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題名 投資者情緒與展望理論效應
Investor Sentiment and Prospect Theory Effect
作者 韓靖
Han, Jing
貢獻者 岳夢蘭<br>陳鴻毅
Yueh, Meng-Lan<br>Chen, Hong-Yi
韓靖
Han, Jing
關鍵詞 展望理論
概率加權
損失厭惡
股票回報率
Prospect theory
Probability weighting
Loss aversion
Stock returns
日期 2020
上傳時間 2-Sep-2020 11:43:56 (UTC+8)
摘要 在展望理論中，由概率加權、損失厭惡和凹凸性構成的股票價值函數與股票的預期收益率負相關。本文發現概率加權或者損失厭惡的部分對股票收益的影響隨著投資者情緒水平的變化而改變。具體來說，在高市場情緒時期，概率加權在預測股票收益方面發揮著最重要的作用，此時投資者會高估高概率加權值的股票。損失厭惡能夠顯著預測低市場情緒時期的股票回報，此時低損失厭惡值的股票被低估。在考察不同性質股票的特征後，高概率加權的股票擁有較高的過去平均收益率、較高的最大值和較大的偏態，類似於在高市場情緒時期吸引投資者的彩票型股票；低損失厭惡值的股票具有較低的過去平均回報率、較低的最低回報率和高波動度，在低情緒時期對投資者不具有吸引力。
In prospect theory the value function of a stock, which consists of probability weighting, loss aversion, and concavity/convexity, is negatively related to its expected return. In this paper, I find the effect of probability weighting or loss aversion on stock returns varies with
investor sentiment levels. Specifically, probability weighting plays the most important role in predicting stock returns following high-sentiment periods, but investors tend to overvalue stocks with high probability weighting. Loss aversion predicts stock returns following low sentiment periods, but stocks with low loss aversion are undervalued. After examining the characteristics of stocks, I suggest that stocks with high probability weighting are those with high past average returns, high maximum, and high skewness, resembling lottery-type stocks attractive to investors during high-sentiment periods; stocks with low loss aversion have low past average returns, low minimum, and high volatility, which are unappealing to investors during low-sentiment periods.
參考文獻 Aboody, David et al. (2018). “Overnight returns and firm-specific investor sentiment”. In: Journal of Financial and Quantitative Analysis 53.2, pp. 485–505.

Amihud, Yakov (2002). “Illiquidity and stock returns: cross-section and time-series effects”. In: Journal of Financial Markets 5.1, pp. 31–56.

Ang, Andrew et al. (2006). “The cross-section of volatility and expected returns”. In: The Journal of Finance 61.1, pp. 259–299.

— (2009). “High idiosyncratic volatility and low returns: International and further US evidence”. In: Journal of Financial Economics 91.1, pp. 1–23.

Antoniou, Constantinos, John A Doukas, and Avanidhar Subrahmanyam (2016). “Investor sentiment, beta, and the cost of equity capital”. In: Management Science 62.2, pp. 347–367.

Baker, Malcolm and Jeremy C Stein (2004). “Market liquidity as a sentiment indicator”. In: Journal of Financial Markets 7.3, pp. 271–299.

Baker, Malcolm and Jeffrey Wurgler (2000). “The equity share in new issues and aggregate stock returns”. In: The Journal of Finance 55.5, pp. 2219–2257.

— (2004). “A catering theory of dividends”. In: The Journal of Finance 59.3, pp. 1125–1165.

— (2006). “Investor sentiment and the cross-section of stock returns”. In: The Journal of Finance 61.4, pp. 1645–1680.

— (2007). “Investor sentiment in the stock market”. In: Journal of Economic Perspectives 21.2, pp. 129–152.

Bali, Turan G, Nusret Cakici, and Robert F Whitelaw (2011). “Maxing out: Stocks as lotteries and the cross-section of expected returns”. In: Journal of Financial Economics 99.2, pp. 427–446.

Bali, Turan G, Robert F Engle, and Scott Murray (2016). Empirical asset pricing: the cross-section of stock returns. John Wiley & Sons.

Barberies, Nicholas, Andrei Shleifer, and Robert Vishny (1998). “A model of investor sentiment”. In: Journal of Financial Economics 49.3, pp. 307–343.

Barberis, Nicholas C (2013). “Thirty years of prospect theory in economics: A review and assessment”. In: Journal of Economic Perspectives 27.1, pp. 173–96.

Barberis, Nicholas and Ming Huang (2001). “Mental accounting, loss aversion, and individual stock returns”. In: The Journal of Finance 56.4, pp. 1247–1292.

— (2008). “Stocks as lotteries: The implications of probability weighting for security prices”. In: American Economic Review 98.5, pp. 2066–2100.

Barberis, Nicholas, Abhiroop Mukherjee, and Baolian Wang (2016). “Prospect theory and stock returns: An empirical test”. In: The Review of Financial Studies 29.11, pp. 3068–3107.

Barberis, Nicholas and Richard Thaler (2003). “A survey of behavioral finance”. In: Handbook of the Economics of Finance 1, pp. 1053–1128.

Ben-Rephael, Azi, Shmuel Kandel, and Avi Wohl (2012). “Measuring investor sentiment with mutual fund flows”. In: Journal of Financial Economics 104.2, pp. 363–382.

Berkelaar, Arjan and Roy Kouwenberg (2009). “From boom ‘til bust: how loss aversion affects asset prices”. In: Journal of Banking & Finance 33.6, pp. 1005–1013.

Blau, Benjamin M (2017). “Skewness preferences, asset prices and investor sentiment”. In: Applied Economics 49.8, pp. 812–822.

Boyer, Brian H and Keith Vorkink (2014). “Stock options as lotteries”. In: The Journal of Finance 69.4, pp. 1485–1527.

Brown, Stephen J et al. (2003). Investor sentiment in Japanese and US daily mutual fund flows. Tech. rep. National Bureau of Economic Research.

Carhart, Mark M (1997). “On persistence in mutual fund performance”. In: The Journal of Finance 52.1, pp. 57–82.

Conrad, Jennifer, Robert F Dittmar, and Eric Ghysels (2013). “Ex ante skewness and expected stock returns”. In: The Journal of Finance 68.1, pp. 85–124.

Da, Zhi, Joseph Engelberg, and Pengjie Gao (2014). “The sum of all FEARS investor sentiment and asset prices”. In: The Review of Financial Studies 28.1, pp. 1–32.

Fama, Eugene F and Kenneth R French (1993). “Common risk factors in the returns on stocks and bonds”. In: Journal of Financial Economics 33.1, pp. 3–56.

Fong, Wai Mun and Benjamin Toh (2014). “Investor sentiment and the MAX effect”. In: Journal of Banking & Finance 46, pp. 190–201.

Fu, Fangjian (2009). “Idiosyncratic risk and the cross-section of expected stock returns”. In: Journal of Financial Economics 91.1, pp. 24–37.

Gonzalez, Richard and George Wu (1999). “On the shape of the probability weighting function”. In: Cognitive Psychology 38.1, pp. 129–166.

Green, T Clifton and Byoung-Hyoun Hwang (2012). “Initial public offerings as lotteries: Skewness preference and first-day returns”. In: Management Science 58.2, pp. 432–444.

Guiso, Luigi, Paola Sapienza, and Luigi Zingales (2018). “Time varying risk aversion”. In: Journal of Financial Economics 128.3, pp. 403–421.

He, Xue Dong and Xun Yu Zhou (2011). “Portfolio choice under cumulative prospect theory: An analytical treatment”. In: Management Science 57.2, pp. 315–331.

Hung, Weifeng and J Jimmy Yang (2018). “The MAX effect: Lottery stocks with price limits and limits to arbitrage”. In: Journal of Financial Markets 41, pp. 77–91.

Ibbotson, Roger G, Jody L Sindelar, and Jay R Ritter (1994). “The market’s problems with the pricing of initial public offerings”. In: Journal of Applied Corporate Finance 7.1, pp. 66–74.

Jegadeesh, Narasimhan and Sheridan Titman (1993). “Returns to buying winners and selling losers: Implications for stock market efficiency”. In: The Journal of Finance 48.1, pp. 65–91.

Jiang, Fuwei et al. (2019). “Manager sentiment and stock returns”. In: Journal of Financial Economics 132.1, pp. 126–149.

Johnson, Eric J and Amos Tversky (1983). “Affect, generalization, and the perception of risk.” In: Journal of Personality and Social Psychology 45.1, p. 20.

Kahneman, Daniel and Amos Tversky (1979). “Prospect Theory: An Analysis of Decision under Risk”. In: Econometrica 47.2, pp. 263–292.

Kumar, Alok (2009). “Who gambles in the stock market?” In: The Journal of Finance 64.4, pp. 1889–1933.

Kumar, Alok, Jeremy K Page, and Oliver G Spalt (2011). “Religious beliefs, gambling attitudes, and financial market outcomes”. In: Journal of Financial Economics 102.3, pp. 671–708.

Lee, Charles MC, Andrei Shleifer, and Richard H Thaler (1991). “Investor sentiment and the closed-end fund puzzle”. In: The Journal of Finance 46.1, pp. 75–109.

Lerner, Jennifer S and Dacher Keltner (2000). “Beyond valence: Toward a model of emotionspecific influences on judgement and choice”. In: Cognition & Emotion 14.4, pp. 473–493.

Lerner, Jennifer S and Dacher Keltner (2001). “Fear, anger, and risk.” In: Journal of Personality and Social Psychology 81.1, p. 146.

Li, Yan and Liyan Yang (2013). “Prospect theory, the disposition effect, and asset prices”. In: Journal of Financial Economics 107.3, pp. 715–739.

Lin, Mei-Chen (2019). “When analysts encounter lottery-like stocks: lottery-like stocks and analyst stock recommendations”. In: Review of Quantitative Finance and Accounting, pp. 1–27.

Lin, Yuehao, Thorsten Lehnert, and ChristianWolff (2019). “Skewness risk premium: Theory and empirical evidence”. In: International Review of Financial Analysis 63, pp. 174–185.

Mayer, John D et al. (1992). “Mood-congruent judgment is a general effect.” In: Journal of Personality and Social Psychology 63.1, p. 119.

McLean, R David and Mengxin Zhao (2014). “The business cycle, investor sentiment, and costly external finance”. In: The Journal of Finance 69.3, pp. 1377–1409.

Næs, Randi, Johannes A. Skjeltorp, and Bernt Arne Ødegaard (2011). “Stock market liquidity and the business cycle”. In: The Journal of Finance 66.1, pp. 139–176.

Pástor, L’uboš and Robert F Stambaugh (2003). “Liquidity risk and expected stock returns”. In: Journal of Political Economy 111.3, pp. 642–685.

Shen, Junyan, Jianfeng Yu, and Shen Zhao (2017). “Investor sentiment and economic forces”. In: Journal of Monetary Economics 86, pp. 1–21.

Stambaugh, Robert F, Jianfeng Yu, and Yu Yuan (2012). “The short of it: Investor sentiment and anomalies”. In: Journal of Financial Economics 104.2, pp. 288–302.

— (2015). “Arbitrage asymmetry and the idiosyncratic volatility puzzle”. In: The Journal of Finance 70.5, pp. 1903–1948.

Tversky, Amos and Daniel Kahneman (1992). “Advances in prospect theory: Cumulative representation of uncertainty”. In: Journal of Risk and Uncertainty 5.4, pp. 297–323.

Wang, Zhiqiang et al. (2018). “Prospect theory and IPO returns in China”. In: Journal of Corporate Finance 48, pp. 726–751.

Yu, Jianfeng and Yu Yuan (2011). “Investor sentiment and the mean–variance relation”. In: Journal of Financial Economics 100.2, pp. 367–381.

Zhong, Xiaoling and Junbo Wang (2018). “Prospect theory and corporate bond returns: An empirical study”. In: Journal of Empirical Finance 47, pp. 25–48.

Zhu, Yanjian et al. (2017). “Media sentiment, institutional investors and probability of stock price crash: evidence from Chinese stock markets”. In: Accounting & Finance 57.5, pp. 1635–1670.
描述 博士
國立政治大學
財務管理學系
105357502
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357502
資料類型 thesis
dc.contributor.advisor 岳夢蘭<br>陳鴻毅zh_TW
dc.contributor.advisor Yueh, Meng-Lan<br>Chen, Hong-Yien_US
dc.contributor.author (Authors) 韓靖zh_TW
dc.contributor.author (Authors) Han, Jingen_US
dc.creator (作者) 韓靖zh_TW
dc.creator (作者) Han, Jingen_US
dc.date (日期) 2020en_US
dc.date.accessioned 2-Sep-2020 11:43:56 (UTC+8)-
dc.date.available 2-Sep-2020 11:43:56 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2020 11:43:56 (UTC+8)-
dc.identifier (Other Identifiers) G0105357502en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131482-
dc.description (描述) 博士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) 105357502zh_TW
dc.description.abstract (摘要) 在展望理論中，由概率加權、損失厭惡和凹凸性構成的股票價值函數與股票的預期收益率負相關。本文發現概率加權或者損失厭惡的部分對股票收益的影響隨著投資者情緒水平的變化而改變。具體來說，在高市場情緒時期，概率加權在預測股票收益方面發揮著最重要的作用，此時投資者會高估高概率加權值的股票。損失厭惡能夠顯著預測低市場情緒時期的股票回報，此時低損失厭惡值的股票被低估。在考察不同性質股票的特征後，高概率加權的股票擁有較高的過去平均收益率、較高的最大值和較大的偏態，類似於在高市場情緒時期吸引投資者的彩票型股票；低損失厭惡值的股票具有較低的過去平均回報率、較低的最低回報率和高波動度，在低情緒時期對投資者不具有吸引力。zh_TW
dc.description.abstract (摘要) In prospect theory the value function of a stock, which consists of probability weighting, loss aversion, and concavity/convexity, is negatively related to its expected return. In this paper, I find the effect of probability weighting or loss aversion on stock returns varies with
investor sentiment levels. Specifically, probability weighting plays the most important role in predicting stock returns following high-sentiment periods, but investors tend to overvalue stocks with high probability weighting. Loss aversion predicts stock returns following low sentiment periods, but stocks with low loss aversion are undervalued. After examining the characteristics of stocks, I suggest that stocks with high probability weighting are those with high past average returns, high maximum, and high skewness, resembling lottery-type stocks attractive to investors during high-sentiment periods; stocks with low loss aversion have low past average returns, low minimum, and high volatility, which are unappealing to investors during low-sentiment periods.		en_US
dc.description.tableofcontents ACKNOWLEDGMENT ii

ABSTRACT iii

LIST OF TABLES vi

LIST OF FIGURES viii

1 Introduction 1

2 Prospect Theory and Investor Sentiment 8
2.1 Prospect theory 8
2.2 Prospect theory value based on a stock’s historical return 9
2.3 Investor sentiment 12

3 Data and Variable Definitions 15

4 Methodology and Empirical Results 18
4.1 Summary statistics 18
4.2 Portfolio analysis 20
4.3 Fama-MacBeth tests 27
4.4 Limits to arbitrage 34
4.5 Double sorts 36
4.6 Construction of long-short portfolio returns 40
4.7 Time-varying prospect theory effect 41
4.8 Characteristics of prospect theory portfolios 47

5 Conclusion 53

REFERENCES 55

APPENDIX
A 61
B 64
C 66
D 67
E 69
F 71
G 75
H 77
I 79
J 80
K 81		zh_TW
dc.format.extent 2131591 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357502en_US
dc.subject (關鍵詞) 展望理論zh_TW
dc.subject (關鍵詞) 概率加權zh_TW
dc.subject (關鍵詞) 損失厭惡zh_TW
dc.subject (關鍵詞) 股票回報率zh_TW
dc.subject (關鍵詞) Prospect theoryen_US
dc.subject (關鍵詞) Probability weightingen_US
dc.subject (關鍵詞) Loss aversionen_US
dc.subject (關鍵詞) Stock returnsen_US
dc.title (題名) 投資者情緒與展望理論效應zh_TW
dc.title (題名) Investor Sentiment and Prospect Theory Effecten_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Aboody, David et al. (2018). “Overnight returns and firm-specific investor sentiment”. In: Journal of Financial and Quantitative Analysis 53.2, pp. 485–505.

Amihud, Yakov (2002). “Illiquidity and stock returns: cross-section and time-series effects”. In: Journal of Financial Markets 5.1, pp. 31–56.

Ang, Andrew et al. (2006). “The cross-section of volatility and expected returns”. In: The Journal of Finance 61.1, pp. 259–299.

— (2009). “High idiosyncratic volatility and low returns: International and further US evidence”. In: Journal of Financial Economics 91.1, pp. 1–23.

Antoniou, Constantinos, John A Doukas, and Avanidhar Subrahmanyam (2016). “Investor sentiment, beta, and the cost of equity capital”. In: Management Science 62.2, pp. 347–367.

Baker, Malcolm and Jeremy C Stein (2004). “Market liquidity as a sentiment indicator”. In: Journal of Financial Markets 7.3, pp. 271–299.

Baker, Malcolm and Jeffrey Wurgler (2000). “The equity share in new issues and aggregate stock returns”. In: The Journal of Finance 55.5, pp. 2219–2257.

— (2004). “A catering theory of dividends”. In: The Journal of Finance 59.3, pp. 1125–1165.

— (2006). “Investor sentiment and the cross-section of stock returns”. In: The Journal of Finance 61.4, pp. 1645–1680.

— (2007). “Investor sentiment in the stock market”. In: Journal of Economic Perspectives 21.2, pp. 129–152.

Bali, Turan G, Nusret Cakici, and Robert F Whitelaw (2011). “Maxing out: Stocks as lotteries and the cross-section of expected returns”. In: Journal of Financial Economics 99.2, pp. 427–446.

Bali, Turan G, Robert F Engle, and Scott Murray (2016). Empirical asset pricing: the cross-section of stock returns. John Wiley & Sons.

Barberies, Nicholas, Andrei Shleifer, and Robert Vishny (1998). “A model of investor sentiment”. In: Journal of Financial Economics 49.3, pp. 307–343.

Barberis, Nicholas C (2013). “Thirty years of prospect theory in economics: A review and assessment”. In: Journal of Economic Perspectives 27.1, pp. 173–96.

Barberis, Nicholas and Ming Huang (2001). “Mental accounting, loss aversion, and individual stock returns”. In: The Journal of Finance 56.4, pp. 1247–1292.

— (2008). “Stocks as lotteries: The implications of probability weighting for security prices”. In: American Economic Review 98.5, pp. 2066–2100.

Barberis, Nicholas, Abhiroop Mukherjee, and Baolian Wang (2016). “Prospect theory and stock returns: An empirical test”. In: The Review of Financial Studies 29.11, pp. 3068–3107.

Barberis, Nicholas and Richard Thaler (2003). “A survey of behavioral finance”. In: Handbook of the Economics of Finance 1, pp. 1053–1128.

Ben-Rephael, Azi, Shmuel Kandel, and Avi Wohl (2012). “Measuring investor sentiment with mutual fund flows”. In: Journal of Financial Economics 104.2, pp. 363–382.

Berkelaar, Arjan and Roy Kouwenberg (2009). “From boom ‘til bust: how loss aversion affects asset prices”. In: Journal of Banking & Finance 33.6, pp. 1005–1013.

Blau, Benjamin M (2017). “Skewness preferences, asset prices and investor sentiment”. In: Applied Economics 49.8, pp. 812–822.

Boyer, Brian H and Keith Vorkink (2014). “Stock options as lotteries”. In: The Journal of Finance 69.4, pp. 1485–1527.

Brown, Stephen J et al. (2003). Investor sentiment in Japanese and US daily mutual fund flows. Tech. rep. National Bureau of Economic Research.

Carhart, Mark M (1997). “On persistence in mutual fund performance”. In: The Journal of Finance 52.1, pp. 57–82.

Conrad, Jennifer, Robert F Dittmar, and Eric Ghysels (2013). “Ex ante skewness and expected stock returns”. In: The Journal of Finance 68.1, pp. 85–124.

Da, Zhi, Joseph Engelberg, and Pengjie Gao (2014). “The sum of all FEARS investor sentiment and asset prices”. In: The Review of Financial Studies 28.1, pp. 1–32.

Fama, Eugene F and Kenneth R French (1993). “Common risk factors in the returns on stocks and bonds”. In: Journal of Financial Economics 33.1, pp. 3–56.

Fong, Wai Mun and Benjamin Toh (2014). “Investor sentiment and the MAX effect”. In: Journal of Banking & Finance 46, pp. 190–201.

Fu, Fangjian (2009). “Idiosyncratic risk and the cross-section of expected stock returns”. In: Journal of Financial Economics 91.1, pp. 24–37.

Gonzalez, Richard and George Wu (1999). “On the shape of the probability weighting function”. In: Cognitive Psychology 38.1, pp. 129–166.

Green, T Clifton and Byoung-Hyoun Hwang (2012). “Initial public offerings as lotteries: Skewness preference and first-day returns”. In: Management Science 58.2, pp. 432–444.

Guiso, Luigi, Paola Sapienza, and Luigi Zingales (2018). “Time varying risk aversion”. In: Journal of Financial Economics 128.3, pp. 403–421.

He, Xue Dong and Xun Yu Zhou (2011). “Portfolio choice under cumulative prospect theory: An analytical treatment”. In: Management Science 57.2, pp. 315–331.

Hung, Weifeng and J Jimmy Yang (2018). “The MAX effect: Lottery stocks with price limits and limits to arbitrage”. In: Journal of Financial Markets 41, pp. 77–91.

Ibbotson, Roger G, Jody L Sindelar, and Jay R Ritter (1994). “The market’s problems with the pricing of initial public offerings”. In: Journal of Applied Corporate Finance 7.1, pp. 66–74.

Jegadeesh, Narasimhan and Sheridan Titman (1993). “Returns to buying winners and selling losers: Implications for stock market efficiency”. In: The Journal of Finance 48.1, pp. 65–91.

Jiang, Fuwei et al. (2019). “Manager sentiment and stock returns”. In: Journal of Financial Economics 132.1, pp. 126–149.

Johnson, Eric J and Amos Tversky (1983). “Affect, generalization, and the perception of risk.” In: Journal of Personality and Social Psychology 45.1, p. 20.

Kahneman, Daniel and Amos Tversky (1979). “Prospect Theory: An Analysis of Decision under Risk”. In: Econometrica 47.2, pp. 263–292.

Kumar, Alok (2009). “Who gambles in the stock market?” In: The Journal of Finance 64.4, pp. 1889–1933.

Kumar, Alok, Jeremy K Page, and Oliver G Spalt (2011). “Religious beliefs, gambling attitudes, and financial market outcomes”. In: Journal of Financial Economics 102.3, pp. 671–708.

Lee, Charles MC, Andrei Shleifer, and Richard H Thaler (1991). “Investor sentiment and the closed-end fund puzzle”. In: The Journal of Finance 46.1, pp. 75–109.

Lerner, Jennifer S and Dacher Keltner (2000). “Beyond valence: Toward a model of emotionspecific influences on judgement and choice”. In: Cognition & Emotion 14.4, pp. 473–493.

Lerner, Jennifer S and Dacher Keltner (2001). “Fear, anger, and risk.” In: Journal of Personality and Social Psychology 81.1, p. 146.

Li, Yan and Liyan Yang (2013). “Prospect theory, the disposition effect, and asset prices”. In: Journal of Financial Economics 107.3, pp. 715–739.

Lin, Mei-Chen (2019). “When analysts encounter lottery-like stocks: lottery-like stocks and analyst stock recommendations”. In: Review of Quantitative Finance and Accounting, pp. 1–27.

Lin, Yuehao, Thorsten Lehnert, and ChristianWolff (2019). “Skewness risk premium: Theory and empirical evidence”. In: International Review of Financial Analysis 63, pp. 174–185.

Mayer, John D et al. (1992). “Mood-congruent judgment is a general effect.” In: Journal of Personality and Social Psychology 63.1, p. 119.

McLean, R David and Mengxin Zhao (2014). “The business cycle, investor sentiment, and costly external finance”. In: The Journal of Finance 69.3, pp. 1377–1409.

Næs, Randi, Johannes A. Skjeltorp, and Bernt Arne Ødegaard (2011). “Stock market liquidity and the business cycle”. In: The Journal of Finance 66.1, pp. 139–176.

Pástor, L’uboš and Robert F Stambaugh (2003). “Liquidity risk and expected stock returns”. In: Journal of Political Economy 111.3, pp. 642–685.

Shen, Junyan, Jianfeng Yu, and Shen Zhao (2017). “Investor sentiment and economic forces”. In: Journal of Monetary Economics 86, pp. 1–21.

Stambaugh, Robert F, Jianfeng Yu, and Yu Yuan (2012). “The short of it: Investor sentiment and anomalies”. In: Journal of Financial Economics 104.2, pp. 288–302.

— (2015). “Arbitrage asymmetry and the idiosyncratic volatility puzzle”. In: The Journal of Finance 70.5, pp. 1903–1948.

Tversky, Amos and Daniel Kahneman (1992). “Advances in prospect theory: Cumulative representation of uncertainty”. In: Journal of Risk and Uncertainty 5.4, pp. 297–323.

Wang, Zhiqiang et al. (2018). “Prospect theory and IPO returns in China”. In: Journal of Corporate Finance 48, pp. 726–751.

Yu, Jianfeng and Yu Yuan (2011). “Investor sentiment and the mean–variance relation”. In: Journal of Financial Economics 100.2, pp. 367–381.

Zhong, Xiaoling and Junbo Wang (2018). “Prospect theory and corporate bond returns: An empirical study”. In: Journal of Empirical Finance 47, pp. 25–48.

Zhu, Yanjian et al. (2017). “Media sentiment, institutional investors and probability of stock price crash: evidence from Chinese stock markets”. In: Accounting & Finance 57.5, pp. 1635–1670.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202001429en_US