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題名 投資人注意力及定錨效應：以台灣股票市場為例
Investor attention and anchoring: Evidence from the Taiwan stock market
作者 蔡欣頤
Tsai, Hsin Yi
貢獻者 周冠男
蔡欣頤
Tsai, Hsin Yi
關鍵詞 attention
anchor
overreaction
underreaction
52-week high
historical high
日期 2012
上傳時間 1-Jul-2013 17:44:14 (UTC+8)
摘要 In this study, we use several indices to empirically test the two proxies proposed by Li and Yu (2012) in the Taiwan stock market, which they find capturing the degree of investor underreaction and overreaction to news, namely, nearness to the 52-week high and nearness to the historical high. We use six important stock price indices including market indices and sector indices to construct the two psychologically motivated proxies, and compare their predictive ability to forecast future aggregate market returns. Particularly, we not only study on domestic indices, but also investigate the influence of MSCI index on Taiwan market, which is constructed by a foreign institution and widely used by foreign investors. We find that after controlling for the business cycle, the proxies using Taiwan Capitalization Weighted Stock Index, MSCI Taiwan Index, and Electronic Sector Index have significantly strong predictive power, while MSCI Taiwan Index is the most significant. Their nearness to the 52-week high positively predicts future market returns, while their nearness to the historical high negatively predicts future market returns. The results may due to their high visibility in the Taiwan market. These findings are consistent with the limited investor attention and anchoring hypothesis.
參考文獻 Bernard, V., 1992. Stock price reactions to earnings announcements In: Thaler, R. (Ed.), Advances in Behavioral Finance. Russell Sage Foundation, New York, pp. 303-340.
Chan, L., Jegadeesh, N., Lakonishok, J., 1997. Momentum strategies. Journal of Finance 51, 1681-1713.
Chang, W. L., 2007. The Relationships between consumer confident index and Taiwan stock market. Unpublished master’s thesis. National Central University, Taoyuan, Taiwan.
Chen, I. C., 2001. The relation between macroeconomic factors and the stock and bond returns. Unpublished master’s thesis. National Sun Yat-sen University, Kaohsiung, Taiwan.
Chen, W. C., 1987. The effect of change in interest rate on the stock price. Unpublished master’s thesis. National Chengchi University, Taipei, Taiwan.
Cutler, D., Poterba, J., Summers, L., 1991. Speculative dynamics. Review of Economic Studies 58, 529-546.
De Bondt, W., Thaler, R., 1985. Does the stock market overreact? Journal of Finance 40, 793-808.
Edwards, W., 1968. Conservatism in human information processing. In: Kleinmutz, B. (Ed.), Formal Representation of Human Judgment. John Wiley and Sons, New York, pp. 17-52.
Fama, E., French, K., 1988. Permanent and temporary components of stock prices. Journal of Political Economy 96, 246-273.
George, T., Hwang, C., 2004. The 52-week high and momentum investing. Journal of Finance 59, 2145-2176.
Griffin, D., Tversky, A., 1992. The weighing of evidence and the determinants of confidence. Cognitive Psychology 24, 411-435.
Hsiao, P. C., 2003. The study of the correlation between yield spread and stock market in Taiwan. Unpublished master’s thesis. National Chiao Tung University, Hsinchu, Taiwan.
Ikenberry, D., Lakonishok, J., Vermaelen, T., 1995. Market underreaction to open market share repurchases. Journal of Financial Economics 39, 181-208.
Ikenberry, D., Rankine, G., Stice, E., 1996. What do stock splits really signal? Journal of Financial and Quantitative Analysis 31, 357-375.
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., 1973. Attention and Effort. Prentice-Hall, Englewood Cliffs, New Jersey.
Kahneman, D., Slovic, P., Tversky, A., 1982, Judgment under Uncertainty: Heuristics and Biases. Cambridge University Press, New York.
Kuo, H. M., 1998. The relationship between monetary policy and excess stock returns: an empirical analysis of Taiwan market. Unpublished master’s thesis. Tamkang University, Taipei, Taiwan.
Li, J., Yu, J., 2012. Investor attention, psychological anchor, and stock return predictability. Journal of Financial Economics 104, 401-419.
Loughran, T., Ritter, J., 1995. The new issues puzzle. Journal of Finance 50, 23-51.
Michaely, R., Thaler, R., Womack, K., 1995. Price reactions to dividend initiations and omissions: overreaction or drift? Journal of Finance 50, 573-608.
Newey, W., West, K., 1987. A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
Pashler, H., Johnston, J., 1998. Attentional limitations in dual-task performance. In: Pashler, H. (Ed.), Attention. Psychology Press, Hove, UK.
Peng, L., Xiong, W., 2006. Investor attention, overconfidence, and category learning. Journal of Financial Economics 80, 563-602.
Poterba, J., Summers, L., 1988. Mean-reversion in stock prices: evidence and implications. Journal of Financial Economics 22, 27-59.
Rouwenhorst, G., 1998. International momentum strategies. Journal of Finance 53, 267-284.
Spiess, K., Affleck-Graves, J., 1995. Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics 38, 243-267.
Tversky, A., Kahneman, D., 1974. Judgment under uncertainty: heuristics and biases. Science 185, 1124-1131.
Zarowin, P., 1989. Does the stock market overreact to corporate earnings information? Journal of Finance 44, 1385-1400.
描述 碩士
國立政治大學
財務管理研究所
100357016
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357016
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 蔡欣頤zh_TW
dc.contributor.author (Authors) Tsai, Hsin Yien_US
dc.creator (作者) 蔡欣頤zh_TW
dc.creator (作者) Tsai, Hsin Yien_US
dc.date (日期) 2012en_US
dc.date.accessioned 1-Jul-2013 17:44:14 (UTC+8)-
dc.date.available 1-Jul-2013 17:44:14 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2013 17:44:14 (UTC+8)-
dc.identifier (Other Identifiers) G0100357016en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58714-
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) 100357016zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) In this study, we use several indices to empirically test the two proxies proposed by Li and Yu (2012) in the Taiwan stock market, which they find capturing the degree of investor underreaction and overreaction to news, namely, nearness to the 52-week high and nearness to the historical high. We use six important stock price indices including market indices and sector indices to construct the two psychologically motivated proxies, and compare their predictive ability to forecast future aggregate market returns. Particularly, we not only study on domestic indices, but also investigate the influence of MSCI index on Taiwan market, which is constructed by a foreign institution and widely used by foreign investors. We find that after controlling for the business cycle, the proxies using Taiwan Capitalization Weighted Stock Index, MSCI Taiwan Index, and Electronic Sector Index have significantly strong predictive power, while MSCI Taiwan Index is the most significant. Their nearness to the 52-week high positively predicts future market returns, while their nearness to the historical high negatively predicts future market returns. The results may due to their high visibility in the Taiwan market. These findings are consistent with the limited investor attention and anchoring hypothesis.en_US
dc.description.tableofcontents 1. Introduction 1
2. Hypothesis development and prior literatures 5
2.1. Underreaction and overreaction 5
2.2. Limited attention 11
3. Data and methodology 15
4. Empirical results 19
4.1. Summary statistics 19
4.2. Main regression on the TAIEX predictors 20
4.3. Regression on the other indices 23
4.4. Controlling for the business cycle 26
5. Conclusion 29
References 34		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100357016en_US
dc.subject (關鍵詞) attentionzh_TW
dc.subject (關鍵詞) anchorzh_TW
dc.subject (關鍵詞) overreactionzh_TW
dc.subject (關鍵詞) underreactionzh_TW
dc.subject (關鍵詞) 52-week highzh_TW
dc.subject (關鍵詞) historical highzh_TW
dc.title (題名) 投資人注意力及定錨效應：以台灣股票市場為例zh_TW
dc.title (題名) Investor attention and anchoring: Evidence from the Taiwan stock marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Bernard, V., 1992. Stock price reactions to earnings announcements In: Thaler, R. (Ed.), Advances in Behavioral Finance. Russell Sage Foundation, New York, pp. 303-340.
Chan, L., Jegadeesh, N., Lakonishok, J., 1997. Momentum strategies. Journal of Finance 51, 1681-1713.
Chang, W. L., 2007. The Relationships between consumer confident index and Taiwan stock market. Unpublished master’s thesis. National Central University, Taoyuan, Taiwan.
Chen, I. C., 2001. The relation between macroeconomic factors and the stock and bond returns. Unpublished master’s thesis. National Sun Yat-sen University, Kaohsiung, Taiwan.
Chen, W. C., 1987. The effect of change in interest rate on the stock price. Unpublished master’s thesis. National Chengchi University, Taipei, Taiwan.
Cutler, D., Poterba, J., Summers, L., 1991. Speculative dynamics. Review of Economic Studies 58, 529-546.
De Bondt, W., Thaler, R., 1985. Does the stock market overreact? Journal of Finance 40, 793-808.
Edwards, W., 1968. Conservatism in human information processing. In: Kleinmutz, B. (Ed.), Formal Representation of Human Judgment. John Wiley and Sons, New York, pp. 17-52.
Fama, E., French, K., 1988. Permanent and temporary components of stock prices. Journal of Political Economy 96, 246-273.
George, T., Hwang, C., 2004. The 52-week high and momentum investing. Journal of Finance 59, 2145-2176.
Griffin, D., Tversky, A., 1992. The weighing of evidence and the determinants of confidence. Cognitive Psychology 24, 411-435.
Hsiao, P. C., 2003. The study of the correlation between yield spread and stock market in Taiwan. Unpublished master’s thesis. National Chiao Tung University, Hsinchu, Taiwan.
Ikenberry, D., Lakonishok, J., Vermaelen, T., 1995. Market underreaction to open market share repurchases. Journal of Financial Economics 39, 181-208.
Ikenberry, D., Rankine, G., Stice, E., 1996. What do stock splits really signal? Journal of Financial and Quantitative Analysis 31, 357-375.
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., 1973. Attention and Effort. Prentice-Hall, Englewood Cliffs, New Jersey.
Kahneman, D., Slovic, P., Tversky, A., 1982, Judgment under Uncertainty: Heuristics and Biases. Cambridge University Press, New York.
Kuo, H. M., 1998. The relationship between monetary policy and excess stock returns: an empirical analysis of Taiwan market. Unpublished master’s thesis. Tamkang University, Taipei, Taiwan.
Li, J., Yu, J., 2012. Investor attention, psychological anchor, and stock return predictability. Journal of Financial Economics 104, 401-419.
Loughran, T., Ritter, J., 1995. The new issues puzzle. Journal of Finance 50, 23-51.
Michaely, R., Thaler, R., Womack, K., 1995. Price reactions to dividend initiations and omissions: overreaction or drift? Journal of Finance 50, 573-608.
Newey, W., West, K., 1987. A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
Pashler, H., Johnston, J., 1998. Attentional limitations in dual-task performance. In: Pashler, H. (Ed.), Attention. Psychology Press, Hove, UK.
Peng, L., Xiong, W., 2006. Investor attention, overconfidence, and category learning. Journal of Financial Economics 80, 563-602.
Poterba, J., Summers, L., 1988. Mean-reversion in stock prices: evidence and implications. Journal of Financial Economics 22, 27-59.
Rouwenhorst, G., 1998. International momentum strategies. Journal of Finance 53, 267-284.
Spiess, K., Affleck-Graves, J., 1995. Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics 38, 243-267.
Tversky, A., Kahneman, D., 1974. Judgment under uncertainty: heuristics and biases. Science 185, 1124-1131.
Zarowin, P., 1989. Does the stock market overreact to corporate earnings information? Journal of Finance 44, 1385-1400.		zh_TW