臺灣博碩士論文加值系統

對於先前的文獻通常都把訊息不確定性與股票報酬的關係歸功於投資者行為的偏見，例如對於新訊息的反應。本篇文章對於短期股票價格走勢具有貢獻。本篇文章研究訊息不確定性在股價走勢所扮演的角色。如果短期股票價格走勢是因為投資者行為的偏見，那麼我們應該觀察到當有正面不確定訊息時，股價走勢應該往上。結果，當有正面不確定訊息時，確實產生相對較高的期望報酬；相對地，當有負面不確定訊息時，確實產生較低的報酬，本篇的實證數據支持這項假設。至於對於訊息不確定程度而言，為不確定性愈高，報酬愈低。

For the prior literatures often attributes the relation between the information uncertainty and stock returns to investor behavioral biases such as underreaction to new information. There are substantial evidences of short-term stock price continuation. This paper investigates the role of information uncertainty in price continuation anomalies and cross-sectional variations in stock returns. If short-term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should make relatively higher expected returns following good news and relatively lower expected returns following bad news. The evidence of this paper supports this hypothesis. For information uncertainty level, when information uncertainty is higher, the return is lower.

CONTENTS
CHINESE ABSTRACT i
ENGLISH ABSTRACT ii
ACKNOWLEDGEMENTS iii
CONTENTS iv
LIST OF TABLE vi
CHAPTER 1 1
INTRODUCTION 1
1.1 Research Background and Motivation 1
1.2 Research Purpose 4
CHAPTER2 6
LITERATURE REVIEW 6
CHAPTER3 12
RESEARCH METHOD 12
3.1 Data Description 12
3.2 Variables 12
3.3 Construct the Portfolio 15
3.4 Four-Factor Model 17
3.5 Research Hypothesis 18
CHAPTER4 21
EMPIRICAL RESULT 21
4.1 Sample Data and Descriptive Statistics 21
4.2 Portfolio Effects of Information Uncertainty 22
4.3 Four-Factor Model Results 32
4.4 Summary 35
CHAPTER5 36
CONCLUSIONS 36
BIBLIOGRAPHY 38

LIST OF TABLES
1. Descriptive Statistics 22
2. Portfolio Returns by Information Uncertainty Proxy, Past Returns, and Analyst Forecast Revision 24
3. Portfolio Returns by Analyst Forecast Revision and Information Uncertainty Proxy 26
4. Portfolio Returns by Information Uncertainty Proxy, Past Returns, and Analyst Forecast Revision 29
5. Portfolio Returns by Forecast Revision, Momentum, and Information Uncertainty Proxy 31
6. Four-Factor Model Results 34


目錄
第一章 緒論1
第一節 研究背景與研究動機 1
第二節 研究目的 3
第二章 文獻探討 5
第三章 研究方法 12
第一節 資料說明 12
第二節 相關變數說明 12
第三節 組合建構說明 14
第四節 四因子模型 16
第五節 假說 17
第四章 實證結果分析 19
第一節 樣本描述 19
第二節 控制各變數下投資組合報酬 20
第三節 四因子模型的實證結果 30
第四節 重大實證總結 32
第五章　結論 33
參考文獻 35
表目錄
表一、敘述性統計資料 19
表二、依照訊息不確定性指標、過去的報酬、及分析師預測修正量的投資組合報酬 22
表三、依照分析師修正量及訊息不確定性指標的投資組合報酬 24
表四、依照股價動量及訊息不確定性指標的投資組合 26
表五、依照預測修正量、動量、及訊息不確定性指標的投資組合報酬 29
表六、四因子模型的結果 32

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