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題名 投資人情緒是否影響資訊解讀-以月營收揭露為例
The effect on sales information on sentiment and stock returns
作者 張軒瑜
貢獻者 周冠男
張軒瑜
關鍵詞 月營收資訊
股票報酬
投資人情緒
行為財務學
Sales information
Stock returns
Investor sentiment
Behavioral finance
日期 2017
上傳時間 11-Jul-2017 11:28:20 (UTC+8)
摘要 本研究旨在探討投資人情緒與月營收資訊是否能夠解釋台灣股票報酬，以及投資人情緒是否影響對於月營收資訊的解讀。實證結果發現，前期月營收資訊、前期投資人情緒以及兩者乘積對當期股票報酬有顯著的正向影響。表示月營收資訊的揭露能帶給投資人資訊，作為交易時的考量，而前期投資人情緒能夠部分解釋當期股票報酬。兩者乘積表示營收資訊和投資人情緒為同期時，投資人對於資訊的解讀會受到情緒影響，進而影響股票的報酬。進一步探討，當投資人面對月營收成長率高、月營收波動低時，對於其月營收資訊的解讀傾向伴隨著情緒。
This study wants to discuss whether sales information and investor sentiment could explain Taiwan stock market and whether investor sentiment affects their interpretation on sales information. The empirical results show that the sales information last period, investor sentiment last period and the multiplication of these two are significantly positively correlated to current stock returns. It indicates that the sales disclosure is informative to investors as a consideration while trading and investor sentiment can partially explain the stock returns. The estimate of multiplication which is positive indicates that when sales information and investor sentiment are in the same period, investors’ interpretation on sales information would be affected by their sentiment, and further affecting the stock returns. We further find that when companies have the characteristics of high sales growth rate and low sales volatility, their sales information tends to be interpreted by investors emotionally.
參考文獻 The Research Center for Taiwan Economic Development (RCTED), National Central University http://rcted.ncu.edu.tw/upload.phtml
簡雪芳 （1998），「月營收公告資訊內涵之相關研究」，國立台灣大學商學研究所，博士論文 Chien (1998)
何秀芳 （2000），「再論月營收公告之資訊內涵」，國立台灣大學會計學研究所，碩士論文 Ho (2000)
周賓凰、張宇志、林美珍 （2007），「投資人情緒與股票報酬互動關係」，《證券市場發展季刊》，19卷2期，頁153-190 Chou, Chang and Lin (2007)
陳彥易 （2016），「上市櫃公司每月營收成長率資訊價值探討」，國立中央大學財務金融系在職專班，碩士論文 Chen (2016)
Baker, M. and J. Wurgler (2006), “Investor Sentiment and the Cross Section of Stock Returns,” Journal of Finance, 61, 1645-1680.
Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 159-178.
Black, F. (1986). Noise. The journal of finance, 41(3), 528-543.
Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.
DeLong, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann, 1990, Noise trader risk in financial market, Journal of Political Economy 98, 703-738
Fama, E. F. and K. R. French (1992), “The Cross-Section of Expected Stock Returns,” Journal of Finance, 47, 427-465.
Fama, E. F. and K. R. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Finance, 33, 3-56.
Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032.
Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the econometric society, 263-291.
Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2000). Losing sleep at the market: The daylight saving anomaly. The American Economic Review, 90(4), 1005-1011.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
Saunders, E. M. (1993). Stock prices and Wall Street weather. The American Economic Review, 83(5), 1337-1345.
描述 碩士
國立政治大學
財務管理研究所
104357019
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357019
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 張軒瑜zh_TW
dc.creator (作者) 張軒瑜zh_TW
dc.date (日期) 2017en_US
dc.date.accessioned 11-Jul-2017 11:28:20 (UTC+8)-
dc.date.available 11-Jul-2017 11:28:20 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2017 11:28:20 (UTC+8)-
dc.identifier (Other Identifiers) G0104357019en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110794-
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) 104357019zh_TW
dc.description.abstract (摘要) 本研究旨在探討投資人情緒與月營收資訊是否能夠解釋台灣股票報酬，以及投資人情緒是否影響對於月營收資訊的解讀。實證結果發現，前期月營收資訊、前期投資人情緒以及兩者乘積對當期股票報酬有顯著的正向影響。表示月營收資訊的揭露能帶給投資人資訊，作為交易時的考量，而前期投資人情緒能夠部分解釋當期股票報酬。兩者乘積表示營收資訊和投資人情緒為同期時，投資人對於資訊的解讀會受到情緒影響，進而影響股票的報酬。進一步探討，當投資人面對月營收成長率高、月營收波動低時，對於其月營收資訊的解讀傾向伴隨著情緒。zh_TW
dc.description.abstract (摘要) This study wants to discuss whether sales information and investor sentiment could explain Taiwan stock market and whether investor sentiment affects their interpretation on sales information. The empirical results show that the sales information last period, investor sentiment last period and the multiplication of these two are significantly positively correlated to current stock returns. It indicates that the sales disclosure is informative to investors as a consideration while trading and investor sentiment can partially explain the stock returns. The estimate of multiplication which is positive indicates that when sales information and investor sentiment are in the same period, investors’ interpretation on sales information would be affected by their sentiment, and further affecting the stock returns. We further find that when companies have the characteristics of high sales growth rate and low sales volatility, their sales information tends to be interpreted by investors emotionally.en_US
dc.description.tableofcontents 1. Introduction 1
1.1 Motivation of the study 1
2. Literature review 2
2.1 Accounting Information 2
2.2 Investor Sentiment 2
3. Data and Model Construction 5
3.1 Data 5
3.2 Model Construction 6
3.3 Definition and hypothesis of control variables and
independent variables 6
4. Empirical Results 9
4.1 Descriptive Statistics 9
4.2 The Regression Result in Overall Companies 10
4.3 The Regression Result Categorized by Sales
Growth Rate 12
4.4 The Regression Result Categorized by Sales
volatility 14
4.5 The Regression Result in Different Industries 17
5. Conclusion and Suggestions 20
6. Reference 21		zh_TW
dc.format.extent 1000320 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357019en_US
dc.subject (關鍵詞) 月營收資訊zh_TW
dc.subject (關鍵詞) 股票報酬zh_TW
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 行為財務學zh_TW
dc.subject (關鍵詞) Sales informationen_US
dc.subject (關鍵詞) Stock returnsen_US
dc.subject (關鍵詞) Investor sentimenten_US
dc.subject (關鍵詞) Behavioral financeen_US
dc.title (題名) 投資人情緒是否影響資訊解讀-以月營收揭露為例zh_TW
dc.title (題名) The effect on sales information on sentiment and stock returnsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) The Research Center for Taiwan Economic Development (RCTED), National Central University http://rcted.ncu.edu.tw/upload.phtml
簡雪芳 （1998），「月營收公告資訊內涵之相關研究」，國立台灣大學商學研究所，博士論文 Chien (1998)
何秀芳 （2000），「再論月營收公告之資訊內涵」，國立台灣大學會計學研究所，碩士論文 Ho (2000)
周賓凰、張宇志、林美珍 （2007），「投資人情緒與股票報酬互動關係」，《證券市場發展季刊》，19卷2期，頁153-190 Chou, Chang and Lin (2007)
陳彥易 （2016），「上市櫃公司每月營收成長率資訊價值探討」，國立中央大學財務金融系在職專班，碩士論文 Chen (2016)
Baker, M. and J. Wurgler (2006), “Investor Sentiment and the Cross Section of Stock Returns,” Journal of Finance, 61, 1645-1680.
Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 159-178.
Black, F. (1986). Noise. The journal of finance, 41(3), 528-543.
Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.
DeLong, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann, 1990, Noise trader risk in financial market, Journal of Political Economy 98, 703-738
Fama, E. F. and K. R. French (1992), “The Cross-Section of Expected Stock Returns,” Journal of Finance, 47, 427-465.
Fama, E. F. and K. R. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Finance, 33, 3-56.
Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032.
Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the econometric society, 263-291.
Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2000). Losing sleep at the market: The daylight saving anomaly. The American Economic Review, 90(4), 1005-1011.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
Saunders, E. M. (1993). Stock prices and Wall Street weather. The American Economic Review, 83(5), 1337-1345.		zh_TW