臺灣博碩士論文加值系統

根據DeLong, Shleifer, Summers and Waldmann（DSSW, 1990）之雜訊交易者模型，市場中存在部分非理性的雜訊交易者，會影響效率市場的運作。國內個別投資者參與度頗高，投資者情緒的存在及對市場報酬的影響可能也較明顯，故本文就此做一完整分析。

本研究以市場週轉率、新股發行比和資券餘額比做為情緒指標，對象是1985/01至2003/12之台灣上市股價月資料。首先觀察情緒變數與基本面風險的關係再進行時間序列分析，檢定情緒因子是否能相當程度的解釋市場報酬，結果發現僅市場週轉率顯著；而Granger 因果檢定顯示其與市場報酬間有顯著回饋影響關係。在預測後一年的市場報酬時，市場週轉率的係數顯著為負。

橫斷面分析主要參考Fama and MacBeth（1973）的實證方法，佐以Fama and French（1992）的方式來改善因素負荷量（factor loading）的估計誤差。採用CAPM、CRR、Fama and French公司特徵因子模型及綜合模型下分別加入三個情緒變數，結果發現三情緒變數在各模式下的風險溢酬都不顯著異於零。最後利用各投資組合的情緒敏感度高低來建立投資策略，發現僅市場週轉率能在忽略交易成本下獲得顯著的經濟利益。

According to DeLong, Shleifer, Summers and Waldmann（DSSW, 1990）, there are some noise traders who affect the market efficiency. And investor sentiment is one of the important factors.

Our study focuses on TSE monthly data from 1985/01 to 2003/12. We choose market turnover, new equity issues, and margin trading ratio as our investor sentiment proxy. By time series analysis, we find that market turnover both has significant effect and good predictability on market return. By cross-sectional analysis, the result shows that all three sentiment factors are not priced regardless of using different pricing models. At last, we construct some sentiment strategies. Only market turnover can gain the significant economic profit.

目 錄……………………………………………………………Ⅰ
表目錄……………………………………………………………Ⅱ
圖目錄……………………………………………………………Ⅲ

第一章 緒論……………………………………………………1
第一節 研究動機………………………………………………1
第二節 研究目的………………………………………………2
第三節 研究限制………………………………………………3
第四節 研究架構………………………………………………5
第二章 文獻探討………………………………………………7
第一節 投資者情緒……………………………………………7
第二節 投資者情緒指標………………………………………7
第三節 週轉率、新股發行比、資券餘額比…………………12
第三章 研究設計………………………………………………15
第一節 選樣設計………………………………..……………15
第二節 變數定義………………………………..……………16
第三節 研究方法與假說…………………..…………………21
第四章 實證結果與分析………………………………………25
第一節 樣本資料概況………………………………..………25
第二節 實證結果分析………………………………..………31
第五章 結論與建議……………………………………………43
第一節 總結………………………………..…………………43
第二節 建議………………………………..…………………44
參考文獻…………………………………………………………45

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