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 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, 463-476
Fisher, 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, Konanen_US
dc.contributor.author (Authors) 連振廷zh_TW
dc.contributor.author (Authors) Lien, Chen Tingen_US
dc.creator (作者) 連振廷zh_TW
dc.creator (作者) Lien, Chen Tingen_US
dc.date (日期) 2013en_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) G1013570302en_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) 101357030zh_TW
dc.description (描述) 102zh_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 Content
1. INTRODUCTION 4
2. DATA AND METHODOLOGY 8
2.1 ANNOUNCEMENT DAYS 8
2.2 AGGREGATE MARKET RETURNS 8
2.3 INVESTOR SENTIMENT 9
2.4 EXPECTED VARIANCE 9
2.5 SUMMARY STATISTICS 10
3 EMPIRICAL RESULTS 10
3.1 ABNORMAL RETURNS AND INVESTOR SENTIMENT 10
3.2 HIGH SENTIMENT AND LOW SENTIMENT 13
3.3 PREDICTABILITY OF INVESTOR SENTIMENT 14
3.4 WHICH FACTORS MATTERS: RISK OR INVESTOR SENTIMENT 15
4 ROBUSTNESS CHECKS 16
4.1 USING VIX AND CLOSED-END FUND DISCOUNT FACTORS AS THE PROXY OF INVESTOR SENTIMENT 16
4.2 TESTING VARIOUS PORTFOLIOS 18
5. CONCLUSION 19
REFERENCE 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/#G1013570302en_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 Sentimenten_US
dc.subject (關鍵詞) Announcement daysen_US
dc.subject (關鍵詞) Macroeconomic newsen_US
dc.subject (關鍵詞) Risk-return relationen_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) thesisen
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, 463-476
Fisher, 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