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題名 資訊透明對股票超額報酬之影響 -以英國脫歐公投為例
The Influence of Information Transparency on Stock Excess Return: Empirical Evidence from Brexit Referendum作者 林曉群
Lin, Hsiao-Chun貢獻者 林靖庭
Lin, Ching-Ting
林曉群
Lin, Hsiao-Chun關鍵詞 英國脫歐公投
MAX 效應
樂透股
資訊透明
MAX-effect
Lottery stocks
Brexit referendum
Information transparency日期 2022 上傳時間 1-Jul-2022 16:09:22 (UTC+8) 摘要 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。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.This 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.參考文獻 An, L., Wang, L., Wang, J., & Yu, J. （2020）. Lottery-related anomalies: The role of reference-dependent preferences. Management Science, 66（1）, 473-501.Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. （2006）. The cross-section of volatility and expected returns. Journal of Finance, 61, 259-299.Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. （2009）. High idiosyncratic volatility and low returns: international and further U.S. evidence. Journal of Financial Economics, 91, 1-23.Angelidis, T., & Tessaromatis, N. （2008）. Idiosyncratic volatility and equity returns: UK evidence. International Review of Financial Analysis, 17, 539–556.Annaert, J., De Ceuster, M., & Verstegen, K. （2013）. Are extreme returns priced in the stock market? European evidence. Journal of Banking and Finance, 37, 3401–3411.Baker, M., & Wurgler, J. （2006）. Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61（4）, 1645-1680.Bali, T. G., Brown, S. J., Murray, S., & Tang, Y. （2017）. A Lottery-Demand-Based Explanation of the Beta Anomaly. Journal of Financial and Quantitative Analysis, 52, 2369–2397Bali, T. G., Cakici, N., & Whitelaw, R. F. （2011）. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99（2）, 427-446.Barber, B. M., & Odean, T. （2000）. Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. Journal of Finance, 55, 773-806.Barinov, A. （2018）. Stocks with extreme past returns: Lotteries or insurance? Journal of Financial Economics, 129, 458–478.Berggrun, L., Fuenzalida, D., & Mongrut, S. （2017）. Capital Markets and Firm Performance in Emerging Economies. Emerging Markets Finance and Trade, 53（10）, 2157-2158.Bhootra, A., & Hur, J. （2015）. High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation. Financial Management, 44, 295–322.Birru, J. （2015）. Confusion of confusions: a test of the disposition effect and momentum. The Review of Financial Studies, 28（7）, 1849-1873.Blume, M. E., & Friend, I. （1973）. A new look at the capital asset pricing model. The journal of finance, 28（1）, 19-33.Cederburg, S., & O`DOHERTY, M. S. （2016）. Does it pay to bet against beta? On the conditional performance of the beta anomaly. The Journal of Finance, 71（2）, 737-774.Chan, Y.-C., & Chui, A. C. W. （2016）. Gambling in the Hong Kong stock market. International Review of Economics & Finance, 44, 204–218.Cheon, Y.-H., & Lee, K.-H. （2018）. Maxing Out Globally: Individualism, Investor Attention, and the Cross-Section of Expected Stock Returns. Management Science, 64, 5807–5831.Cotter, J., Sullivan, N. O., & Rossi, F. （2015）. The conditional pricing of systematic and idiosyncratic risk in the UK equity market. International Review of Financial Analysis, 37, 184–193.Fama, E. F., & French, K. R. （1993）. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.Fama, E. F., & Macbeth, J. D. （1973）. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636.Florackis, C., Gregoriou, A., & Kostakis, A. （2011）. Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Journal of Banking & Finance, 35, 3335–3350.Fong, W. M., & Toh, B. （2014）. Investor sentiment and the MAX effect. Journal of Banking & Finance, 46, 190–201.George, T. J., & Hwang, C. Y. （2004）. The 52‐week high and momentum investing. The Journal of Finance, 59（5）, 2145-2176.Goetzmann, W. N., & Kumar, A. （2008）. Equity Portfolio Diversification. Review of Finance, 12, 433–463.Han, B., & Kumar, A. （2013）. Speculative Retail Trading and Asset Prices. Journal of Financial and Quantitative Analysis, 48, 377–404.Han, Y., Hu, T., & Lesmond, D. A. （2015）. Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World. Journal of Financial and Quantitative Analysis, 50, 1269–1292.Hou, K., & Loh, R. K. （2016）. Have we solved the idiosyncratic volatility puzzle? Journal of Financial Economics, 121, 167–194.Huang, W., Liu, Q., Rhee, S. G., & Zhang, L. （2010）. Return Reversals, Idiosyncratic Risk, and Expected Returns. Review of Financial Studies, 23, 147–168.Hung, A., & Yang, J. （2018）. The MAX effect: Lottery stocks with price limits and limits to arbitrage. Journal of Financial Markets, 41, 77-91.Hur, J., & Singh, V. （2019）. How do disposition effect and anchoring bias interact to impact momentum in stock returns?. Journal of Empirical Finance, 53, 238-256.Ince, O. S., & Porter, R. B.（2006）. Individual Equity Return Data from Thomson Datastream: Handle with Care! Journal of Financial Research, 29（4）, 463-479.Jegadeesh, N. （1990）. Evidence of Predictable Behavior of Security Returns. The Journal of Finance, 45, 881-898.Jegadeesh, N., & Titman, S. （1993）. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48, 65-91.Kahneman, D., & Tversky, A. （1979）. Prospect theory: An analysis of decisions under risk. Econometrica, 47, 263–291.Khasawneh, M., McMillan, D. G., & Kambouroudis, D.（2021）. Lottery Stocks in the UK: Evidence, Characteristics, and Cause. The University of Stirling. Characteristics and Cause （April 27, 2021）.Kumar, A. （2009）. Who gambles in the stock market? Journal of Finance, 64, 1889-1933.Kumar, A., Motahari, M., & Taffler, R. J. （2018）. Preference for Skewness and Market Anomalies. University of Miami Business School Research Paper. No. 3166638Lewellen, J., & Nagel, S. （2006）. The conditional CAPM does not explain asset-pricing anomalies. Journal of financial economics, 82（2）, 289-314.Lin, T. C., & Liu, X. （2017）. Skewness, Individual Investor Preference, and the Cross-section of Stock Returns. Review of Finance, 22, 1841–1876.Miller, E. M. （1977）. Risk, uncertainty, and divergence of opinion. Journal of Finance, 32（4）, 1151-1168.Mitton, T., & Vorkink, K. （2007）. Equilibrium Underdiversification and the Preference for Skewness. Review of Financial Studies, 20, 1255–1288.Nartea, G. V., Kong, D., & Wu, J. （2017）. Do extreme returns matter in emerging markets? Evidence from the Chinese stock market. Journal of Banking & Finance, 76, 189–197.Nartea, G. V., Wu, J., & Liu, H. T. （2014）. Extreme returns in emerging stock markets: evidence of a MAX effect in South Korea. Applied Financial Economics, 24, 425–435.Newey, W. K., & West, K. D. （1987）. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent. Econometrica, 55, 703-708.Petrovic, N., Manson, S., & Coakley, J. （2016）. Changes in Non-current Assets and Property, Plant and Equipment and Future Stock Returns The UK Evidence. Journal of Business Finance & Accounting, 43（9-10）, 1142-1196.Polkovnichenko, V. （2005）. Household Portfolio Diversification: A Case for Rank-Dependent Preferences. Review of Financial Studies, 18, 1467–1502.Pontiff, J. （2006）. Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics, 42, 35–52.Shumway, T. （1997）. The delisting bias in CRSP data. The Journal of Finance, 52（1）, 327-340.Stambaugh, R. F., Yu, J., & Yuan, Y. （2015）. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle. Journal of Finance, 70, 1903–1948.Tao, R., Brooks, C., & Bell, A. R. （2020）. When is a MAX not the MAX? How news resolves information uncertainty. Journal of Empirical Finance, 57, 33-51.Walkshausl, C. （2014）. The MAX effect: European evidence. Journal of Banking & Finance, 42, 1-10.Wan, X. （2018）. Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market. International Review of Economics & Finance, 53, 1–15.Wang, H., Yan, J., & Yu, J. （2017）. Reference-dependent preferences and the risk-return trade-off. Journal of Financial Economics, 123, 395–414.Zhong, A., & Gray, P. （2016）. The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking & Finance, 65, 79-90.台灣證券交易所（2018 年 5 月）。英國證券市場相關制度。台灣證券交易所。陳麗娟（2018 年 5 月）。歐盟「銀行聯盟」發展現況之研究。月旦財經法，42，77。PricewaterhouseCoopers. （2016, April 5）Leaving the EU: Implications for the UK Financial Services Sector. PricewaterhouseCoopers. https://www.pwc.co.uk/financial-services/assets/Leaving-the-EU-implications-for-the-UK-FS-sector.pdfBloomberg. （2016, July 8）. Pound Overtakes Argentine Peso to Become 2016’s Worst Performer. Bloomberg. http://www.bloomberg.com/news/articles/2016-07-08/pound-overtakes-argentine-peso-to-become-2016-s-worstperformer.Central News Agency. （2016, July 1）.標準普爾以英國脫歐為由調降歐盟信評。台灣英文新聞。https://www.taiwannews.com.tw/ch/news/2945450Joel Lewin. （2016, Aug 2）. Brexit fund outflows topped the 2008 peak. Financial Times. https://www.ft.com/content/8a8055a9-e9dc-399e-bf0d-6d859697cc1dLegislation.gov.uk. （2016, May 3）. Bank of England and Financial Services Act 2016. Legislation.gov.uk. https://www.legislation.gov.uk/ukpga/2016/14/contents/enactedPrakash, A. （2016, June 17）. UK equity funds see second-largest outflows ever ahead of EU vote –BAML. Reuters. https://www.reuters.com/article/uk-europe-markets-flow-idUKKCN0Z3138Sheffield, H.（2016, July 7）. Brexit Could Spark City Exodus as 80,000 Jobs Are Moved to Europe, BCG Says. The Independent. http://www.independent.co.uk/news/business/news/brexit-could-spark-city-exodus-as-80000-jobs-are-movedto-europe-bcg-says-a7124351.html.The Economist. （2016, May 7）. City Blues. The Economist. https://www.economist.com/britain/2016/05/07/city-bluesAnue鉅亨網.（2022, May 7）. GBP/USD. Anue鉅亨網. https://invest.cnyes.com/forex/detail/GBPUSD/history#fixedCEIC.（2021, May 1）. United Kingdom Market Capitalization. CEIC. https://www.ceicdata.com/en/indicator/united-kingdom/market-capitalization 描述 碩士
國立政治大學
金融學系
109352002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352002 資料類型 thesis dc.contributor.advisor 林靖庭 zh_TW dc.contributor.advisor Lin, Ching-Ting en_US dc.contributor.author (Authors) 林曉群 zh_TW dc.contributor.author (Authors) Lin, Hsiao-Chun en_US dc.creator (作者) 林曉群 zh_TW dc.creator (作者) Lin, Hsiao-Chun en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 16:09:22 (UTC+8) - dc.date.available 1-Jul-2022 16:09:22 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 16:09:22 (UTC+8) - dc.identifier (Other Identifiers) G0109352002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140598 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 109352002 zh_TW dc.description.abstract (摘要) 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。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。 zh_TW dc.description.abstract (摘要) 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.This 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. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 結果與貢獻 4第二章 文獻探討 6第三章 資料與方法 8第一節 資料 8第二節 樣本與變數 15第三節 研究方法 18第四章 實證結果 20第一節 單變量投資組合分析 20第二節 雙變量投資組合分析 34第五章 結論 38參考文獻 40 zh_TW dc.format.extent 1657167 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352002 en_US dc.subject (關鍵詞) 英國脫歐公投 zh_TW dc.subject (關鍵詞) MAX 效應 zh_TW dc.subject (關鍵詞) 樂透股 zh_TW dc.subject (關鍵詞) 資訊透明 zh_TW dc.subject (關鍵詞) MAX-effect en_US dc.subject (關鍵詞) Lottery stocks en_US dc.subject (關鍵詞) Brexit referendum en_US dc.subject (關鍵詞) Information transparency en_US dc.title (題名) 資訊透明對股票超額報酬之影響 -以英國脫歐公投為例 zh_TW dc.title (題名) The Influence of Information Transparency on Stock Excess Return: Empirical Evidence from Brexit Referendum en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) An, L., Wang, L., Wang, J., & Yu, J. （2020）. Lottery-related anomalies: The role of reference-dependent preferences. Management Science, 66（1）, 473-501.Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. （2006）. The cross-section of volatility and expected returns. Journal of Finance, 61, 259-299.Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. （2009）. High idiosyncratic volatility and low returns: international and further U.S. evidence. Journal of Financial Economics, 91, 1-23.Angelidis, T., & Tessaromatis, N. （2008）. Idiosyncratic volatility and equity returns: UK evidence. International Review of Financial Analysis, 17, 539–556.Annaert, J., De Ceuster, M., & Verstegen, K. （2013）. Are extreme returns priced in the stock market? European evidence. Journal of Banking and Finance, 37, 3401–3411.Baker, M., & Wurgler, J. （2006）. Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61（4）, 1645-1680.Bali, T. G., Brown, S. J., Murray, S., & Tang, Y. （2017）. A Lottery-Demand-Based Explanation of the Beta Anomaly. Journal of Financial and Quantitative Analysis, 52, 2369–2397Bali, T. G., Cakici, N., & Whitelaw, R. F. （2011）. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99（2）, 427-446.Barber, B. M., & Odean, T. （2000）. Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. Journal of Finance, 55, 773-806.Barinov, A. （2018）. Stocks with extreme past returns: Lotteries or insurance? Journal of Financial Economics, 129, 458–478.Berggrun, L., Fuenzalida, D., & Mongrut, S. （2017）. Capital Markets and Firm Performance in Emerging Economies. Emerging Markets Finance and Trade, 53（10）, 2157-2158.Bhootra, A., & Hur, J. （2015）. High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation. Financial Management, 44, 295–322.Birru, J. （2015）. Confusion of confusions: a test of the disposition effect and momentum. The Review of Financial Studies, 28（7）, 1849-1873.Blume, M. E., & Friend, I. （1973）. A new look at the capital asset pricing model. The journal of finance, 28（1）, 19-33.Cederburg, S., & O`DOHERTY, M. S. （2016）. Does it pay to bet against beta? On the conditional performance of the beta anomaly. The Journal of Finance, 71（2）, 737-774.Chan, Y.-C., & Chui, A. C. W. （2016）. Gambling in the Hong Kong stock market. International Review of Economics & Finance, 44, 204–218.Cheon, Y.-H., & Lee, K.-H. （2018）. Maxing Out Globally: Individualism, Investor Attention, and the Cross-Section of Expected Stock Returns. Management Science, 64, 5807–5831.Cotter, J., Sullivan, N. O., & Rossi, F. （2015）. The conditional pricing of systematic and idiosyncratic risk in the UK equity market. International Review of Financial Analysis, 37, 184–193.Fama, E. F., & French, K. R. （1993）. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.Fama, E. F., & Macbeth, J. D. （1973）. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636.Florackis, C., Gregoriou, A., & Kostakis, A. （2011）. Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Journal of Banking & Finance, 35, 3335–3350.Fong, W. M., & Toh, B. （2014）. Investor sentiment and the MAX effect. Journal of Banking & Finance, 46, 190–201.George, T. J., & Hwang, C. Y. （2004）. The 52‐week high and momentum investing. The Journal of Finance, 59（5）, 2145-2176.Goetzmann, W. N., & Kumar, A. （2008）. Equity Portfolio Diversification. Review of Finance, 12, 433–463.Han, B., & Kumar, A. （2013）. Speculative Retail Trading and Asset Prices. Journal of Financial and Quantitative Analysis, 48, 377–404.Han, Y., Hu, T., & Lesmond, D. A. （2015）. Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World. Journal of Financial and Quantitative Analysis, 50, 1269–1292.Hou, K., & Loh, R. 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