臺灣博碩士論文加值系統

過去的相關文獻指出，市場對資訊的過度反應是造成淨值市價比效應的驅動力。雖然過去有不少研究證實了淨值市價比效應確實存在於市場中，但大多將淨值市價比（B/M）視為一整個特徵變數來討論。不過，決定淨值市價比高低的因素，卻有可能來自於分母的市場價值（M），或分子帳面價值（B）的大小。因此，本研究欲以淨值市價比效應的觀點並分別拆解控制市場價值與帳面價值，探討在台灣股市具有領先地位的外資法人，其交易行為與無形資訊間的關聯性。

本研究結果顯示，前期無形報酬對當期外資券商持股比率具有負向關係，且外資對於當期具有極端無形報酬的投資組合從眾行為較為明顯。若進一步檢視外資在極端無形報酬之組合為買進從眾或賣出從眾，可由結果發現正向的無形資訊可以促使外資從眾買進，而負向的無形資訊會引起外資從眾賣出。此外，從本文研究結果亦可發現無論控制帳面價值或市場價值，對研究結果並無太大的影響，暗指淨值市價比效應的成因並不單獨為帳面價值或市場價值。

According to the empirical literature, it reveals that market overreaction is a driving force of the book-to-market effect. Although book-to-market effect has been showed in abundant literatures, but most of the papers take this ratio as a variable to discuss. However, this ratio could be divided into book value and market value. And which is the key factor to dominate book-to-market ratio and cause this abnormal effect? Hence, the purpose of this study is to discuss the the relationship between trading behavior of foreign investors in Taiwan and intangible information by the perspective of book-to-market effect and dismantle the book-to-market ratio as the market value and book value.

The result of this study shows that past intangible returns negatively predict future ownership of foreign investors, and foreign investors tend to buy (sell) stocks in herd in response to positive (negative) intangible information. This study also reveals that the book-to-market effect is not simply caused by book value or market value.

摘 要 i
ABSTRACT ii
誌 謝 iii
目 錄 iv
表 目 錄 v
圖 目 錄 vi
第壹章 緒 論 1
第一節 研究背景與動機 1
第二節 研究目的 7
第三節 研究架構與流程 8
第貳章 文獻回顧 9
第一節 淨值市價比之相關研究 9
第二節 資訊對股價之影響 13
第三節 從眾行為相關文獻 16
第參章 研究方法 21
第一節 研究期間與資料來源 21
第二節 追蹤資料向量自我迴歸 25
第三節 從眾行為之衡量方法 33
第肆章 實證結果 36
第一節 敘述統計量與無形報酬 36
第二節 追蹤資料向量自我迴歸 40
第三節 無形報酬與外資從眾行為 56
第伍章 結論與建議 59
第一節 研究結論 59
第二節 研究限制及建議 61
附錄 62
參考文獻 68

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