1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 投資人情緒、動能、與公司治理對股價的影響
The Influence of investor sentiment, momentum, and corporate governance
作者 吳孟臻
Wu, Meng Chen
貢獻者 李志宏
Lee, Chih Hung
吳孟臻
Wu, Meng Chen
關鍵詞 投資人情緒
動能
公司治理
股價
investor sentiment
momentum
corporate governance
日期 2010
上傳時間 9-Sep-2013 11:29:26 (UTC+8)
摘要 本研究採2003年12月至2010年6月上市上櫃公司為研究樣本，檢驗當期投資人情緒、公司治理、及動能投資策略對下期股價獲利的影響，與先前研究不同之處在於，投資人情緒使用世新大學投資人情緒資料庫所提供之「投資人情緒指數」。實證結果為:
1、當期投資人情緒悲觀會使得當期股價低估，而使下期股價向上修正時有較高的報酬率。
2、公司治理佳的股票報酬率顯著大於公司治理劣的股票報酬率。
3、過去股價報酬率較高者未來也有較高的獲利，反之則較低。
4、投資人情緒相較於公司治理及動能策略而言，為主要的影響股價的因素。
5、金融海嘯時，投資人情緒悲觀仍使下期股價有較高的報酬率，但公司治理劣者報酬率顯著大於公司治理佳者。
參考文獻 Antoniou C., Doukas J. and Subrahmanyam A.(2010), “ Sentiment and Momentum”, working paper.
2. Albert Jr.,Robert L., and Smaby, T.R.(1996), " Market response to analyst recommendations in the `dartboard` column : The information and price-pressure effect," Review of Financial Economics, pp.59-74
3. Allen, J.W. and G.M., Phillips(2000),"Corporate equity ownership, strategic alliances, and product market relationships," The Journal of Finance, 6, 2791-2814
4. Andreassen, P. and S. Krause, 1988, “Explaining the price-volume relationship,” Organizational Behavior and Human Performance, 41(3), 347-372.
5. Andreassen, P. and S. Krause, 1990, “Judgmental extrapolation and the salience of change,” Journal of forecasting, 9(5), 347-372.
6. Ang, A., J. Chen, and Y. Xing (2001), Downside Risk and the Momentum Effect, NBER working paper 8643
7. Antweiler, W. and Frank, M.Z., 2001, Is all the talk just noise: The information content of internet stock message boards, Working paper, University of British Columbia.
8. Baker, M. and J.C. Stein (2004). “Market liquidity as a sentiment indicator,” Journal of Financial Markets 7, pp. 271-299.
9. Brown, G. W. and M. T. Cliff (2004). Investor sentiment and the near-term stock market.Journal of Empirical Finance 11, 1–27.
10. Brown, G. W. and M. T. Cliff (2005). Investor sentiment and asset valuation. Journal of Business 78 (2), 405–440.
11. Barber, B. (1999), “Noise Trader Risk, Odd-Lot Trading, and Security Return”, Working Paper, University f California at Davis.
12. Barberis, N., Andrei Shleifer, and Robert Vishny, (1998), “A model of investor sentiment”, Journal of Financial Economics, 49, 307–343.
13. Barkham, R.J. and C.W.R. Ward(1999), “Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K.”, Journal of Real Estate Research, Vol.18, 291-312
14. Chan, K.C. (1998), " On the contrarian investment strategy," Journal of Business, vol.61, no.2, pp.147-163
32
15. Chen, K. C. W., Chen, Z. H. and J. K. C. Wei. 2003. Disclosure, corporate governance, and the cost of equity capital: Evidence from Asia’s emerging markets. SSRN Working Paper
16. Chordia T., Roll R., Subrahmanyam A., 2002, “Order imbalance, liquidity, and market returns,” Journal of Financial Economics, 65, 1, 111-130.
17. Claessens, S., S. Djankov, and L. H. P. Lang. 2000. The separation of ownership and control in East Asian corporation. Journal of Financial Economics 58(1): 81-112
18. Chen, A. (2000), “Momentum does not Matter Consistently: The Evidence from Taiwan Stock Returns.” working pape
19. Clarke, R.G., and Statman, M.(1998), “Bullish or Bearish？” Financial Analysts Journal 5, pp.63-72.
20. Conrad, J., and G. Kaul, 1998, “An Anatomy of Trading Strategies,” Review of Financial Studies 11, No. 3(Fall): 489-519
21. Daniel, Hirshleifer, and Subrahmanyam (1998)
22. DeBondt and Thaler(1985),”Does the stock market overreact?”, Journal of Finance, Vol.40,No.3, pp.793-805
23. Daniel, K., Hirshleifer, D. and Subrahmanyam, A. (1998), “Investor psychology and security market over- and under-reactions,” Journal of Finance, Vol.53, No.6, pp. 1839–1885.
24. David, P.L., and Cance, M.(1978), " Stock Prices and The Publication of Second-Head Information," The Journal of Business 51, pp.43-57
25. De Bondt, W.(1993), " Betting on Trends: Intuitive Forecasts of Financial Risk and Return," International Journal of Forecasting 9, pp.355-371
26. De Long, J.B., A. Shleifer, L. H. Summers and R.J. Waldmann(1990), "Positive feedback investment strategies and destabilizing rational speculation," Journal of Finance, Vol.25, pp375-395
27. Fisher, K.L. and Statman, M., (2000),"Investor sentiment and stock returns", Financial Analysts Journal, 3(4), 16-23
28. Fuerst, O., & Kang, S.H.(2000), "Corporate governance, expected operating performance, and pricing", working paper, Yale School of management, New Haven
29. Gompers, P., J. Ishii, and A. Metrick, 2003, Corporate Governance and equity prices, Quarterly Journal of Economics, Vol. 118: 107-155.
30. Hong, H. and J.C. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54,2143-2184
31. Huth, William L. , B. A. Maris ,(1992), “Large and small firm stock price response to ‘Heard On The Street’recommendation”, Journal of Accounting, Auditing&
33
Finance, 7, Iss.1, pp.27-47.
32. Jensen, M.C., and W.H. Meckling (1976) “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure” Journal of Financial Economics, October, V.3, 4, pp. 305-360.
33. Jones, C., 2001. "A century of stock market liquidity and trading costs", working paper, Columbia University
34. Kaniel, R., G. Saar and S. Titman (2004), "Individual investor sentiment and stock returns", working paper, Duke University
35. Keim, D., Kriegel, H., and Ankerst, M. (1995). Recursive pattern: a technique for visualizing very large amounts of data. Proc. of Visualization `95, p. 279-86.
36. Jegadeesh and Titman(1993),” Returns to buying winners and selling losers-implications for stock-market efficiency.”, Journal of Finance, Vol.48, No.1, pp.65-91
37. Lakonishok, J. and E. Maberly (1990), “The Weekend Effect: Trading Patterns of Individual and Institutional Investors”, Journal of Finance, Vol.45(1), 231-243
38. Lee, W. Y., C. X. Jiang, and D. C. Indro(2002), “Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment’, Journal of Banking & Finance, Vol.26, 2277-2299
39. Lemmon, M., and E. Portniaguina, (2006),"Consumer confidence and asset prices: Some empirical evidence", Review of Financial Studies 19, 1499-1529.
40. Liu, P., S. D. Smith and A. A. Syed(1990), "Stock price reactions to the Wall Street Journal`s securities recommendations", Journal of Financial and Quantitative Anaylsis, 25(3), pp.399-410
41. Liu, W. M., (2006), "A liquidity-augmented capital asset pricing model", Journal of Financial Economics 82, pp.631-671
42. Lo, A., and A. C. MacKinlay, 1998, “When are contrarian profits due to stock market overreaction?” Review of Financial Studies 3, 175-208.
43. Malcolm Baker and Jeffrey Wurgler(2006), “ Investor Sentiment and the Cross-Section of Stock Returns”, Journal of Finance, Vol.LXI, No.4, 1645-1678
44. Mitton, T. (2002), “A cross-firm analysis of the impact of corporate governance on the East Asian financial crisis.”, Journal of Financial Economics, Vol.64, No.2, pp.215-241
45. Mitchell, M.L., Mulherin, J.H., 1994. The impact of public information on the stock market. Journal of Finance 49,923–950
46. Neal, R. and S.M. Wheatley(1998), “Do Measures of Investor Sentiment Predict Returns”, Journal of Financial and Quantitative Analysis, Vol.33, 523-547
34
47. Patton, A. and J. C. Baker, “Why Won’t Directors Rock the Boat?” Harvard Business Review, 1987, 10-18
48. Rouwenhorst, K. G. (1998), “International Momentum Strategies.” Journal of Finance, 53, No.1,pp.267-84
49. Schiereck, D., W. F. M. De Bondt, and M. Weber,(1999),” Contrarian and momentum strategies in germany”, Financial Analysts Journal 55, 104-116
50. Schmeling, M. (2009), "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, 16, 394-408.
51. Shome, D. K. and S. Singh (1995), “Firm Value and External Blockholdings.” Financial Management, 24, No.4, pp.3-14.
52. Shleifer, A. and Vishny, R.W., “A Survey of Corporate Governance”, ”Journal of Finance ”, 55, 737-783.
53. Simon, D. and R. Wiggings III(2001), “S&P Futures and Contrary Sentiment Indicators,” Journal of Futures Market, 21, 447-462
54. Weir, C. and D.Liang, (2002), Governance structures, director independence and corporate performance in the UK, European Business Review,86-95
55. Yeh, Y. H., Lee, T. S., & Woidtke, T. 2001. Family control and corporate governance: Evidence from Taiwan. International Review of Finance, 2 (1/2): 21-48.
56. Yeh, Y. H., Lee, T. S., & Woidtke, T. (2001), "Family control and corporate governance: Evidence from Taiwan", International Review of Finance, 2 (1/2): 21-48
57. Yermack, David, 1996, Higher market valuation of companies a small board of directors, Journal of Financial Economics 40, 185-202
58. Zana and Cibulskiene(2010), “Investor Sentiment Effect on Stock Returns in Scandinavian Stock Market”, Economics and Management, ISSN 1822-6515
59.方國光（2002），公司治理與經營績效之實證研究-以上海證券交易所上市公司為例，國立台北大學會計學系未出版碩士論文。
60.古金尚（2003），「台灣股票市場投資者心理情緒影響因素之實證研究」，未碩士論文，朝陽科技大學財務金融所
61.朱榕屏，王明昌，謝企榮，郭照榮，莊建富(2003)，「台灣股市動能與反向策略」，2003年行為財務學暨法與財務學研討會，台北:世新大學
62.池祥萱、林煜恩、周賓凰(2007)，「基金績效持續與聰明錢效果:台灣實證」，管理學報，4(6)，1-19
63.林哲鵬、黃昭祥、李春安(2006)，「機構投資人行為與台灣股市報酬的關聯性」，財務金融學刊，第14卷第3期，頁111-50
64.許溪南、郭玟秀、鄭乃誠(2005)，「投資人情緒與股價報酬波動之互動關係:台灣股市之實證，台灣金融財務季刊，第六卷第三期，107-121
35
65.許溪南、陳慶芳(2005)，「公司治理指標與價值衡量之證實分析-以我國上市（櫃）公司為例」，南台科技大學財金所碩士論文
66.陳正佑(2002)，「台股動量策略與反向策略投資績效之研究」，中山大學財務管理研究所未出版博士論文
67.陳若菁(1996)，「會計資訊與分析師推薦投資股票之研究」，國立台灣大學會計研究所碩士論文
68.陳榮昌(2002)，「台灣股票報酬之結構分析」，國立中山大學財務管理研究所碩士論文
69.曾昱達與王正己(2002)，大眾媒體推薦資訊對台灣股票市場之影響
70.黃昭祥(2005)，「法人投資行為、成交量、與報酬可預測性—台灣股市動能效應或反轉現象之再探」，雲林科技大學籲理研究所未出版博士論文
71.鄭高輯，林泉源(2010)，「投資人情緒對投機型股票報酬之影響」，商略學報，2010年，2卷，1期，021-035
72.羅庚辛、朱孝恩、林書賢、蔡知倫(2009)，「短期動量、明確訊息與訊息不確定性下之動量投資策略績效」，2009台灣科技大學管理新思維學術研討會
73.蘇冠豪(2004)，「動量策略與市場雜訊互動關係之研究」，朝陽科技大學財務金融系碩士班碩士論文
描述 碩士
國立政治大學
財務管理研究所
98357027
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098357027
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.advisor Lee, Chih Hungen_US
dc.contributor.author (Authors) 吳孟臻zh_TW
dc.contributor.author (Authors) Wu, Meng Chenen_US
dc.creator (作者) 吳孟臻zh_TW
dc.creator (作者) Wu, Meng Chenen_US
dc.date (日期) 2010en_US
dc.date.accessioned 9-Sep-2013 11:29:26 (UTC+8)-
dc.date.available 9-Sep-2013 11:29:26 (UTC+8)-
dc.date.issued (上傳時間) 9-Sep-2013 11:29:26 (UTC+8)-
dc.identifier (Other Identifiers) G0098357027en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60634-
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) 98357027zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 本研究採2003年12月至2010年6月上市上櫃公司為研究樣本，檢驗當期投資人情緒、公司治理、及動能投資策略對下期股價獲利的影響，與先前研究不同之處在於，投資人情緒使用世新大學投資人情緒資料庫所提供之「投資人情緒指數」。實證結果為:
1、當期投資人情緒悲觀會使得當期股價低估，而使下期股價向上修正時有較高的報酬率。
2、公司治理佳的股票報酬率顯著大於公司治理劣的股票報酬率。
3、過去股價報酬率較高者未來也有較高的獲利，反之則較低。
4、投資人情緒相較於公司治理及動能策略而言，為主要的影響股價的因素。
5、金融海嘯時，投資人情緒悲觀仍使下期股價有較高的報酬率，但公司治理劣者報酬率顯著大於公司治理佳者。		zh_TW
dc.description.tableofcontents 目次 .......................................................................................................................................... 1
第一章 緒論 .............................................................................................................................. 3
第一節 研究動機與目的 ............................................................................................................ 3
第二節 研究內容與架構 ............................................................................................................ 5
第二章 文獻回顧 ....................................................................................................................... 6
第一節 股市動能與反轉 ............................................................................................................ 6
第二節 情緒指標的代理變數 .................................................................................................... 9
第三節 公司治理 ...................................................................................................................... 13
第三章 研究設計 ..................................................................................................................... 15
第一節 研究期間與資料來源 .................................................................................................. 15
第二節 設定情緒指標 .............................................................................................................. 16
第三節 動能策略建構 .............................................................................................................. 19
第四節 公司治理指數建構 ...................................................................................................... 21
第五節 以情緒指標、公司治理指數、動能建立投資策略 .................................................. 23
第四章 實證結果與分析 ......................................................................................................... 24
第一節 公司治理、投資人情緒、與動能對報酬率的影響 .................................................. 24
第二節 金融海嘯期間的影響 .................................................................................................. 28
第五章 結論與建議 ................................................................................................................. 29
第一節 研究結論 ...................................................................................................................... 29
第二節 研究建議與限制 .......................................................................................................... 30
參考文獻 ................................................................................................................................. 31
附錄 ........................................................................................................................................ 36		zh_TW
dc.format.extent 1069848 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098357027en_US
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 動能zh_TW
dc.subject (關鍵詞) 公司治理zh_TW
dc.subject (關鍵詞) 股價zh_TW
dc.subject (關鍵詞) investor sentimenten_US
dc.subject (關鍵詞) momentumen_US
dc.subject (關鍵詞) corporate governanceen_US
dc.title (題名) 投資人情緒、動能、與公司治理對股價的影響zh_TW
dc.title (題名) The Influence of investor sentiment, momentum, and corporate governanceen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Antoniou C., Doukas J. and Subrahmanyam A.(2010), “ Sentiment and Momentum”, working paper.
2. Albert Jr.,Robert L., and Smaby, T.R.(1996), " Market response to analyst recommendations in the `dartboard` column : The information and price-pressure effect," Review of Financial Economics, pp.59-74
3. Allen, J.W. and G.M., Phillips(2000),"Corporate equity ownership, strategic alliances, and product market relationships," The Journal of Finance, 6, 2791-2814
4. Andreassen, P. and S. Krause, 1988, “Explaining the price-volume relationship,” Organizational Behavior and Human Performance, 41(3), 347-372.
5. Andreassen, P. and S. Krause, 1990, “Judgmental extrapolation and the salience of change,” Journal of forecasting, 9(5), 347-372.
6. Ang, A., J. Chen, and Y. Xing (2001), Downside Risk and the Momentum Effect, NBER working paper 8643
7. Antweiler, W. and Frank, M.Z., 2001, Is all the talk just noise: The information content of internet stock message boards, Working paper, University of British Columbia.
8. Baker, M. and J.C. Stein (2004). “Market liquidity as a sentiment indicator,” Journal of Financial Markets 7, pp. 271-299.
9. Brown, G. W. and M. T. Cliff (2004). Investor sentiment and the near-term stock market.Journal of Empirical Finance 11, 1–27.
10. Brown, G. W. and M. T. Cliff (2005). Investor sentiment and asset valuation. Journal of Business 78 (2), 405–440.
11. Barber, B. (1999), “Noise Trader Risk, Odd-Lot Trading, and Security Return”, Working Paper, University f California at Davis.
12. Barberis, N., Andrei Shleifer, and Robert Vishny, (1998), “A model of investor sentiment”, Journal of Financial Economics, 49, 307–343.
13. Barkham, R.J. and C.W.R. Ward(1999), “Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K.”, Journal of Real Estate Research, Vol.18, 291-312
14. Chan, K.C. (1998), " On the contrarian investment strategy," Journal of Business, vol.61, no.2, pp.147-163
32
15. Chen, K. C. W., Chen, Z. H. and J. K. C. Wei. 2003. Disclosure, corporate governance, and the cost of equity capital: Evidence from Asia’s emerging markets. SSRN Working Paper
16. Chordia T., Roll R., Subrahmanyam A., 2002, “Order imbalance, liquidity, and market returns,” Journal of Financial Economics, 65, 1, 111-130.
17. Claessens, S., S. Djankov, and L. H. P. Lang. 2000. The separation of ownership and control in East Asian corporation. Journal of Financial Economics 58(1): 81-112
18. Chen, A. (2000), “Momentum does not Matter Consistently: The Evidence from Taiwan Stock Returns.” working pape
19. Clarke, R.G., and Statman, M.(1998), “Bullish or Bearish？” Financial Analysts Journal 5, pp.63-72.
20. Conrad, J., and G. Kaul, 1998, “An Anatomy of Trading Strategies,” Review of Financial Studies 11, No. 3(Fall): 489-519
21. Daniel, Hirshleifer, and Subrahmanyam (1998)
22. DeBondt and Thaler(1985),”Does the stock market overreact?”, Journal of Finance, Vol.40,No.3, pp.793-805
23. Daniel, K., Hirshleifer, D. and Subrahmanyam, A. (1998), “Investor psychology and security market over- and under-reactions,” Journal of Finance, Vol.53, No.6, pp. 1839–1885.
24. David, P.L., and Cance, M.(1978), " Stock Prices and The Publication of Second-Head Information," The Journal of Business 51, pp.43-57
25. De Bondt, W.(1993), " Betting on Trends: Intuitive Forecasts of Financial Risk and Return," International Journal of Forecasting 9, pp.355-371
26. De Long, J.B., A. Shleifer, L. H. Summers and R.J. Waldmann(1990), "Positive feedback investment strategies and destabilizing rational speculation," Journal of Finance, Vol.25, pp375-395
27. Fisher, K.L. and Statman, M., (2000),"Investor sentiment and stock returns", Financial Analysts Journal, 3(4), 16-23
28. Fuerst, O., & Kang, S.H.(2000), "Corporate governance, expected operating performance, and pricing", working paper, Yale School of management, New Haven
29. Gompers, P., J. Ishii, and A. Metrick, 2003, Corporate Governance and equity prices, Quarterly Journal of Economics, Vol. 118: 107-155.
30. Hong, H. and J.C. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54,2143-2184
31. Huth, William L. , B. A. Maris ,(1992), “Large and small firm stock price response to ‘Heard On The Street’recommendation”, Journal of Accounting, Auditing&
33
Finance, 7, Iss.1, pp.27-47.
32. Jensen, M.C., and W.H. Meckling (1976) “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure” Journal of Financial Economics, October, V.3, 4, pp. 305-360.
33. Jones, C., 2001. "A century of stock market liquidity and trading costs", working paper, Columbia University
34. Kaniel, R., G. Saar and S. Titman (2004), "Individual investor sentiment and stock returns", working paper, Duke University
35. Keim, D., Kriegel, H., and Ankerst, M. (1995). Recursive pattern: a technique for visualizing very large amounts of data. Proc. of Visualization `95, p. 279-86.
36. Jegadeesh and Titman(1993),” Returns to buying winners and selling losers-implications for stock-market efficiency.”, Journal of Finance, Vol.48, No.1, pp.65-91
37. Lakonishok, J. and E. Maberly (1990), “The Weekend Effect: Trading Patterns of Individual and Institutional Investors”, Journal of Finance, Vol.45(1), 231-243
38. Lee, W. Y., C. X. Jiang, and D. C. Indro(2002), “Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment’, Journal of Banking & Finance, Vol.26, 2277-2299
39. Lemmon, M., and E. Portniaguina, (2006),"Consumer confidence and asset prices: Some empirical evidence", Review of Financial Studies 19, 1499-1529.
40. Liu, P., S. D. Smith and A. A. Syed(1990), "Stock price reactions to the Wall Street Journal`s securities recommendations", Journal of Financial and Quantitative Anaylsis, 25(3), pp.399-410
41. Liu, W. M., (2006), "A liquidity-augmented capital asset pricing model", Journal of Financial Economics 82, pp.631-671
42. Lo, A., and A. C. MacKinlay, 1998, “When are contrarian profits due to stock market overreaction?” Review of Financial Studies 3, 175-208.
43. Malcolm Baker and Jeffrey Wurgler(2006), “ Investor Sentiment and the Cross-Section of Stock Returns”, Journal of Finance, Vol.LXI, No.4, 1645-1678
44. Mitton, T. (2002), “A cross-firm analysis of the impact of corporate governance on the East Asian financial crisis.”, Journal of Financial Economics, Vol.64, No.2, pp.215-241
45. Mitchell, M.L., Mulherin, J.H., 1994. The impact of public information on the stock market. Journal of Finance 49,923–950
46. Neal, R. and S.M. Wheatley(1998), “Do Measures of Investor Sentiment Predict Returns”, Journal of Financial and Quantitative Analysis, Vol.33, 523-547
34
47. Patton, A. and J. C. Baker, “Why Won’t Directors Rock the Boat?” Harvard Business Review, 1987, 10-18
48. Rouwenhorst, K. G. (1998), “International Momentum Strategies.” Journal of Finance, 53, No.1,pp.267-84
49. Schiereck, D., W. F. M. De Bondt, and M. Weber,(1999),” Contrarian and momentum strategies in germany”, Financial Analysts Journal 55, 104-116
50. Schmeling, M. (2009), "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, 16, 394-408.
51. Shome, D. K. and S. Singh (1995), “Firm Value and External Blockholdings.” Financial Management, 24, No.4, pp.3-14.
52. Shleifer, A. and Vishny, R.W., “A Survey of Corporate Governance”, ”Journal of Finance ”, 55, 737-783.
53. Simon, D. and R. Wiggings III(2001), “S&P Futures and Contrary Sentiment Indicators,” Journal of Futures Market, 21, 447-462
54. Weir, C. and D.Liang, (2002), Governance structures, director independence and corporate performance in the UK, European Business Review,86-95
55. Yeh, Y. H., Lee, T. S., & Woidtke, T. 2001. Family control and corporate governance: Evidence from Taiwan. International Review of Finance, 2 (1/2): 21-48.
56. Yeh, Y. H., Lee, T. S., & Woidtke, T. (2001), "Family control and corporate governance: Evidence from Taiwan", International Review of Finance, 2 (1/2): 21-48
57. Yermack, David, 1996, Higher market valuation of companies a small board of directors, Journal of Financial Economics 40, 185-202
58. Zana and Cibulskiene(2010), “Investor Sentiment Effect on Stock Returns in Scandinavian Stock Market”, Economics and Management, ISSN 1822-6515
59.方國光（2002），公司治理與經營績效之實證研究-以上海證券交易所上市公司為例，國立台北大學會計學系未出版碩士論文。
60.古金尚（2003），「台灣股票市場投資者心理情緒影響因素之實證研究」，未碩士論文，朝陽科技大學財務金融所
61.朱榕屏，王明昌，謝企榮，郭照榮，莊建富(2003)，「台灣股市動能與反向策略」，2003年行為財務學暨法與財務學研討會，台北:世新大學
62.池祥萱、林煜恩、周賓凰(2007)，「基金績效持續與聰明錢效果:台灣實證」，管理學報，4(6)，1-19
63.林哲鵬、黃昭祥、李春安(2006)，「機構投資人行為與台灣股市報酬的關聯性」，財務金融學刊，第14卷第3期，頁111-50
64.許溪南、郭玟秀、鄭乃誠(2005)，「投資人情緒與股價報酬波動之互動關係:台灣股市之實證，台灣金融財務季刊，第六卷第三期，107-121
35
65.許溪南、陳慶芳(2005)，「公司治理指標與價值衡量之證實分析-以我國上市（櫃）公司為例」，南台科技大學財金所碩士論文
66.陳正佑(2002)，「台股動量策略與反向策略投資績效之研究」，中山大學財務管理研究所未出版博士論文
67.陳若菁(1996)，「會計資訊與分析師推薦投資股票之研究」，國立台灣大學會計研究所碩士論文
68.陳榮昌(2002)，「台灣股票報酬之結構分析」，國立中山大學財務管理研究所碩士論文
69.曾昱達與王正己(2002)，大眾媒體推薦資訊對台灣股票市場之影響
70.黃昭祥(2005)，「法人投資行為、成交量、與報酬可預測性—台灣股市動能效應或反轉現象之再探」，雲林科技大學籲理研究所未出版博士論文
71.鄭高輯，林泉源(2010)，「投資人情緒對投機型股票報酬之影響」，商略學報，2010年，2卷，1期，021-035
72.羅庚辛、朱孝恩、林書賢、蔡知倫(2009)，「短期動量、明確訊息與訊息不確定性下之動量投資策略績效」，2009台灣科技大學管理新思維學術研討會
73.蘇冠豪(2004)，「動量策略與市場雜訊互動關係之研究」，朝陽科技大學財務金融系碩士班碩士論文		zh_TW