second, the mean premium ratio of Foreign-type ETFs is lower than Pure ETFs. But for Futures-type ETFs, Leverage-type ETFs, and Futures-or-Leverage-type ETFs, their premium ratios are significantly higher than Pure ETFs due to the rolling cost of futures in their portfolio. Third, high-premium ETFs tend to have lower prices, higher maximum daily returns, and lower yearly returns, similar to lottery-type stocks. Therefore, the high premium ratio of ETF is related to investors` gambling preferences. However, the relationship with idiosyncratic skewness is contrary to lottery-type stocks, and the lottery index (LIDX) is not a suitable indicator of an abnormal ETF premium phenomenon. Moreover, investors’ reluctance of realizing loss causes prices to fall less than NAV, making the premium ratio stay high. And big and hot ETFs have higher premium ratios because of investors’ attention to them. Finally, higher liquidity is helpful to correct ETF mispricing. en_US dc.description.tableofcontents Chapter 1 Introduction 1Chapter 2 Literature and Hypothesis 32.1 Gambling Preference 32.2 Lottery-Type Stock 52.3 Premium/Discount of ETF 72.4 Hypothesis 9Chapter 3 Data and Methodology 103.1 Sample Selection 103.2 Variables 123.3 Model Design 15Chapter 4 Empirical Results 174.1 Descriptive Statistics 174.2 Empirical Analysis 21Chapter 5 Conclusion 26Reference 27Appendix 29 zh_TW dc.format.extent 1844525 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357008 en_US dc.subject (關鍵詞) ETF zh_TW dc.subject (關鍵詞) 折溢價率 zh_TW dc.subject (關鍵詞) 賭博偏好 zh_TW dc.subject (關鍵詞) 樂透型股票 zh_TW dc.subject (關鍵詞) 樂透股指數LIDX zh_TW dc.subject (關鍵詞) ETF en_US dc.subject (關鍵詞) Premium ratio en_US dc.subject (關鍵詞) Gambling preference en_US dc.subject (關鍵詞) Lottery-type stock en_US dc.subject (關鍵詞) Lottery index (LIDX) en_US dc.title (題名) 台灣ETF溢價現象與賭博偏好 zh_TW dc.title (題名) ETF Premium Ratio and Gambling Preference in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ackert, L. F., & Tian, Y. S. (2008). Arbitrage, liquidity, and the valuation of exchange traded funds. Financial Markets, Institutions & Instruments, 17(5), 331-362.Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5, 31-56.Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785-818.Blalock, G., Just, D. R., & Simon, D. H. (2007). Hitting the jackpot or hitting the skids: Entertainment, poverty, and the demand for state lotteries. American Journal of Economics and Sociology, 66(3), 545-570.Brunnermeier, M. K., & Parker, J. A. (2005). Optimal expectations. American Economic Review, 95(4), 1092-1118.Cochran, W. G. (1957). Experimental designs 2nd ed. John wiley & sons.Garrett, T. A., & Sobel, R. S. (2004). State lottery revenue: The importance of game characteristics. Public Finance Review, 32(3), 313-330.Goetzmann, W. N., & Kumar, A. (2005). Why do individual investors hold under-diversified portfolios? (No. ysm454). Yale School of Management.Hilliard, J. (2014). Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds. Global Finance Journal, 25(2), 90-107.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.Rompotis, G. G. (2010). Does premium impact exchange-traded funds’ returns? Evidence from iShares. Journal of Asset Management, 11(4), 298-308.Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. The Journal of Finance, 40(3), 777-790.Tversky, A., & Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 5(4), 297-323. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100541 en_US
