臺灣博碩士論文加值系統

本文針對國內股票市場，探討媒體關注程度與股票報酬間關係。此外，根據Fang and Peress(2009)之發現，在資訊不對稱較嚴重的情況下，媒體關注程度對於橫斷面股票報酬之影響應更為顯著，因此，本研究亦進一步檢測資訊不對稱程度對於媒體關注程度與橫斷面股票報酬間之關係解釋力具有影響力。再者，根據過去相關文獻已證實投資人情緒對於股票報酬之影響，且財務相關文獻也指出訊息與投資人情緒間的可能關係。故本文進一步推測過去文獻所發現媒體關注程度對於股票報酬之影響可能是透過投資人情緒。
實證結果發現，媒體關注程度越高，則未來股票報酬則越高。此結果與過去國外文完全相反，本研究推測其可能導因於台灣股票市場不若歐美已開發國家成熟，為市場主體的散戶投資人較易存在心理偏誤，進而影響市場定價。而由於在控制投資人情緒後，媒體關注程度與股票報酬間之正向關係即完全消失，故對投資人情緒等心理偏誤是導致台灣股市中，媒體關注程度與股票報酬是正向關係之主要成因提供了強烈支持證據。最後，本研究也發現媒體關注程度與未來股票報酬之關係，受到公司規模此資訊不對稱變數的影響。故此部分結果證實，當以公司規模為代理變數時，資訊不對稱確實對於媒體關注程度與橫斷面股票報酬關係具有解釋力。

The effect of media coverage for stock returns in the past literature found that stocks with no media coverage earn higher returns than stocks with media coverage after controlling for well-known risk factors. In particular, the results are particularly large among stocks that face the most severe information problems. By disseminating information to wide investors, it can reduce the degree of information asymmetry, thereby affecting stock pricing. Therefore, we examined the effect of the media coverage on the domestic stock market. Additionally, previous studies found that investor sentiment affects stock returns, and the possible relationship between investor sentiment and information. To sure whether the effect of media coverage on stock returns is indirectly or direct, or is directly and indirectly the same time. This article examining the influence of media coverage to the stock returns. The empirical results show that in the domestic securities market, there have a significant relationship between the media coverage and cross-sectional stock returns, but the results are different from previous papers. Furthermore, this study also indicates that psychological biases of investor is the main reason. In addition, SIZE is the variable of information asymmetry that is the determinant of the relationship between media coverage and cross-sectional stock returns. However, empirical results fail to support whether media effect is indirectly effecting through investor sentiment or not.

誌　謝 I
國立臺北大學九十九學年度第二學期碩士學位論文提要 II
ABSTRACT III
目錄 IV
表 次 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第二章 文獻回顧 3
第一節 媒體關注程度與股票報酬之相關文獻 3
第二節 影響媒體關注程度與股票報酬關係間之資訊不對稱代理變數相關文獻 3
第三節 投資人情緒與股票報酬相關文獻 5
第四節 投資人情緒與媒體訊息相關之文獻 5
第三章 研究方法 7
第一節 研究假說 7
第二節 研究樣本和資料來源 8
第三節 變數定義 8
第四節 實證測試 10
第五節 預期符號 15
第四章 實證結果 17
第一節 變數之敘述統計結果 17
第二節 檢測媒體關注程度影響橫斷面股票報酬 18
之實證結果 18
第三節 檢測資訊不對稱程度越高，則媒體關注程度對於橫斷面股票報酬之影響越明顯。 20
第四節 檢測媒體關注程度是否透過投資人情緒而對未來報酬產生影響 21
第五節 檢測資訊不對稱是否影響媒體關注程度對於股票的報酬影響力之分組資料 23
第五章 結論 27
第一節 檢測媒體關注程度影響橫斷面股票報酬 27
之實證結果 27
第二節 檢測資訊不對稱程度影響媒體關注程度對於橫斷面股票報酬間關係之強弱 27
第三節 檢測媒體關注程度間接透過投資人情緒對未來報酬產生影響 28
第四節 檢測資訊不對稱是否影響媒體關注程度對於股票報酬的影響力之分組資料 29
參考文獻 31
附錄 1

表 次
表3- 1各變數迴歸係數之預期符號 16
表4- 1基本敘述統計 18
表4- 2 Fama and Macbeth橫斷面迴歸之實證結果 19
表4- 3重量加權投資組合報酬率 22
表4- 4重量加權之零成本投資組合報酬率 24

參考文獻
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