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題名 產業領導企業非系統性漲跌是否影響同業
If a leader sneezes, does everyone catch a cold? What if a leader wins a lottery?作者 商復一
Shang, Fuh-Yi貢獻者 周冠男
Chou, Robin K.
商復一
Shang, Fuh-Yi關鍵詞 有限注意力
非系統性事件
異常報酬
搜尋量指數
產業聯動
Limited attention
Non-systematic event
Abnormal return
Search volume index
Industry co-movement日期 2023 上傳時間 6-Jul-2023 16:59:55 (UTC+8) 摘要 本文探討同產業內領導公司的非系統事件對於同業的影響。以美國的電腦程式設計、資料處理、其他電腦相關服務產業以及藥物產業為例，運用Google的搜尋量指數以及單日漲跌幅作為篩選過濾出可能的領導公司非系統性事件日期，並藉此建立虛擬變數、對產業內公司做日頻率縱橫資料分析。本文發現領導公司正面非系統性事件對於同業會造成顯著較高的異常報酬；反之，負面非系統性事件對於同業會造成顯著較低的異常報酬。上述單日報酬的影響幅度可達10基點。主要的異常報酬波動集中在非系統性事件當日至兩天後；其中市值將影響異常報酬波動發生以及回穩的時間點，大市值公司最快出現異常報酬波動，同時亦較快回穩。後續透過產業指數進一步篩選非系統性事件，並發現投資人較容易辨識正面事件的非系統性；對於負面事件較容易解讀為系統性事件，且反應甚至較系統性事件持久。
This paper aims to explore the effects of the non-systematic events from industry-leading companies have on the companies in the same industry. By utilizing Google Search Volume Index (SVI) and single-day return, I created a filter that can list out the possible days on which non-systematic events of industry-leading company might happen. Based on the filter, I built dummy variables for all the possible events in order to conduct a daily panel data analysis. The Computer Programming, Data Processing, and other Computer Related Services industry and the Drug industry are included in this paper as examples. This paper found that positive non-systematic events of industry-leading company induce higher abnormal returns in companies from the same industry. On the contrary, negative ones induce lower abnormal returns. The fluctuation of abnormal return can be up to 10 bps, and appears on the event days or around two days of it. It is worth noting that capitalization is related to the time point of the occurrence of abnormal return fluctuations and the subsequent stabilization. Companies with larger capitalization face the fluctuation first and stabilize faster. I also conduct a stricter screening on systematic events and found that investors tend to correctly identify positive non-systematic events, but for negative ones, investors act as if they are systematic.參考文獻 Andrei, D., Hasler, M. (2015). Investor attention and stock market volatility. The Review of Financial Studies, 28, 33-72.Badrinath, S. G., Kale, J. R., Noe, T. H. (1995). Of shepherds, sheep, and the cross-autocorrelations in equity returns. The Review of Financial Studies, 8, 401-430.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, 785-818.Barberis, N., Shleifer, A. (2003). Style investing. Journal of Financial Economics, 68, 161-199.Brennan, M. J., Jegadeesh, N., Swaminathan, B. (1993). Investment analysis and the adjustment of stock prices to common information. The Review of Financial Studies, 6, 799-824.Chordia, T., Huh, S. W., Subrahmanyam, A. (2007). The cross-section of expected trading activity. The Review of Financial Studies, 20, 709-740.Da, Z., Engelberg, J., Gao, P. (2011). In search of attention. Journal of Finance, 66, 1461-1499.Gervais, S., Kaniel, R., Mingelgrin, D. H. (2001). The high-volume return premium. Journal of Finance, 56, 877-919.Hirshleifer, D., Lim, S. S., Teoh, S. H. (2011). Limited investor attention and stock market misreactions to accounting information. The Review of Asset Pricing Studies, 1, 35-73.Hirshleifer, D., Teoh, S. (2003). Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics, 36, 337-386.Hou, K. (2007). Industry information diffusion and the lead-lag effect in stock returns. The Review of Financial Studies, 20, 1113-1138.Lo, A. W., MacKinlay, A. C. (1990). When are contrarian profits due to stock market overreaction? The Review of Financial Studies, 3, 175-205.Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483-510.Odean, Terrance. (1999). Do investors trade too much? American Economic Review, 89, 1279-1298.Peng, L. (2005). Learning with information capacity constraints. The Journal of Financial and Quantitative Analysis, 40, 307-329.Peng, L., Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80, 563-602.Sofia B. Ramos, Pedro Latoeiro, Helena Veiga. (2020). Limited attention, salience of information and stock market activity. Economic Modelling, 87, 92-108.Simon, H. A. (1955). A behavioral model of rational choice. The Quarterly Journal of Economics, 69, 99-118.Sims, C. A. (2003). Implications of rational inattention. Journal of Monetary Economics, 50, 665-690. 描述 碩士
國立政治大學
財務管理學系
110357009資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357009 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) 商復一 zh_TW dc.contributor.author (Authors) Shang, Fuh-Yi en_US dc.creator (作者) 商復一 zh_TW dc.creator (作者) Shang, Fuh-Yi en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:59:55 (UTC+8) - dc.date.available 6-Jul-2023 16:59:55 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:59:55 (UTC+8) - dc.identifier (Other Identifiers) G0110357009 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145919 - 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) 110357009 zh_TW dc.description.abstract (摘要) 本文探討同產業內領導公司的非系統事件對於同業的影響。以美國的電腦程式設計、資料處理、其他電腦相關服務產業以及藥物產業為例，運用Google的搜尋量指數以及單日漲跌幅作為篩選過濾出可能的領導公司非系統性事件日期，並藉此建立虛擬變數、對產業內公司做日頻率縱橫資料分析。本文發現領導公司正面非系統性事件對於同業會造成顯著較高的異常報酬；反之，負面非系統性事件對於同業會造成顯著較低的異常報酬。上述單日報酬的影響幅度可達10基點。主要的異常報酬波動集中在非系統性事件當日至兩天後；其中市值將影響異常報酬波動發生以及回穩的時間點，大市值公司最快出現異常報酬波動，同時亦較快回穩。後續透過產業指數進一步篩選非系統性事件，並發現投資人較容易辨識正面事件的非系統性；對於負面事件較容易解讀為系統性事件，且反應甚至較系統性事件持久。 zh_TW dc.description.abstract (摘要) This paper aims to explore the effects of the non-systematic events from industry-leading companies have on the companies in the same industry. By utilizing Google Search Volume Index (SVI) and single-day return, I created a filter that can list out the possible days on which non-systematic events of industry-leading company might happen. Based on the filter, I built dummy variables for all the possible events in order to conduct a daily panel data analysis. The Computer Programming, Data Processing, and other Computer Related Services industry and the Drug industry are included in this paper as examples. This paper found that positive non-systematic events of industry-leading company induce higher abnormal returns in companies from the same industry. On the contrary, negative ones induce lower abnormal returns. The fluctuation of abnormal return can be up to 10 bps, and appears on the event days or around two days of it. It is worth noting that capitalization is related to the time point of the occurrence of abnormal return fluctuations and the subsequent stabilization. Companies with larger capitalization face the fluctuation first and stabilize faster. I also conduct a stricter screening on systematic events and found that investors tend to correctly identify positive non-systematic events, but for negative ones, investors act as if they are systematic. en_US dc.description.tableofcontents Section I Introduction 1Section II Data and Methodology 4II.I Sample Selection 4II.II Variables 5II.III Model Design 8Section III Empirical Results 10III.I Descriptive Statistics 10III.II Empirical Analysis 11Section IV Empirical Results with Additional Filter 20Section V Conclusion 28Reference 29 zh_TW dc.format.extent 1455364 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357009 en_US dc.subject (關鍵詞) 有限注意力 zh_TW dc.subject (關鍵詞) 非系統性事件 zh_TW dc.subject (關鍵詞) 異常報酬 zh_TW dc.subject (關鍵詞) 搜尋量指數 zh_TW dc.subject (關鍵詞) 產業聯動 zh_TW dc.subject (關鍵詞) Limited attention en_US dc.subject (關鍵詞) Non-systematic event en_US dc.subject (關鍵詞) Abnormal return en_US dc.subject (關鍵詞) Search volume index en_US dc.subject (關鍵詞) Industry co-movement en_US dc.title (題名) 產業領導企業非系統性漲跌是否影響同業 zh_TW dc.title (題名) If a leader sneezes, does everyone catch a cold? What if a leader wins a lottery? en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Andrei, D., Hasler, M. (2015). Investor attention and stock market volatility. The Review of Financial Studies, 28, 33-72.Badrinath, S. G., Kale, J. R., Noe, T. H. (1995). Of shepherds, sheep, and the cross-autocorrelations in equity returns. The Review of Financial Studies, 8, 401-430.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, 785-818.Barberis, N., Shleifer, A. (2003). Style investing. Journal of Financial Economics, 68, 161-199.Brennan, M. J., Jegadeesh, N., Swaminathan, B. (1993). Investment analysis and the adjustment of stock prices to common information. The Review of Financial Studies, 6, 799-824.Chordia, T., Huh, S. W., Subrahmanyam, A. (2007). The cross-section of expected trading activity. The Review of Financial Studies, 20, 709-740.Da, Z., Engelberg, J., Gao, P. (2011). In search of attention. Journal of Finance, 66, 1461-1499.Gervais, S., Kaniel, R., Mingelgrin, D. H. (2001). The high-volume return premium. Journal of Finance, 56, 877-919.Hirshleifer, D., Lim, S. S., Teoh, S. H. (2011). Limited investor attention and stock market misreactions to accounting information. The Review of Asset Pricing Studies, 1, 35-73.Hirshleifer, D., Teoh, S. (2003). Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics, 36, 337-386.Hou, K. (2007). Industry information diffusion and the lead-lag effect in stock returns. The Review of Financial Studies, 20, 1113-1138.Lo, A. W., MacKinlay, A. C. (1990). When are contrarian profits due to stock market overreaction? The Review of Financial Studies, 3, 175-205.Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483-510.Odean, Terrance. (1999). Do investors trade too much? American Economic Review, 89, 1279-1298.Peng, L. (2005). Learning with information capacity constraints. The Journal of Financial and Quantitative Analysis, 40, 307-329.Peng, L., Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80, 563-602.Sofia B. Ramos, Pedro Latoeiro, Helena Veiga. (2020). Limited attention, salience of information and stock market activity. Economic Modelling, 87, 92-108.Simon, H. A. (1955). A behavioral model of rational choice. The Quarterly Journal of Economics, 69, 99-118.Sims, C. A. (2003). Implications of rational inattention. Journal of Monetary Economics, 50, 665-690. zh_TW
