臺灣博碩士論文加值系統

本篇研究探討個別風險、投資人情緒與股票報酬之間的關連。研究得出在價值加權投組下的高個別風險產生低報酬現象是存在的；再運用投資人情緒做區分時，高情緒時期，不論是均權還是價值加權投組的高個別風險低報酬現象是更為顯著，而低情緒時期則沒有此現象。進一步做Fama-Macbeth橫斷面迴歸分析後，研究發現在考慮其他因素下，高個別風險低報酬現象依然是穩健的存在，投資人情緒是無法做解釋。

This paper examines and discusses the relationship among the idiosyncratic risk, investor sentiment and stock return. The empirical result shows that under the value weighted portfolio, stock with higher idiosyncratic risk have lower stock return; after consider the investor sentiment, under the high sentiment period, the higher idiosyncratic risk the lower future return are significant. We do not find out the same phenomenon under the low sentiment period. Then use the Fama-Macbeth cross-sectional regression analysis, considering other factors the high idiosyncratic risk have lower future return are robustness exist, the investor sentiment cannot explain the puzzle.

第一章 緒論 1
第二章 文獻回顧 5
第三章 資料和研究方法 11
第一節 資料來源 11
第二節 個別風險與投資人情緒的估計 11
第三節 形成交易策略(JT策略) 13
第四節 Fama-MacBeth橫斷面迴歸 13
第四章 實證結果 15
第一節個別風險與投資人情緒投組之分析 15
第二節 投資人情緒與個別風險對於報酬的迴歸結果 20
第三節 穩健性分析 33
第五章 結論 39
參考文獻 40

Ang, A., Hodrick, R.J., Xing, Y., Zhang, X., 2006. The cross-section of volatility and expected returns. Journal of Finance 51, 259–299.
Ang, A., Hodrick, R., Xing, Y., Zhang, X., 2009. High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of Financial Economics91,1-23.
Antoniou, C., J. Doukas, and A. Subrahmanyam, 2010, Investor sentiment and price momentum. working paper.
Baker, Malcolm, and Jeffrey Wurgler, 2006, Investor sentiment and the Cross-section of Stock Returns, Journal of Finance 61, 1645–1680.
Baker, Malcolm, Jeffrey Wurgler, and Yu Yuan, 2009, Global, Local, and Contagious Investor Sentiment, working paper.
Bali, Turan, Nusret Cakici, Xumin Yan, and Zhe Zhang, 2005, Does Idiosyncratic Risk Really Matter? Journal of Finance 60, NO.2, 905–929.
Bali, Turan, and Nusret Cakici, 2008, Idiosyncratic Volatility and the Cross-Section of Expected Returns, Journal of Financial Quantitative Analysis 43, 29-58.
Barber, Brad, and Terrance Odean, 2006, All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, The Review of Financial Studies, Issue 2, Pp. 785-818.
Barinov, Alexander, 2009, Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns, working paper, University of Georgia.
Campbell, J., Lettau, M., Malkiel, B., Xu, Y., 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 56, 1–43.
Chen. Nai-fu. Richard Roll. and Stephen A. Ross. 1986. Economic forces and the stock market, Journal of Business 59, 383-403.
De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann,1990, Noise Trader Risk in Financial Markets, Journal of Political Economy, 98, 708-738.
Fama, E. ,1970, Efficient capital markets: a review of theory and empirical work, Journal of Finance 25, 383-417.
Fama, E. and MacBeth ,1973,Risk, return, and equilibrium:Empirical tests, Journal of Political Economy, 81, 607-636.
Frazzini Andrea and Owen Lamont, 2008, Dumb Money: Mutual fund flows and the cross section of stock returns, Journal of Financial Economics, 88, 299-322. Fu, Fangjian, 2009, Idiosyncratic Risk and the Cross-Section of Expected Stock Returns,Journal of Financial Economics, 91, 24-37.
Goyal, Amit and Pedro Santa-Clara, 2003, Idiosyncratic Risk Matters! here is a Risk-Return Trade-o® After All, Journal of Finance, 58, 975-1007
Guo, Hui and Robert Savickas, 2008, Average Idiosyncratic Volatility in G7 Countries,Review of Financial Studies, forthcoming
Guo, Hui and Robert Savickas, 2006, Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns, Journal of Business and Economic Statistics, 24, 43-56
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65–92.
Jiang, George, Danielle Xu, and Tong Yao, 2009, The Information Content of Idiosyncratic Volatility, Journal of Financial and Quantitative Analysis, 44 (1), 1-28.
Merton, R. 1987, A sample model of capital market equilibrium with incomplete information, Journal of Finance 42, 483-510.