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題名 異質信念與臺灣上市證券交易的價量實證分析
Heterogeneous Beliefs in Price-Volume Relationship of Taiwan Stock Market作者 劉龍鵬
Liu, Lung Peng貢獻者 毛維凌
Mao,Wei Lin
劉龍鵬
Liu, Lung Peng關鍵詞 異質信念
資產定價
股市價量關係
資訊逐步流通
Heterogeneous Beliefs
Asset Pricing
Stock Price-Volume Relationship
Information Gradual Flow日期 2008 上傳時間 1-Nov-2013 11:43:01 (UTC+8) 摘要 異質信念(Heterogeneous beliefs)修正傳統資產定價理論中同質信念(Homogeneous beliefs)的基本假設，探討投資者間所持有的不同資訊，以及對於資訊的不同參考程度，如何影響資產定價。本文試圖以Banerjee(2008)的模型，估計出臺灣投資者對於台灣各家公司股票的價格參考密度；並且透過外部研究者的預測作為市場不同信念的代理變數，探討異質信念對於臺灣股市交易的價量影響。經由實證結果發現，在台灣的股市交易市場上，當市場的資訊流通速度愈快，投資者對公開資訊的參考密度愈低，投資者愈易依賴自己所持有的私人資訊。當投資者的行為決策將愈顯紛歧時，對交易量和報酬率的影響皆為正。
Heterogeneous beliefs, which revise the basic assumption of traditional asset pricing theory- Homogeneous beliefs,study the impact on asset pricing by different information owned and referred by investors.I use the model derived from Banerjee(2008)to estimate the degree how Taiwan investors will take into account stock prices when they make investment decisions. Also, I study how heterogeneous beliefs of investors influence stock prices and trading volume in Taiwan stock market, using predictions of external researchers as a proxy variable of dispersion in beliefs.The empirical results show that the degree which investors take into account prices will be lower when a faster information flowing speed exists in Taiwan stock market.When investors rely more on their private information,their investment decision will become much diversified. Dispersion in beliefs has a positive influence on stock trading volume and return.參考文獻 王鳳榮．趙建 (2006), “基於投資者異質性信念的證券定價模型”, 《經濟管理》, 18, 41-46。張維．張永杰(2006) , “異質信念﹑賣空限制與風險資產價格”, 《管理科學學報》,4, 58-62。陳國進．王景(2007), “異質信念與金融異象研究新發展”, 《經濟學動態》, 9, 75-79。Banerjee, Snehal (2008), “Learning from prices and the dispersion in beliefs”, Working paper, Kelogg School of management, Northwestern University.Barth, M and Hutton, A. (2000), “Information intermediaries and the pricing of accruals”, Working paper, Stanford University.Brown, L. D. and Rozeff, M. S. (1979), “Adaptive expectations, time-series models, and analyst forecast revision”, Journal of Accounting Research,17(2), 341–351.Brown, R. Hagerman P. A. Griffin, L. D. and Zmijewski, M. (1987), “Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings”, Journal of Accounting and Economics, 19(1), 61–87.Campbell, John Y. and Cochrane, John H. (1999), “By force of habit: A comsumption-based explanation of aggregate stock market behavior”, The Journal of Political Economy, 107(2), 205–251.Doukas, F. Kim, John A. and Pantzalis, C. (2006),“Divergence of opinion and equity returns”, Journal of Financial and Quantitative Analysis, 41(3), 573–605.Francis, J. and Soffer, L. (1997), “The relative informativeness of analysts’stock recommendations and earnings forecast revisions”, Journal of Accounting Research, 35(2), 193–211.Givoly, Dan and Lakonishok, J. (1979), “The information content of financial analysts’ forecasts of earnings: Some evidence on semi-strong inefficiency”, Journal of Accounting and Economics, 1(3), 165–185.Harris, Milton and Raviv, A. (1993), “Differences of opinion make a horse race”, The Review of Financial Studies, 6(3), 473–506.Harrison, M. J. and Kreps, D. M. (1979), “Martingales and arbitrage in multiperiod securities markets”, Journal of Economics Theory, 20, 381–408.He, Xue-Zhong and Shi, L. (2007), “Heterogeneity, bounded rationality, and market dysfunctionality”, Technical report, University of Technology, Sydney.Heij, P. de Boer P. H. Franses T. Kloek, C. and k. van Dijk, H. (2004), Econometric Methods with Applications in Business and Economics, Oxford: Oxford University Press, 1st edition.Hong, H. and Stein, J. C. (2007), “Disagreement and the stock market”, Journal of Economic Perspectives, 21(2), 109–128.Hong, H. and Stein, Jeremy C. (1999), “A unified theory of underreaction, momentum trading, and overreaction in asset markets”, The Journal of Finance, 54(6), 2143–2183.Hong, T. Lim, H. and Stein, J. C. (2000), “Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies”, The Journal ofFinance, 55(1), 265–295.Jiang, D. Xu, G. and Yao, T. (2005), “The information content idiosyncratic volatility”, Technical report, University of Arizona.Kandel, E. and Pearson, N. D. (1995), “Differential interpretation of public signals and trade in speculative markets”, The Journal of Political Economy, 103(4), 831–872.La Porta, J. Lakonishok A. Shleifer, R. And Vishny, R. (1997), “Good news for value stocks: Further evidence on market efficiency”, The Journal of Finance, 52(2), 859–874.Lang, Mark and Lundholm, R. (1993), “Cross-sectional determinants of analyst ratings of corporate disclosures”, Journal of Accounting Research,31(2), 246–271.Lys, T. and Shon, S. (1990), “The association between revisions of financial analysts’earnings forecasts and security-price changes”, Journal of Accounting and Economics, 13(4), 341–363.Miller, Edward M. (1977), “Risk, uncertainty and divergence of opinion”, The Journal of Finance, 32(4), 1151–1168.Shefrin, H. and Statman, M. (2000), “Behavioral portfolio theory”, The Journal of Financial and Quantitative Analysis, 35(2), 127–151.Tirole, J (1982), “On the possibility of speculation under rational expectations”, Econometrica, 50(5), 1163–1181.Varian, Hal R. (1985), “Divergence of opinion in complete markets: a note”, The Journal of Finance, 32(4), 1151–1168. 描述 碩士
國立政治大學
經濟學系
96258026
97資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096258026 資料類型 thesis dc.contributor.advisor 毛維凌 zh_TW dc.contributor.advisor Mao,Wei Lin en_US dc.contributor.author (Authors) 劉龍鵬 zh_TW dc.contributor.author (Authors) Liu, Lung Peng en_US dc.creator (作者) 劉龍鵬 zh_TW dc.creator (作者) Liu, Lung Peng en_US dc.date (日期) 2008 en_US dc.date.accessioned 1-Nov-2013 11:43:01 (UTC+8) - dc.date.available 1-Nov-2013 11:43:01 (UTC+8) - dc.date.issued (上傳時間) 1-Nov-2013 11:43:01 (UTC+8) - dc.identifier (Other Identifiers) G0096258026 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/61485 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 96258026 zh_TW dc.description (描述) 97 zh_TW dc.description.abstract (摘要) 異質信念(Heterogeneous beliefs)修正傳統資產定價理論中同質信念(Homogeneous beliefs)的基本假設，探討投資者間所持有的不同資訊，以及對於資訊的不同參考程度，如何影響資產定價。本文試圖以Banerjee(2008)的模型，估計出臺灣投資者對於台灣各家公司股票的價格參考密度；並且透過外部研究者的預測作為市場不同信念的代理變數，探討異質信念對於臺灣股市交易的價量影響。經由實證結果發現，在台灣的股市交易市場上，當市場的資訊流通速度愈快，投資者對公開資訊的參考密度愈低，投資者愈易依賴自己所持有的私人資訊。當投資者的行為決策將愈顯紛歧時，對交易量和報酬率的影響皆為正。 zh_TW dc.description.abstract (摘要) Heterogeneous beliefs, which revise the basic assumption of traditional asset pricing theory- Homogeneous beliefs,study the impact on asset pricing by different information owned and referred by investors.I use the model derived from Banerjee(2008)to estimate the degree how Taiwan investors will take into account stock prices when they make investment decisions. Also, I study how heterogeneous beliefs of investors influence stock prices and trading volume in Taiwan stock market, using predictions of external researchers as a proxy variable of dispersion in beliefs.The empirical results show that the degree which investors take into account prices will be lower when a faster information flowing speed exists in Taiwan stock market.When investors rely more on their private information,their investment decision will become much diversified. Dispersion in beliefs has a positive influence on stock trading volume and return. en_US dc.description.tableofcontents 1 緒論 1 1.1 研究動機與目的…………………………………………………………… 1 1.2 本文架構…………………………………………………………………… 32 文獻回顧 5 2.1 異質信念模型……………………………………………………………… 5 2.2 專家預測之相關文獻……………………………………………………… 73 模型設計 11 3.1 Hong and Stein (1999) 模型-訊息逐步流通………………… 11 3.1.1 消息觀察者的設定…………………………………………… 12 3.2 Banerjee (2008) 模型……………………………………………… 15 3.2.1 Banerjee (2008)模型之均衡…………………………… 16 3.2.2 報酬率、交易量和投資者意見…………………………………214 資料處理 25 4.1 資料來源……………………………………………………………………25 4.2 計量方法……………………………………………………………………26 4.2.1 Fama-Macbeth迴歸………………………………………… 26 4.2.2 Newey-West調整…………………………………………… 27 4.3 模型測試……………………………………………………………………29 4.4 變數介紹……………………………………………………………………305 實證結果 31 5.1 異質信仰與五種依變數關係………………………………………………31 5.2 對市場價格參考密度的分佈………………………………………………31 5.3 影響市場價格參考密度的因素……………………………………………33 5.4 異質信念的分組模擬………………………………………………………356 結語 38參考文獻 40 zh_TW dc.format.extent 1409320 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096258026 en_US dc.subject (關鍵詞) 異質信念 zh_TW dc.subject (關鍵詞) 資產定價 zh_TW dc.subject (關鍵詞) 股市價量關係 zh_TW dc.subject (關鍵詞) 資訊逐步流通 zh_TW dc.subject (關鍵詞) Heterogeneous Beliefs en_US dc.subject (關鍵詞) Asset Pricing en_US dc.subject (關鍵詞) Stock Price-Volume Relationship en_US dc.subject (關鍵詞) Information Gradual Flow en_US dc.title (題名) 異質信念與臺灣上市證券交易的價量實證分析 zh_TW dc.title (題名) Heterogeneous Beliefs in Price-Volume Relationship of Taiwan Stock Market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 王鳳榮．趙建 (2006), “基於投資者異質性信念的證券定價模型”, 《經濟管理》, 18, 41-46。張維．張永杰(2006) , “異質信念﹑賣空限制與風險資產價格”, 《管理科學學報》,4, 58-62。陳國進．王景(2007), “異質信念與金融異象研究新發展”, 《經濟學動態》, 9, 75-79。Banerjee, Snehal (2008), “Learning from prices and the dispersion in beliefs”, Working paper, Kelogg School of management, Northwestern University.Barth, M and Hutton, A. (2000), “Information intermediaries and the pricing of accruals”, Working paper, Stanford University.Brown, L. D. and Rozeff, M. S. (1979), “Adaptive expectations, time-series models, and analyst forecast revision”, Journal of Accounting Research,17(2), 341–351.Brown, R. Hagerman P. A. Griffin, L. D. and Zmijewski, M. (1987), “Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings”, Journal of Accounting and Economics, 19(1), 61–87.Campbell, John Y. and Cochrane, John H. (1999), “By force of habit: A comsumption-based explanation of aggregate stock market behavior”, The Journal of Political Economy, 107(2), 205–251.Doukas, F. Kim, John A. and Pantzalis, C. (2006),“Divergence of opinion and equity returns”, Journal of Financial and Quantitative Analysis, 41(3), 573–605.Francis, J. and Soffer, L. (1997), “The relative informativeness of analysts’stock recommendations and earnings forecast revisions”, Journal of Accounting Research, 35(2), 193–211.Givoly, Dan and Lakonishok, J. (1979), “The information content of financial analysts’ forecasts of earnings: Some evidence on semi-strong inefficiency”, Journal of Accounting and Economics, 1(3), 165–185.Harris, Milton and Raviv, A. (1993), “Differences of opinion make a horse race”, The Review of Financial Studies, 6(3), 473–506.Harrison, M. J. and Kreps, D. M. (1979), “Martingales and arbitrage in multiperiod securities markets”, Journal of Economics Theory, 20, 381–408.He, Xue-Zhong and Shi, L. (2007), “Heterogeneity, bounded rationality, and market dysfunctionality”, Technical report, University of Technology, Sydney.Heij, P. de Boer P. H. Franses T. Kloek, C. and k. van Dijk, H. (2004), Econometric Methods with Applications in Business and Economics, Oxford: Oxford University Press, 1st edition.Hong, H. and Stein, J. C. (2007), “Disagreement and the stock market”, Journal of Economic Perspectives, 21(2), 109–128.Hong, H. and Stein, Jeremy C. (1999), “A unified theory of underreaction, momentum trading, and overreaction in asset markets”, The Journal of Finance, 54(6), 2143–2183.Hong, T. Lim, H. and Stein, J. C. (2000), “Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies”, The Journal ofFinance, 55(1), 265–295.Jiang, D. Xu, G. and Yao, T. (2005), “The information content idiosyncratic volatility”, Technical report, University of Arizona.Kandel, E. and Pearson, N. D. (1995), “Differential interpretation of public signals and trade in speculative markets”, The Journal of Political Economy, 103(4), 831–872.La Porta, J. Lakonishok A. Shleifer, R. And Vishny, R. (1997), “Good news for value stocks: Further evidence on market efficiency”, The Journal of Finance, 52(2), 859–874.Lang, Mark and Lundholm, R. (1993), “Cross-sectional determinants of analyst ratings of corporate disclosures”, Journal of Accounting Research,31(2), 246–271.Lys, T. and Shon, S. (1990), “The association between revisions of financial analysts’earnings forecasts and security-price changes”, Journal of Accounting and Economics, 13(4), 341–363.Miller, Edward M. (1977), “Risk, uncertainty and divergence of opinion”, The Journal of Finance, 32(4), 1151–1168.Shefrin, H. and Statman, M. (2000), “Behavioral portfolio theory”, The Journal of Financial and Quantitative Analysis, 35(2), 127–151.Tirole, J (1982), “On the possibility of speculation under rational expectations”, Econometrica, 50(5), 1163–1181.Varian, Hal R. (1985), “Divergence of opinion in complete markets: a note”, The Journal of Finance, 32(4), 1151–1168. zh_TW
