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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 9-九月-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.59-743. Allen, J.W. and G.M., Phillips(2000),"Corporate equity ownership, strategic alliances, and product market relationships," The Journal of Finance, 6, 2791-28144. 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 86437. 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, 291-31214. Chan, K.C. (1998), " On the contrarian investment strategy," Journal of Business, vol.61, no.2, pp.147-1633215. 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 Paper16. 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): 81-11218. Chen, A. (2000), “Momentum does not Matter Consistently: The Evidence from Taiwan Stock Returns.” working pape19. 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): 489-51921. Daniel, Hirshleifer, and Subrahmanyam (1998)22. DeBondt and Thaler(1985),”Does the stock market overreact?”, Journal of Finance, Vol.40,No.3, pp.793-80523. 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.43-5725. De Bondt, W.(1993), " Betting on Trends: Intuitive Forecasts of Financial Risk and Return," International Journal of Forecasting 9, pp.355-37126. 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, pp375-39527. Fisher, K.L. and Statman, M., (2000),"Investor sentiment and stock returns", Financial Analysts Journal, 3(4), 16-2328. Fuerst, O., & Kang, S.H.(2000), "Corporate governance, expected operating performance, and pricing", working paper, Yale School of management, New Haven29. 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 54,2143-218431. Huth, William L. , B. A. Maris ,(1992), “Large and small firm stock price response to ‘Heard On The Street’recommendation”, Journal of Accounting, Auditing&33Finance, 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 University34. Kaniel, R., G. Saar and S. Titman (2004), "Individual investor sentiment and stock returns", working paper, Duke University35. 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.65-9137. Lakonishok, J. and E. Maberly (1990), “The Weekend Effect: Trading Patterns of Individual and Institutional Investors”, Journal of Finance, Vol.45(1), 231-24338. 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, 2277-229939. 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.399-41041. Liu, W. M., (2006), "A liquidity-augmented capital asset pricing model", Journal of Financial Economics 82, pp.631-67142. 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, 1645-167844. 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.215-24145. Mitchell, M.L., Mulherin, J.H., 1994. The impact of public information on the stock market. Journal of Finance 49,923–95046. Neal, R. and S.M. Wheatley(1998), “Do Measures of Investor Sentiment Predict Returns”, Journal of Financial and Quantitative Analysis, Vol.33, 523-5473447. Patton, A. and J. C. Baker, “Why Won’t Directors Rock the Boat?” Harvard Business Review, 1987, 10-1848. Rouwenhorst, K. G. (1998), “International Momentum Strategies.” Journal of Finance, 53, No.1,pp.267-8449. Schiereck, D., W. F. M. De Bondt, and M. Weber,(1999),” Contrarian and momentum strategies in germany”, Financial Analysts Journal 55, 104-11650. Schmeling, M. (2009), "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, 16, 394-408.51. Shome, D. K. and S. 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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 Hung en_US dc.contributor.author (作者) 吳孟臻 zh_TW dc.contributor.author (作者) Wu, Meng Chen en_US dc.creator (作者) 吳孟臻 zh_TW dc.creator (作者) Wu, Meng Chen en_US dc.date (日期) 2010 en_US dc.date.accessioned 9-九月-2013 11:29:26 (UTC+8) - dc.date.available 9-九月-2013 11:29:26 (UTC+8) - dc.date.issued (上傳時間) 9-九月-2013 11:29:26 (UTC+8) - dc.identifier (其他 識別碼) G0098357027 en_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) 98357027 zh_TW dc.description (描述) 99 zh_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/#G0098357027 en_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 sentiment en_US dc.subject (關鍵詞) momentum en_US dc.subject (關鍵詞) corporate governance en_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 governance en_US dc.type (資料類型) thesis en 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.59-743. Allen, J.W. and G.M., Phillips(2000),"Corporate equity ownership, strategic alliances, and product market relationships," The Journal of Finance, 6, 2791-28144. 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 86437. 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, 291-31214. Chan, K.C. (1998), " On the contrarian investment strategy," Journal of Business, vol.61, no.2, pp.147-1633215. 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 Paper16. 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): 81-11218. Chen, A. (2000), “Momentum does not Matter Consistently: The Evidence from Taiwan Stock Returns.” working pape19. 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): 489-51921. Daniel, Hirshleifer, and Subrahmanyam (1998)22. DeBondt and Thaler(1985),”Does the stock market overreact?”, Journal of Finance, Vol.40,No.3, pp.793-80523. 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.43-5725. De Bondt, W.(1993), " Betting on Trends: Intuitive Forecasts of Financial Risk and Return," International Journal of Forecasting 9, pp.355-37126. 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, pp375-39527. Fisher, K.L. and Statman, M., (2000),"Investor sentiment and stock returns", Financial Analysts Journal, 3(4), 16-2328. Fuerst, O., & Kang, S.H.(2000), "Corporate governance, expected operating performance, and pricing", working paper, Yale School of management, New Haven29. 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 54,2143-218431. Huth, William L. , B. A. Maris ,(1992), “Large and small firm stock price response to ‘Heard On The Street’recommendation”, Journal of Accounting, Auditing&33Finance, 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 University34. Kaniel, R., G. Saar and S. Titman (2004), "Individual investor sentiment and stock returns", working paper, Duke University35. Keim, D., Kriegel, H., and Ankerst, M. (1995). Recursive pattern: a technique for visualizing very large amounts of data. 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