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題名 總體經濟變數宣告日與非宣告日報酬差異之研究
A Tale of Two Days: Investor Sentiment or Risk?作者 連振廷
Lien, Chen Ting貢獻者 湛可南
Chan, Konan
連振廷
Lien, Chen Ting關鍵詞 投資人情緒
總體經濟變數
宣告日
風險
Investor Sentiment
Announcement days
Macroeconomic news
Risk-return relation日期 2013 上傳時間 6-Aug-2014 11:40:46 (UTC+8) 摘要 1966年至2010年市場報酬資料顯示，在總體經濟變數宣告日的市場報酬比非宣告日的市場報酬高出數倍之多。本研究結果發現，市場投資人情緒高低與宣告日及非宣告日報酬差異有正向相關，並且投資人情緒能夠預期其報酬差異。除此之外，在市場熱絡期間，投資人情緒能夠顯著解釋其差異，而市場情緒悲觀其間，則不存在此現象。此外，本研究進一步探討風險與情緒對於報酬的解釋能力，我們發現在市場熱絡期間，投資人情緒能夠解釋其報酬差異現象，而在市場悲觀期間其報酬差異存在風險抵換關係。
The returns of the days that macroeconomic news scheduled for release (announcement days) are extremely higher than those of other trading days. This paper indicates that investor sentiment is positively related to the excess returns difference and it predicts the difference of the returns. Also, investor sentiment is a significant factor to explain the excess returns difference during high sentiment period, whereas it is not significant during low sentiment period. Finally, we reconcile risk factor and sentiment factor toward the excess returns difference, suggesting that investor sentiment plays an important role in the excess returns difference between announcement days and other days.參考文獻 Baker, M., Wurgler, J., 2006. Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance 61, 1645-1680.Baker, M., Wurgler, J., 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21, 129-151.Bernanke, B.S., Kuttner, K.N., 2005. What explains the stock market`s reaction to Federal Reserve policy? The Journal of Finance 60, 1221-1257.Birz, G., Lott, J.R., 2011. The effect of macroeconomic news on stock returns: New evidence from newspaper coverage. Journal of Banking & Finance 35, 2791-2800.Bjørnland, H.C., Leitemo, K., 2009. Identifying the interdependence between US monetary policy and the stock market. Journal of Monetary Economics 56, 275-282.Black, F., 1972. Capital market equilibrium with restricted borrowing. Journal of business, 444-455.Black, F., 1986. Noise. The Journal of Finance 41, 529-543.Black, F., 1995. Estimating expected return. Journal of Financial Education, 1-4.Brown, G.W., Cliff, M.T., 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 11, 1-27.Chopra, N., Lee, C.M.C., Shleifer, A., Thaler, R.H., 1993. Yes, Discounts on Closed-End Funds Are a Sentiment Index. The Journal of Finance 48, 801-808.De Long, J.B., Andrei, S., Lawrence, H.S., Robert, J.W., 1990. Noise Trader Risk in Financial Markets. Journal of Political Economy 98, 703-38.Fama, E.F., French, K.R., 1992. The Cross-Section of Expected Stock Returns. The Journal of Finance 47, 427-465.Fama, E.F., French, K.R., 1996. Multifactor Explanations of Asset Pricing Anomalies. The Journal of Finance 51, 55-84.Figlewski, S., 1981. The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence. Journal of Financial and Quantitative Analysis 16, 463-476Fisher, K.L., Statman, M., 2000. Investor sentiment and stock returns. Financial Analysts Journal, 16-23.French, K.R., Schwert, G.W., Stambaugh, R.F., 1987. Expected stock returns and volatility. Journal of Financial Economics 19, 3-29.Ioannidis, C., Kontonikas, A., 2008. The impact of monetary policy on stock prices. Journal of Policy Modeling 30, 33-53.Kaniel, R.O.N., Saar, G., Titman, S., 2008. Individual Investor Trading and Stock Returns. The Journal of Finance 63, 273-310.Kumar, A., Lee, C.M.C., 2006. Retail Investor Sentiment and Return Comovements. The Journal of Finance 61, 2451-2486.Lakonishok, J., Shleifer, A., Vishny, R.W., 1994. Contrarian Investment, Extrapolation, and Risk. The Journal of Finance 49, 1541-1578.Lee, C.M.C., Shleifer, A., Thaler, R.H., 1991. Investor Sentiment and the Closed-End Fund Puzzle. The Journal of Finance 46, 75-109.Lee, W.Y., Jiang, C.X., Indro, D.C., 2002. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance 26, 2277-2299.Lemmon, M., Portniaguina, E., 2006. Consumer Confidence and Asset Prices: Some Empirical Evidence. Review of Financial Studies 19, 1499-1529.Pastor, L.U., Veronesi, P., 2012. Uncertainty about Government Policy and Stock Prices. The Journal of Finance 67, 1219-1264.Podolski–Boczar, E., Kalev, P.S., Duong, H.N., 2009. Deafened by Noise: Do Noise Traders Affect Volatility and Returns? Working paper, Monash University.Polk, C., Thompson, S., Vuolteenaho, T., 2006. Cross-sectional forecasts of the equity premium. Journal of Financial Economics 81, 101-141.Savor, P., Wilson, M., 2013. How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements. Journal of Financial and Quantitative Analysis 48, 343-375.Savor, P., Wilson, M.I., 2012. Asset pricing: A tale of two days. Journal of Financial Economics, forthcoming.Shleifer, A., 2012. Psychologists at the Gate: Review of Daniel Kahneman’s Thinking, Fast and Slow. Journal of Economic Literature 50, 1080-1091.Shleifer, A., Summers, L.H., 1990. The Noise Trader Approach to Finance. Journal of Economic Perspectives 4, 19-33.Simon, D.P., Wiggins, R.A., 2001. S&P futures returns and contrary sentiment indicators. Journal of Futures Markets 21, 447-462.Stambaugh, R.F., Yu, J., Yuan, Y., 2012. The short of it: Investor sentiment and anomalies. Journal of Financial Economics 104, 288-302.Tetlock, P.C., 2007. Giving Content to Investor Sentiment: The Role of Media in the Stock Market. The Journal of Finance 62, 1139-1168. 描述 碩士
國立政治大學
財務管理研究所
101357030
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G1013570302 資料類型 thesis dc.contributor.advisor 湛可南 zh_TW dc.contributor.advisor Chan, Konan en_US dc.contributor.author (Authors) 連振廷 zh_TW dc.contributor.author (Authors) Lien, Chen Ting en_US dc.creator (作者) 連振廷 zh_TW dc.creator (作者) Lien, Chen Ting en_US dc.date (日期) 2013 en_US dc.date.accessioned 6-Aug-2014 11:40:46 (UTC+8) - dc.date.available 6-Aug-2014 11:40:46 (UTC+8) - dc.date.issued (上傳時間) 6-Aug-2014 11:40:46 (UTC+8) - dc.identifier (Other Identifiers) G1013570302 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/68233 - 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) 101357030 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 1966年至2010年市場報酬資料顯示，在總體經濟變數宣告日的市場報酬比非宣告日的市場報酬高出數倍之多。本研究結果發現，市場投資人情緒高低與宣告日及非宣告日報酬差異有正向相關，並且投資人情緒能夠預期其報酬差異。除此之外，在市場熱絡期間，投資人情緒能夠顯著解釋其差異，而市場情緒悲觀其間，則不存在此現象。此外，本研究進一步探討風險與情緒對於報酬的解釋能力，我們發現在市場熱絡期間，投資人情緒能夠解釋其報酬差異現象，而在市場悲觀期間其報酬差異存在風險抵換關係。 zh_TW dc.description.abstract (摘要) The returns of the days that macroeconomic news scheduled for release (announcement days) are extremely higher than those of other trading days. This paper indicates that investor sentiment is positively related to the excess returns difference and it predicts the difference of the returns. Also, investor sentiment is a significant factor to explain the excess returns difference during high sentiment period, whereas it is not significant during low sentiment period. Finally, we reconcile risk factor and sentiment factor toward the excess returns difference, suggesting that investor sentiment plays an important role in the excess returns difference between announcement days and other days. en_US dc.description.tableofcontents Content1. INTRODUCTION 42. DATA AND METHODOLOGY 82.1 ANNOUNCEMENT DAYS 82.2 AGGREGATE MARKET RETURNS 82.3 INVESTOR SENTIMENT 92.4 EXPECTED VARIANCE 92.5 SUMMARY STATISTICS 103 EMPIRICAL RESULTS 103.1 ABNORMAL RETURNS AND INVESTOR SENTIMENT 103.2 HIGH SENTIMENT AND LOW SENTIMENT 133.3 PREDICTABILITY OF INVESTOR SENTIMENT 143.4 WHICH FACTORS MATTERS: RISK OR INVESTOR SENTIMENT 154 ROBUSTNESS CHECKS 164.1 USING VIX AND CLOSED-END FUND DISCOUNT FACTORS AS THE PROXY OF INVESTOR SENTIMENT 164.2 TESTING VARIOUS PORTFOLIOS 185. CONCLUSION 19REFERENCE 21 zh_TW dc.format.extent 2070932 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/#G1013570302 en_US dc.subject (關鍵詞) 投資人情緒 zh_TW dc.subject (關鍵詞) 總體經濟變數 zh_TW dc.subject (關鍵詞) 宣告日 zh_TW dc.subject (關鍵詞) 風險 zh_TW dc.subject (關鍵詞) Investor Sentiment en_US dc.subject (關鍵詞) Announcement days en_US dc.subject (關鍵詞) Macroeconomic news en_US dc.subject (關鍵詞) Risk-return relation en_US dc.title (題名) 總體經濟變數宣告日與非宣告日報酬差異之研究 zh_TW dc.title (題名) A Tale of Two Days: Investor Sentiment or Risk? en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Baker, M., Wurgler, J., 2006. Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance 61, 1645-1680.Baker, M., Wurgler, J., 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21, 129-151.Bernanke, B.S., Kuttner, K.N., 2005. What explains the stock market`s reaction to Federal Reserve policy? The Journal of Finance 60, 1221-1257.Birz, G., Lott, J.R., 2011. The effect of macroeconomic news on stock returns: New evidence from newspaper coverage. Journal of Banking & Finance 35, 2791-2800.Bjørnland, H.C., Leitemo, K., 2009. Identifying the interdependence between US monetary policy and the stock market. Journal of Monetary Economics 56, 275-282.Black, F., 1972. Capital market equilibrium with restricted borrowing. Journal of business, 444-455.Black, F., 1986. Noise. The Journal of Finance 41, 529-543.Black, F., 1995. Estimating expected return. Journal of Financial Education, 1-4.Brown, G.W., Cliff, M.T., 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 11, 1-27.Chopra, N., Lee, C.M.C., Shleifer, A., Thaler, R.H., 1993. Yes, Discounts on Closed-End Funds Are a Sentiment Index. The Journal of Finance 48, 801-808.De Long, J.B., Andrei, S., Lawrence, H.S., Robert, J.W., 1990. Noise Trader Risk in Financial Markets. Journal of Political Economy 98, 703-38.Fama, E.F., French, K.R., 1992. The Cross-Section of Expected Stock Returns. The Journal of Finance 47, 427-465.Fama, E.F., French, K.R., 1996. Multifactor Explanations of Asset Pricing Anomalies. The Journal of Finance 51, 55-84.Figlewski, S., 1981. The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence. Journal of Financial and Quantitative Analysis 16, 463-476Fisher, K.L., Statman, M., 2000. Investor sentiment and stock returns. Financial Analysts Journal, 16-23.French, K.R., Schwert, G.W., Stambaugh, R.F., 1987. Expected stock returns and volatility. Journal of Financial Economics 19, 3-29.Ioannidis, C., Kontonikas, A., 2008. The impact of monetary policy on stock prices. Journal of Policy Modeling 30, 33-53.Kaniel, R.O.N., Saar, G., Titman, S., 2008. Individual Investor Trading and Stock Returns. The Journal of Finance 63, 273-310.Kumar, A., Lee, C.M.C., 2006. Retail Investor Sentiment and Return Comovements. The Journal of Finance 61, 2451-2486.Lakonishok, J., Shleifer, A., Vishny, R.W., 1994. Contrarian Investment, Extrapolation, and Risk. The Journal of Finance 49, 1541-1578.Lee, C.M.C., Shleifer, A., Thaler, R.H., 1991. Investor Sentiment and the Closed-End Fund Puzzle. The Journal of Finance 46, 75-109.Lee, W.Y., Jiang, C.X., Indro, D.C., 2002. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance 26, 2277-2299.Lemmon, M., Portniaguina, E., 2006. Consumer Confidence and Asset Prices: Some Empirical Evidence. Review of Financial Studies 19, 1499-1529.Pastor, L.U., Veronesi, P., 2012. Uncertainty about Government Policy and Stock Prices. The Journal of Finance 67, 1219-1264.Podolski–Boczar, E., Kalev, P.S., Duong, H.N., 2009. Deafened by Noise: Do Noise Traders Affect Volatility and Returns? Working paper, Monash University.Polk, C., Thompson, S., Vuolteenaho, T., 2006. Cross-sectional forecasts of the equity premium. Journal of Financial Economics 81, 101-141.Savor, P., Wilson, M., 2013. How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements. Journal of Financial and Quantitative Analysis 48, 343-375.Savor, P., Wilson, M.I., 2012. Asset pricing: A tale of two days. Journal of Financial Economics, forthcoming.Shleifer, A., 2012. Psychologists at the Gate: Review of Daniel Kahneman’s Thinking, Fast and Slow. Journal of Economic Literature 50, 1080-1091.Shleifer, A., Summers, L.H., 1990. The Noise Trader Approach to Finance. Journal of Economic Perspectives 4, 19-33.Simon, D.P., Wiggins, R.A., 2001. S&P futures returns and contrary sentiment indicators. Journal of Futures Markets 21, 447-462.Stambaugh, R.F., Yu, J., Yuan, Y., 2012. The short of it: Investor sentiment and anomalies. Journal of Financial Economics 104, 288-302.Tetlock, P.C., 2007. Giving Content to Investor Sentiment: The Role of Media in the Stock Market. The Journal of Finance 62, 1139-1168. zh_TW
