如何瞭解投資人之投資行為具有動態性，並且預測下期股價走勢為現今學者所重視之問題，而哪些總體經濟因子具有強化公司特性因子之功能，成為本文另外一個研究重點，由於投資行為會受到總體經濟影響，為探討投資人行為之動態性以及受總體經濟因子強化影響，本文以COMPUSTAT資料庫中，以金融業為研究樣本，研究期間為2001年1月至2010年12月，資料型態為月資料，接著利用層級貝式估計模式(Hierarchical Bayesian Model)探討各期投資行為之動態性，以及公司特性因子是否受到總體經濟因子顯著影響。
研究發現，採用金融類股，投資人的行為模式在不同時間下會有所不同，且受外在經濟環境影響下，投資者的投資行為會呈現動態性的調整。

The scholars concern about how to understand the dynamic of investor's investment behavior and forecast the next period stock price. Then, economic factors strengthen the firm-specific factors, which is another focus on this text. The data is from COMPUSTAT database, and the financial industry is the study sample, study period is from January 2001 to December 2010, data type is monthly data. Then, estimated methods are using hierarchical Bayesian model to explore the dynamic behavior of the investment period, as well as company property factor is significantly affected by economic factors.

The study found that the investor's behavior at different times is different by using financial stocks, and the investors’ behavior would adjust dynamically when the economic factors change.

目錄

第一章 緒論
第一節 研究背景與動機……………………………………………1
第二節 研究問題……………………………………………………2
第三節 研究目的……………………………………………………2
第四節 研究流程……………………………………………………3
第二章 文獻探討
第一節 CAPM之探討 ………………………………………………4
第二節 APT之探討…………………………………………………6
第三節 Fama and French因子模型………………………………10
第四節 總體經濟因子 ……………………………………………14
第五節 股票選擇權與O/S ……………………………………… 16
第三章 研究方法
第一節 研究架構 …………………………………………………23
第二節 研究資料與研究範圍 ……………………………………24
第三節 貝式統計 …………………………………………………28
第四節 層級貝式統計模型 ………………………………………30
第五節 建立第一層變數模型 ……………………………………31
第六節 建立第二層變數模型 ……………………………………33
第四章 實證分析
第一節 資料來源與特性 …………………………………………35
第二節 投資行為之動態性 ………………………………………37
第三節 統計檢定最具解釋力的經濟指標 ………………………69
第四節 層級貝式估計模型探討經濟因子與公司特性因子之交互作用 …………………………………………………………………71
第五章 結論與建議
第一節 研究發現 …………………………………………………80
第二節 研究限制 …………………………………………………81
參考文獻 … …………………………………………………………………82
附錄一 公司特性因子之相關性檢定…… …………………………………87
附錄二 總體經濟因子之相關性檢定… ……………………………………88



















圖目錄

圖1-1 研究流程圖 …………………………………………………………3
圖3-1 研究架構圖…………………………………………………………23
圖4-1 選擇權交易量與超額報酬率之相關性…………………………… 45
圖4-2 O/S與超額報酬率之相關性 ………………………………………47
圖4-3 股價倒數與超額報酬率之相關性… ………………………………49
圖4-4 股利率與超額報酬率之相關性…… ………………………………53
圖4-5 RET2-3之變數定義…………………………………………………56
圖4-6 RET2-3與超額報酬率之相關性……………………………………56
圖4-7 RET4-6之變數定義…………………………………………………59
圖4-8 RET4-6與超額報酬率之相關性……………………………………59
圖4-9 RET7-12之變數定義 ………………………………………………61
圖4-10 RET7-12與超額報酬率之相關性 …………………………………61
圖4-11 市值與超額報酬率之相關性… ……………………………………63
圖4-12 帳市比與超額報酬率之相關性… …………………………………66









表目錄

表4-1 觀察值之敘述統計… ………………………………………………38
表4-2 公司特性因子

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