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研究生:廖婉秀
研究生(外文):Wan-Hsiu Liao
論文名稱:投資者熱潮與系統性風險
論文名稱(外文):Investor Sentiment and Systematic Risk
指導教授:方世詮方世詮引用關係劉惠玲劉惠玲引用關係
指導教授(外文):Shih-Chuan FangHui-Ling Lin
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:96
語文別:中文
論文頁數:35
中文關鍵詞:系統性風險馬可夫轉換迴歸模型投資者熱潮
外文關鍵詞:Systematic RiskCross-Sectional Equity PremiuInvestor Sentiment
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本研究主要探討股票市場上,投資者熱潮與系統性風險對橫斷面股票報酬的相對影響力。本文假設股票市場上同時存在兩群不同的投資者,各別的投資決策受到投資者熱潮與系統性風險的影響。本文沿用Hamilton(1989)的馬可夫轉換迴歸模型近似於上述假設,以瞭解股票市場中,系統性風險與投資者熱潮的相對影響力。本文亦想瞭解在研究期間內,橫斷面股票報酬在哪些時期主要受到系統性風險的影響,抑或受到投資者熱潮的影響較大。本文研究結果發現,大多數期間內,橫斷面股票報酬受到系統性風險的影響較大,且為連續性的影響。而投資者熱潮僅在特殊期間影響股市報酬,為間斷而短暫的現象。此外,本研究亦在投資者熱潮與系統性風險相互比較之議題下,另應用於對動能效應的來源探討,動能效應的起源源自於系統性風險或由投資者熱潮所引起的現象。本文實證結果傾向於支持動能效應是由投資者行為所驅動的現象。
The cross-sectional equity premiums determined by systematic risk in classical risk-based capital asset pricing model. However, Baker and Wurgler (2006) documented the investor sentiments would significantly impact the cross section of stock returns conditional on underlying systematic risk. Since systematic risk and investor sentiment coexist in stock market, their relative importance should be an interesting issue in the empirical asset pricing study. This paper concentrates on the interaction between behavioral asset pricing approach and risk-based approach by allowing time-varying relative importance. Applying the specifications of Fama and French (1993) three factor model and Baker and Wurgler (2006) sentiment index, this study use Markov Regime Switching Regression Model to study the time-varying relative importance of investor sentiment. The authors could also investigate the interaction patterns between behavioral asset pricing approach and risk-based asset pricing approach. Our analysis contributes beyond existing research in several additional aspects. To discover the interaction patterns between investor sentiment and systematic risk would improve our understandings to these two asset pricing approaches. This would provide a basis for rational asset pricing approach compromising with behavioral approach in the future. The time-varying relative importance of investor sentiment would largely contribute to explain the time-varying equity risk premiums.
目 錄
摘 要 I
Abstract II
誌 謝 III
目 錄 IV
表 目 錄 V
圖 目 錄 VI
第一章 緒論 1
第二章 系統性風險與投資者熱潮的相對重要性 6
第一節 實證模型 6
第二節 實證結果 10
第三節 美國股市歷史上的經濟泡沫化事件 16
第三章 動能效應起源於行為面或由基本面所引起? 18
第四章 結論 25
參考文獻 27


表 目 錄
表1 馬可夫轉換迴歸模型與最大概似法-高違約風險投資組合超額報酬 29
表3 馬可夫轉換迴歸模型與最大概似法-高違約風險投資組合超額報酬 31
表4 馬可夫轉換迴歸模型與最大概似法-高違約風險投資組合超額報酬 32
表5 概似比檢定 (LR test) -高違約風險投資組合之非線性模型比較 33
表6 馬可夫轉換迴歸模型與最大概似法-高違約風險投資組合超額報酬 34


圖 目 錄
圖1 投資者熱潮與系統性風險之期間變化-高與低違約風險投資組合 35
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