資訊透明對股票超額報酬之影響 -以英國脫歐公投為例

Abstract

英國脫歐是近年全球性大事件之一，在脫歐公投發生當日，全球股市與債券、黃金市場產生劇烈反應，造成極大的恐慌，使得許多非基本面投資者撤離英國股票市場，原本具備投機行為的投資者變得保守，在過去的文獻中也表明，投資人會在市場情緒較為低落時，轉向較為安全的股票，使得MAX效應消失。\n本篇論文觀察英國股票市場在英國脫歐公投前後是否具有樂透類股票的存在，在資料全期間時，研究結果與文獻結果一致具備MAX效應，然而，對資料區分英國脫歐公投前後兩個時間段以後，發現英國脫歐公投前仍具備MAX效應，但英國脫歐公投以後MAX效應的反轉現象消失且達統計顯著，對三個資料期間的投資組合進行敘述性統計分析，發現具有超額報酬的股票投資組合來源於市場資訊較為透明的股票所建構，使用營利公告區分剔除營利公告之投資組合與含營利公告之投資組合兩者進行比較，並運用雙重排序檢驗的實證結果皆進一步證實了這個觀點。

Brexit is one of the major global events in recent years. On the day of the Brexit referendum, the global stock market, bond markets and gold markets reacted violently, which causes great panic and many non-fundamental investors to leave the UK stock market. Investors’ behavior became conservative. Past empirical researches indicated that investors will switch to invest safer stocks in lower sentiment period and make the MAX effect disappear.\n\nThis paper examines whether lottery stocks exist before and after the Brexit referendum in the UK stock market. During the full data period, the result shows that MAX effect exist, which is consistent with the results of the past literatures. However, compared with the time periods before and after the Brexit referendum, it was found that the MAX effect still existed before the Brexit referendum, but the reversal phenomenon of the MAX effect disappeared after the Brexit referendum and reached statistical significance. The portfolios with excess returns are constructed from stocks with high level of information transparent. Moreover, after using earning announcements to distinguish the portfolios excluding earning announcements and the portfolios with earning announcements for comparison and the double-sorting approach, the empirical results are further confirmed the perspective.