臺灣博碩士論文加值系統

　　Baker與Wurgler (2006)提出前期情緒會影響股票的隨後報酬，當情緒較高(投資者看漲)時，具有較難以套利或難以主觀評價特性的股票，例如：「小公司、高風險性(波動性)、無獲利型、無支付股利型、極端成長型或危機型」股票，對樂觀或投機型的投資者而言會變得較具吸引力，投資者傾向於得到較低的隨後報酬，然而，當情緒較低(投資者看跌)時，那些較難以套利或難以主觀評價特性的股票自然地變得不具吸引力了，投資者則傾向於得到較高的隨後報酬。
　　本文研究投資者情緒如何影響長短期股票報酬，預期情緒之波動會影響較主觀評價且難以套利的股票，進一步地，探討不同公司特性在不同形成期之情緒指數與不同持有期間之投資組合期間搭配策略之間的情緒與報酬相關性。本文以1974年1月至2006年12月之美國三大交易市場股票作研究，結果證實當情緒較低時，高風險性(波動性)、無獲利型、無支付股利型、極端成長型或危機型的股票隨後報酬確實會相對地上漲，且持有零投資組合( Long－Short portfolio) 12個月效果較為顯著。

　　Baker and Wurgler (2006) showed that the cross-section of future stock return is conditional on beginning-of-period proxies for sentiment.When sentiment is estimated to be high, stocks that are attractive to optimists and speculators—small stocks, high -volatility stocks, unprofitable stocks, non-dividend paying stocks, extreme-growth stocks, and distressed stocks—tend to earn relatively low subsequent returns. However, when sentiment is estimated to be low, stocks that are unattractive to optimists and speculators tend to earn relatively low subsequent returns.
　　This paper studies how investor sentiment affects the short-run and long-run stock returns. We predict a wave of investor sentiment disproportionately affects securities whose valuations are highly subjective and are difficult to arbitrage, and analyze the relationship between investor sentiment and the short-run and long-run stock returns. This research is based on listed firms on the NYSE, AMEX and NASDAQ, and the sample period is from January 1974 through December 2006. We document that when beginning-of-period proxies for investor sentiment are low, subsequent returns are relatively high on high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme-growth stocks, and distressed stocks. Moreover, we find that holding the long-short portfolio may have more significant effects between investor sentiment and the long-run stock returns.

壹、 緒論 1
第一節　研究動機 1
第二節　研究目的 2
第三節　研究架構 2
貳、 文獻探討 3
第一節　行為財務學 3
第二節　情緒指標 4
參、 實證設計與方法 7
第一節　資料介紹與變數定義 7
第二節　訂定情緒指標 11
第三節　建構投資組合之方法 18
第四節 預測性迴歸分析 20
肆、 實證結果與分析 25
第一節　簡單分析結果 25
第二節　迴歸分析結果 34
伍、 結論與建議 47
參考文獻 49

Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics, 17, 223-249.

Baker, Jeffrey Wurgler, 2006, Investor sentiment and the cross-section of stock returns, Journal of Finance 61(4), 1645-1680.

Baker, Malcolm, and Jeremy Stein, 2004, Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299.

Baker, Malcolm, and Jeffrey Wurgler, 2000, The equity share in new issues and aggregate stock returns, Journal of Finance 55, 2219-2257.

Baker, Malcolm, and Jeffrey Wurgler, 2004, A catering theory of dividends, Journal of Finance 59, 1125-1165.

Baker, Malcolm, and Jeffrey Wurgler, 2007, “Investor sentiment in the stock market,” Journal of Economic Perspectives 21(2), 129-151.

Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, A Model of Investor Sentiment, Journal of Financial Economics 49, 307-343.

Brown, Gregory W., and Michael T. Cliff, 2004, Investor Sentiment and the Near-Term Stock Market, Journal of Empirical Finance 11, 1-27.

Carhart, M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.

De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert Waldmann, 1990,Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.

Edmans, A., D., Garcia, and O. Norli, 2007, “Sports sentiment and stock returns”, Journal of Finance 62, 1967-1998.

Fama, Eugene F., 1970,Efficient Capital Markets：A Review of Theory and Empirical Work, Journal of Finance 25,383-417.

Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.

Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.

Fama, Eugene F., and Kenneth R. French, 2001, Disappearing dividends: Changing firm characteristics or lower propensity to pay?, Journal of Financial Economics 60, 3-44.

Jeffrey Wurgler and Ekaterina Zhuravskaya, 2002, Does Arbitrage Flatten Demand Curves for Stocks?, Journal of Business, 75(4), 583-608.

Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, Losing sleep at the market:
The daylight saving anomaly, American Economic Review 90, 1005-1011.

Kahneman, D., and Tversky, A.(1979), Prospect theory: An analysis of decision under risk, Econometrica 47, pp.263-291.


Kothari, S. P., Shanken, J. and Sloan, R. G., 1995, Another look at the cross-section of expected stock, Journal of Finance, 50, 185-224.

Lee, Charles, Andrei Shleifer, and Richard H. Thaler, 1991, Investor sentiment and the closed-end fund puzzle, Journal of Finance 46, 75-109.

Levy, Robert, 1967, Relative strength as a criterion for investment selection, Journal of Finance 22, 596-610.

Neal, Robert, with Simon Wheatley, 1998, Do measures of investor sentiment predict stock returns, Journal of Financial and Quantitative Analysis 34, 523-547.

Qiu, Lily X., and Ivo Welch, 2006, Investor senti¬ment measures, NBER Working Paper No. W10794, Brown University.

Saunders, E. M. J., 1993, Stock prices and Wall Street weather, The American Economic Review 83, 1337-1345.

Shiller, Robert J., 1981, Do stock prices move too much to be justified by subsequent changes in Dividends?, American Economic Review 71, 421-436.

Zweig, Martin E., 1973, An investor expectations stock price predictive model using closed-end fund premiums, Journal of Finance 28, 67-87.