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題名 投資者有限關注與股價表現及投資者行為異質性
The performance of stock price and investor heterogeneity with investor attention.
作者 鄭威
貢獻者 李志宏
鄭威
關鍵詞 有限關注度
投資者異質
股價反轉
高轉送
日期 2016
上傳時間 14-Nov-2016 16:08:56 (UTC+8)
摘要 在傳統的投資者有限關注度對於股價影響的研究中，往往都採取極端收益率、異常成交量等市場指標作為投資者關注度的代理變量。隨著網絡科技的發展，搜索引擎和財經網站的數據更直觀、即時、準確地反應了投資者關注度的變化。本文用和訊網股票關注度作為衡量投資者關注度的代理變量，實證檢驗了和訊網股票關注度所帶來的投資者異質性以及和創業板股價的聯繫。本文的實證結論主要有以下幾點：1.和訊網股票關注度比市場指標為代表的投資者關注度的代理變量更及時地反應投資者的注意力的分佈。2.小額投資者受關注度影響持續淨買入，而大額投資者則在關注度高的期間大量賣出以套利。3.投資者有限關注度對股價當期起正向的壓力，之後迅速反轉。4.在創業板市場上的高轉送(high stock dividends)事件期的股價反轉現象受關注度驅動。
In the traditional studies of investor attention,scholars often use indirect proxies of investor attention .such as extreme return，trading volume and price limit.with the development of network technology,the measures of investor attention from search engine and financial web are more direct ,immediate and accurate.this paper use the measure of investor attention from hexun web to test if investor attention links with investor heterogeneity and GEM stock performance.We find that：1. hexun investor attention captures investor attention in a more timely fashion than the other proxies of investor attention. 2. Retail investors are likely to be net buyers of attention-grabbing stock continuously while large investors keep selling. 3. The investor attention brings the positive pressure to current stock price, and then quickly reverses. 4. The stock price reversal in the period of high stock dividends event is driven by the investor attention.
參考文獻 Grullon G, Weston J P,2004，Advertising, breadth of ownership, and liquidity，Review of Finance 31,1645-1680.
Barber B M, Odean T, 2008, All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, Review of Finance 21, 785-818.
Chan W S, 2003, Stock price reaction to news and no-news: drift and reversal after headlines, Journal of Finance 52,151-186.
Tetlock P. C, 2007, Giving content to investor sentiment: The role of media in the stock market, The Journal of Finance 10, 969-993.
Aboody, D, R. Lehavy, and B. Trueman, 2010, Limited attention and the earnings announcement returns of past stock market winners, Review of Finance82, 251-288.
DellaVigna, Stefano and Joshua Pollet, 2009, Investor Inattention and Friday Earnings Announcements, Journal of Finance 64, 709-749.
Mark S. Seasholes, Guojun Wu, 2007, Predictable behavior, profits, and attention, Journal of Empirical Finance 14,590-610.
Solomon, David H, 2012, Selective Publicity and Stock Prices, Journal of Finance 67, 599-637.
Da Z, Engelberg J, GAO P, 2009, In Search of Attention, The Journal of Finance 66, 1461-1499.
Lee, Charles M. C, Balkrishna Radhakrishna, 2000, Inferring Investor Behavior: Evidence from TORQ Data, Journal of Financial Markets 3, 83-111.
Daniel, Kent D, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.
Engelberg, Joseph, Caroline Sasseville, Jared Williams.Market Madness-The Case of Mad Money58, 351-364.
DellaVigna S, 2009, Psychology and economics: evidence from the field, Journal of Economic Literature 47,315-358.
Louis, Henock and Amy Sun, 2010, Investor inattention and the market reaction to merger announcements, Management Science 56, 1781-1793.
Tim Bollerslev, Lin Peng and Wei Xiong, 2007, Investor Attention and Time-Varying Comovements, Europan Financial Management13, 394-422.
Vlastakis, Nikolaos, Markellos and Raphael N, 2010, Information demand and stock market volatility, Journal of Banking and Finance 36 , 1808-1821.
Eichler S, 2012, Limited Investor Attention and the Mispricing of American Depository Receipts, Economics Letters 115, 490-492.
Michael S, Drake, Darren T, Roulstone and Jacob R, 2012, Investor Information Demand: Evidence from Google Searches Around Earnings Announcements. Journal of Accounting Research 50, 1001–1040.
Mizrach, Bruce and Susan Z. Weerts, 2009, Highs and Lows: A Behavioral and Technical Analysis, Applied Financial Economics 19, 767-778.
饶育蕾,彭叠峰,成大超.媒体注意力会引起股票的异常收益吗?——来自中国股票市场的经验证据[J]. 系统工程理论与实践. 2010(02)。
宋雙傑,曹暉,楊坤.投資者關注與IPO異象——來自網路搜索量的經驗證據[J]. 經濟研究. 2011(01)。
鄒富. 基金業績、投資者有限注意力與基金申購[J]. 上海金融. 2011(12)
俞庆进,张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J]. 金融研究. 2012(08)。
楊曉蘭.我國股票市場的網絡關注度效應-一個基於和訊網股票關注度的實證檢驗[J].浙江大學學報.2011(03)。
肖磊.對我國故事內幕交易的實證研究[J].金融研究2005(09)。
张新,祝红梅.内幕交易的经济学分析[J]. 经济学(季刊). 2003(04)。
李心丹,王冀宁,傅浩. 中国个体证券投资者交易行为的实证研究[J]. 经济研究. 2002(11)。
秦國權.中國高轉送A股上市公司的財務特徵研究-以製造業為例[J].對外經貿大學學報.2014（09）。
付朝勇.創業板高派現、高轉送動因及經濟後果研究-基於影視行業上市公司分析[D].華東理工大學：2014。
鄧雄博.高轉送公告對股票收益率影響的實證研究[J].觀點.2013(03)。
常曉.我國深市A股上市公司高轉送的短期市場反應及合理性分析實證研究[D].西南財經大學:2014。
描述 碩士
國立政治大學
財務管理研究所
103357040
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1033570401
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.author (Authors) 鄭威zh_TW
dc.creator (作者) 鄭威zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 14-Nov-2016 16:08:56 (UTC+8)-
dc.date.available 14-Nov-2016 16:08:56 (UTC+8)-
dc.date.issued (上傳時間) 14-Nov-2016 16:08:56 (UTC+8)-
dc.identifier (Other Identifiers) G1033570401en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/103976-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 103357040zh_TW
dc.description.abstract (摘要) 在傳統的投資者有限關注度對於股價影響的研究中，往往都採取極端收益率、異常成交量等市場指標作為投資者關注度的代理變量。隨著網絡科技的發展，搜索引擎和財經網站的數據更直觀、即時、準確地反應了投資者關注度的變化。本文用和訊網股票關注度作為衡量投資者關注度的代理變量，實證檢驗了和訊網股票關注度所帶來的投資者異質性以及和創業板股價的聯繫。本文的實證結論主要有以下幾點：1.和訊網股票關注度比市場指標為代表的投資者關注度的代理變量更及時地反應投資者的注意力的分佈。2.小額投資者受關注度影響持續淨買入，而大額投資者則在關注度高的期間大量賣出以套利。3.投資者有限關注度對股價當期起正向的壓力，之後迅速反轉。4.在創業板市場上的高轉送(high stock dividends)事件期的股價反轉現象受關注度驅動。zh_TW
dc.description.abstract (摘要) In the traditional studies of investor attention,scholars often use indirect proxies of investor attention .such as extreme return，trading volume and price limit.with the development of network technology,the measures of investor attention from search engine and financial web are more direct ,immediate and accurate.this paper use the measure of investor attention from hexun web to test if investor attention links with investor heterogeneity and GEM stock performance.We find that：1. hexun investor attention captures investor attention in a more timely fashion than the other proxies of investor attention. 2. Retail investors are likely to be net buyers of attention-grabbing stock continuously while large investors keep selling. 3. The investor attention brings the positive pressure to current stock price, and then quickly reverses. 4. The stock price reversal in the period of high stock dividends event is driven by the investor attention.en_US
dc.description.tableofcontents 中文摘要 iii
英文摘要 iv
目錄 v
一、緒論 1
二、文獻回顧和研究假設 2
2.1文獻回顧 2
2.2研究假設 3
三、樣本的選擇與變數的設計 5
3.1樣本的選擇和整理 5
3.2和訊網關注度的描述 6
3.3變數的描述和設計 7
四、實證研究 10
4.1平穩性檢驗 10
4.2投資者關注度指標的衡量 10
4.3投資者關注度和小額投資者 12
4.4關注度和大額投資者行為 14
4.5投資者關注度和股票收益率 16
五、從投資者關注度看待高轉送股價異動 18
5.1高轉送的簡介以及樣本的選取 18
5.2過往的高轉送的解釋 19
5.21流動性假說 19
5.22股利分配的信號傳遞理論 19
5.23股利迎合理論 19
5.3高轉送與投資者關注度 20
5.31 事件窗口期間的CAR 20
5.32事件窗口期間的投資者關注度和投資者行為 21
5.33 回歸分析 23
六、結論 24
參考文獻 25		zh_TW
dc.format.extent 931187 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1033570401en_US
dc.subject (關鍵詞) 有限關注度zh_TW
dc.subject (關鍵詞) 投資者異質zh_TW
dc.subject (關鍵詞) 股價反轉zh_TW
dc.subject (關鍵詞) 高轉送zh_TW
dc.title (題名) 投資者有限關注與股價表現及投資者行為異質性zh_TW
dc.title (題名) The performance of stock price and investor heterogeneity with investor attention.en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Grullon G, Weston J P,2004，Advertising, breadth of ownership, and liquidity，Review of Finance 31,1645-1680.
Barber B M, Odean T, 2008, All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, Review of Finance 21, 785-818.
Chan W S, 2003, Stock price reaction to news and no-news: drift and reversal after headlines, Journal of Finance 52,151-186.
Tetlock P. C, 2007, Giving content to investor sentiment: The role of media in the stock market, The Journal of Finance 10, 969-993.
Aboody, D, R. Lehavy, and B. Trueman, 2010, Limited attention and the earnings announcement returns of past stock market winners, Review of Finance82, 251-288.
DellaVigna, Stefano and Joshua Pollet, 2009, Investor Inattention and Friday Earnings Announcements, Journal of Finance 64, 709-749.
Mark S. Seasholes, Guojun Wu, 2007, Predictable behavior, profits, and attention, Journal of Empirical Finance 14,590-610.
Solomon, David H, 2012, Selective Publicity and Stock Prices, Journal of Finance 67, 599-637.
Da Z, Engelberg J, GAO P, 2009, In Search of Attention, The Journal of Finance 66, 1461-1499.
Lee, Charles M. C, Balkrishna Radhakrishna, 2000, Inferring Investor Behavior: Evidence from TORQ Data, Journal of Financial Markets 3, 83-111.
Daniel, Kent D, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.
Engelberg, Joseph, Caroline Sasseville, Jared Williams.Market Madness-The Case of Mad Money58, 351-364.
DellaVigna S, 2009, Psychology and economics: evidence from the field, Journal of Economic Literature 47,315-358.
Louis, Henock and Amy Sun, 2010, Investor inattention and the market reaction to merger announcements, Management Science 56, 1781-1793.
Tim Bollerslev, Lin Peng and Wei Xiong, 2007, Investor Attention and Time-Varying Comovements, Europan Financial Management13, 394-422.
Vlastakis, Nikolaos, Markellos and Raphael N, 2010, Information demand and stock market volatility, Journal of Banking and Finance 36 , 1808-1821.
Eichler S, 2012, Limited Investor Attention and the Mispricing of American Depository Receipts, Economics Letters 115, 490-492.
Michael S, Drake, Darren T, Roulstone and Jacob R, 2012, Investor Information Demand: Evidence from Google Searches Around Earnings Announcements. Journal of Accounting Research 50, 1001–1040.
Mizrach, Bruce and Susan Z. Weerts, 2009, Highs and Lows: A Behavioral and Technical Analysis, Applied Financial Economics 19, 767-778.
饶育蕾,彭叠峰,成大超.媒体注意力会引起股票的异常收益吗?——来自中国股票市场的经验证据[J]. 系统工程理论与实践. 2010(02)。
宋雙傑,曹暉,楊坤.投資者關注與IPO異象——來自網路搜索量的經驗證據[J]. 經濟研究. 2011(01)。
鄒富. 基金業績、投資者有限注意力與基金申購[J]. 上海金融. 2011(12)
俞庆进,张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J]. 金融研究. 2012(08)。
楊曉蘭.我國股票市場的網絡關注度效應-一個基於和訊網股票關注度的實證檢驗[J].浙江大學學報.2011(03)。
肖磊.對我國故事內幕交易的實證研究[J].金融研究2005(09)。
张新,祝红梅.内幕交易的经济学分析[J]. 经济学(季刊). 2003(04)。
李心丹,王冀宁,傅浩. 中国个体证券投资者交易行为的实证研究[J]. 经济研究. 2002(11)。
秦國權.中國高轉送A股上市公司的財務特徵研究-以製造業為例[J].對外經貿大學學報.2014（09）。
付朝勇.創業板高派現、高轉送動因及經濟後果研究-基於影視行業上市公司分析[D].華東理工大學：2014。
鄧雄博.高轉送公告對股票收益率影響的實證研究[J].觀點.2013(03)。
常曉.我國深市A股上市公司高轉送的短期市場反應及合理性分析實證研究[D].西南財經大學:2014。		zh_TW