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題名 投資人情緒與獨角獸新創公司估值關係探討
Relations between Investor Sentiment and Unicorn Startup Valuation作者 蘇新賀
Su, Hsin-Ho貢獻者 周冠男<br>柯冠成
Chou, Robin K.<br>Ko, Kuan-Cheng
蘇新賀
Su, Hsin-Ho關鍵詞 新創公司
獨角獸
估值
創投
投資人情緒
Start up
Unicorn
Valuation
Ventures
Investor Sentiment日期 2024 上傳時間 5-八月-2024 14:18:11 (UTC+8) 摘要 本研究為探討新創公司估值與投資人情緒之間關係，選用美國新創公司估值指數(Prime Uniron Index)做為樣本，採用各直接情緒指標，以及公開市場指數之成交量，作為間接情緒指標，進行線性迴歸分析。為了解通貨膨脹因素影響，再將各情緒指標與通貨膨脹因素，進行迴歸分析並取殘差，得到調整後投資人情緒指標。最後再將調整後投資人情緒指標與PUI指數進行迴歸分析。 本研究發現，直接情緒指標及間接情緒指標，對於PUI指數皆具有顯著性，但方向性卻不同。而去除通貨膨脹因素之調整後投資人情緒指標，對於PUI指數之顯著性較低，可見通貨膨脹因素大幅影響投資人情緒，進而影響估值。而以PUI指數月投報率分析而言，不論直接或間接投資人情緒，皆較無顯著性。
In this research we first use Prime Unicorn Index as sample data, and several other data as direct or indirect investor sentiment, to conduct regression analysis. To understand how inflation influence investor sentiment, this research conduct regression analysis between investor sentiment and inflation data, and then getting residual as adjusted investor sentiment. Finaly, we use this adjusted investor sentiment and the PUI index to conduct regression analysis. We found that both direct and indirect investor sentiment are significant related to PUI index, although in different direction. But as adjusted investor sentiment are insignificant to PUI index, so inflation has significant impact on investor sentiment, and then furthermore impact to startup valuations, as to PUI index investment returns, most investor sentiment are insignificant.參考文獻 Agarwal, V., Barber, B. M., Cheng, S., Hameed, A., Shanker, H., & Yasuda, A. J. E. f. t. J. S. o. M. F. (2023). Do Investors Overvalue Startups? Evidence from the Junior Stakes of Mutual Funds. CFR Working Papers. Baker, M., & Stein, J. C. J. J. o. f. M. (2004). Market liquidity as a sentiment indicator. Journal of financial Markets, 7(3), 271-299. Baker, M., & Wurgler, J. J. T. j. o. F. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680. Brown, G. W., & Cliff, M. T. J. J. o. e. f. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27. Brown, G. W., & Cliff, M. T. J. T. J. o. B. (2005). Investor sentiment and asset valuation. The Journal of Business, 78(2), 405-440. Fisher, K. L., & Statman, M. J. F. A. J. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16-23. Kamstra, M. J., Kramer, L. A., & Levi, M. D. J. A. e. r. (2003). Winter blues: A SAD stock market cycle. American economic review, 93(1), 324-343. Lee, A. J. C. V. (2013). Welcome to the unicorn club: Learning from billion-dollar startups. Metrick, A., & Yasuda, A. (2021). Venture capital and the finance of innovation: John Wiley & Sons. Shiller, R. J. (2015). Irrational exuberance. In Irrational exuberance: Princeton university press. Tvede, L. (2002). The psychology of finance: understanding the behavioural dynamics of markets (Vol. 243): John Wiley & Sons. 描述 碩士
國立政治大學
國際金融碩士學位學程
111ZB1003資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111ZB1003 資料類型 thesis dc.contributor.advisor 周冠男<br>柯冠成 zh_TW dc.contributor.advisor Chou, Robin K.<br>Ko, Kuan-Cheng en_US dc.contributor.author (作者) 蘇新賀 zh_TW dc.contributor.author (作者) Su, Hsin-Ho en_US dc.creator (作者) 蘇新賀 zh_TW dc.creator (作者) Su, Hsin-Ho en_US dc.date (日期) 2024 en_US dc.date.accessioned 5-八月-2024 14:18:11 (UTC+8) - dc.date.available 5-八月-2024 14:18:11 (UTC+8) - dc.date.issued (上傳時間) 5-八月-2024 14:18:11 (UTC+8) - dc.identifier (其他 識別碼) G0111ZB1003 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152837 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際金融碩士學位學程 zh_TW dc.description (描述) 111ZB1003 zh_TW dc.description.abstract (摘要) 本研究為探討新創公司估值與投資人情緒之間關係，選用美國新創公司估值指數(Prime Uniron Index)做為樣本，採用各直接情緒指標，以及公開市場指數之成交量，作為間接情緒指標，進行線性迴歸分析。為了解通貨膨脹因素影響，再將各情緒指標與通貨膨脹因素，進行迴歸分析並取殘差，得到調整後投資人情緒指標。最後再將調整後投資人情緒指標與PUI指數進行迴歸分析。 本研究發現，直接情緒指標及間接情緒指標，對於PUI指數皆具有顯著性，但方向性卻不同。而去除通貨膨脹因素之調整後投資人情緒指標，對於PUI指數之顯著性較低，可見通貨膨脹因素大幅影響投資人情緒，進而影響估值。而以PUI指數月投報率分析而言，不論直接或間接投資人情緒，皆較無顯著性。 zh_TW dc.description.abstract (摘要) In this research we first use Prime Unicorn Index as sample data, and several other data as direct or indirect investor sentiment, to conduct regression analysis. To understand how inflation influence investor sentiment, this research conduct regression analysis between investor sentiment and inflation data, and then getting residual as adjusted investor sentiment. Finaly, we use this adjusted investor sentiment and the PUI index to conduct regression analysis. We found that both direct and indirect investor sentiment are significant related to PUI index, although in different direction. But as adjusted investor sentiment are insignificant to PUI index, so inflation has significant impact on investor sentiment, and then furthermore impact to startup valuations, as to PUI index investment returns, most investor sentiment are insignificant. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 2 第三節 研究範圍 3 第四節 研究架構 3 第五節 研究流程 4 第二章 文獻回顧 5 第一節 新創公司市場 5 第二節 新創公司估值方式 8 第三節 投資人心理 8 第四節 投資人情緒指標 9 第五節 投資人情緒與股價及報酬 10 第三章 研究方法 12 第一節 樣本資料 12 第二節 投資者情緒指標 16 第三節 剔除通貨膨脹相關因素 18 第四節 檢驗投資者情緒與投資組合間關係 20 第四章 實證結果分析 21 第一節 情緒指標分析 21 第二節 投資人情緒與估值之關係 33 第三節 投資人情緒與投報率之關係 43 第五章 結論與建議 53 第一節 研究結論 53 第二節 未來研究建議 55 參考文獻 57 zh_TW dc.format.extent 2314830 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111ZB1003 en_US dc.subject (關鍵詞) 新創公司 zh_TW dc.subject (關鍵詞) 獨角獸 zh_TW dc.subject (關鍵詞) 估值 zh_TW dc.subject (關鍵詞) 創投 zh_TW dc.subject (關鍵詞) 投資人情緒 zh_TW dc.subject (關鍵詞) Start up en_US dc.subject (關鍵詞) Unicorn en_US dc.subject (關鍵詞) Valuation en_US dc.subject (關鍵詞) Ventures en_US dc.subject (關鍵詞) Investor Sentiment en_US dc.title (題名) 投資人情緒與獨角獸新創公司估值關係探討 zh_TW dc.title (題名) Relations between Investor Sentiment and Unicorn Startup Valuation en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Agarwal, V., Barber, B. M., Cheng, S., Hameed, A., Shanker, H., & Yasuda, A. J. E. f. t. J. S. o. M. F. (2023). Do Investors Overvalue Startups? Evidence from the Junior Stakes of Mutual Funds. CFR Working Papers. Baker, M., & Stein, J. C. J. J. o. f. M. (2004). Market liquidity as a sentiment indicator. Journal of financial Markets, 7(3), 271-299. Baker, M., & Wurgler, J. J. T. j. o. F. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680. Brown, G. W., & Cliff, M. T. J. J. o. e. f. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27. Brown, G. W., & Cliff, M. T. J. T. J. o. B. (2005). Investor sentiment and asset valuation. The Journal of Business, 78(2), 405-440. Fisher, K. L., & Statman, M. J. F. A. J. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16-23. Kamstra, M. J., Kramer, L. A., & Levi, M. D. J. A. e. r. (2003). Winter blues: A SAD stock market cycle. American economic review, 93(1), 324-343. Lee, A. J. C. V. (2013). Welcome to the unicorn club: Learning from billion-dollar startups. Metrick, A., & Yasuda, A. (2021). Venture capital and the finance of innovation: John Wiley & Sons. Shiller, R. J. (2015). Irrational exuberance. In Irrational exuberance: Princeton university press. Tvede, L. (2002). The psychology of finance: understanding the behavioural dynamics of markets (Vol. 243): John Wiley & Sons. zh_TW
