跳到主要內容

臺灣博碩士論文加值系統

(18.206.76.226) 您好!臺灣時間:2021/07/30 23:17
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:蔡松霖
研究生(外文):Tsai, Sung Lin
論文名稱:IPO首日報酬、投資人情緒與橫斷面股票報酬
論文名稱(外文):IPO First Day Return, Investor Sentiment and Cross-section of Stock Returns
指導教授:王祝三王祝三引用關係
指導教授(外文):Wang, Edward
口試委員:王祝三、陳若暉、林美珍
口試委員(外文):Wang, Edward、Chen, Ruohuei、Lin, Meijhen
口試日期:101.06.15
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:企業管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:58
中文關鍵詞:IPO首日報酬、投資人情緒、橫斷面股票報酬
外文關鍵詞:IPO first-day return, Investor sentiment, Cross-sectional stock return
相關次數:
  • 被引用被引用:1
  • 點閱點閱:1002
  • 評分評分:
  • 下載下載:294
  • 收藏至我的研究室書目清單書目收藏:0
投資人情緒被認為是衡量股票報酬非理性因素的指標,Baker and Wurgler (2006)發現投資人情緒與未來橫斷面股票報酬呈負相關。然而Baker and Wurgler (2006)建構的投資人情緒指標,其中的IPO首日報酬在Guo (2011)的研究中發現含有理性的成分,且與市場系統風險呈正相關,但其只用Fama and French (1996)的三因子模型為定價模式,證明IPO首日報酬對橫斷面股票報酬具有正向解釋能力。本文參考Guo (2011)的作法,進一步使用Carhart (1997)的四因子模型,發現IPO首日報酬對橫斷面股票報酬的解釋能力仍然顯著,顯示Guo (2011)結論適用於現存的資產定價模型。

另一方面,為了檢測Baker and Wurgler (2006)的投資人情緒當中可能包含了風險的衡量指標,而未能充分捕捉到投資人非理性因素的部分,所以本文使用Brown and Cliff (2004)正交化方法將投資人情緒可由風險解釋的部分抽離出來,檢測投資人情緒不能被風險所解釋的部分是否仍然對未來橫斷面股票報酬有解釋能力。本文以三因子模型及Carhart (1997)的四因子模型為架構,將與IPO首日報酬做正交化的投資人情緒加入上述模型,發現剔除風險因子的投資人情緒對未來橫斷面股票報酬呈負相關,還是有充分捕捉到投資人不理性的心理層面,顯示Baker and Wurgler (2006)的投資人情緒仍是適合衡量未來橫斷面股票報酬非理性因素的指標。

Investor sentiment is considered to be an ideal proxy measuring the stock return of irrational factors on the current literature. The results reported by Baker and Wurgler (2006) find that the relationship between investor sentiment and future cross-sectional stock returns is negatively correlated. One component of the investor sentiment index, IPO first-day return was found containing the rational factors and positively correlated with market system risk in the results reported by Guo (2011). He proves that IPO first-day return do have the positive explanatory ability for Cross-section Stock Returns by using Fama and French (1996) three factors model as a pricing model. Therefore, this paper further use Carhart (1997) four factors model to reexamine the explain ability of IPO first-day return on cross-sectional stock returns.

On the other hand, however, except for measuring the stock return of irrational factors, investor sentiment index can also measure the risk factors, which may lead to the defect of capturing the stock return of irrational factors. In order to figure out this problem, this paper use Brown and Cliff (2004) orthogonal approach to detach the part of investor sentiment which can be explained by risk factors. Moreover, based on three (four) factors model, this study add orthogonal investor sentiment to our model. According to the empirical evidence, we find that the relationship between orthogonal investor sentiment and future cross-sectional stock return is significantly positive.

誌謝 I
國立臺北大學一百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 文獻探討 3
第一節 IPO首日報酬與橫斷面股票報酬的關係 3
第二節 影響投資人情緒的變數 8
第三節 因子模型 11
第三章 研究方法 15
第一節 研究假說 15
第二節 研究樣本和資料來源 16
第三節 變數定義 17
第四節 研究設計與模型 20
第四章 實證結果 27
第一節 基本敘述性統計量與相關性分析 27
第二節 IPO首日報酬與橫斷面股票報酬 30
第三節 正交化投資人情緒與橫斷面股票報酬 41
第五章 結論與建議 53
第一節 研究結論與貢獻 53
第二節 研究限制與未來研究建議 54
參考文獻 55


表次
表4 1 基本敘述性統計與相關係數 28
表4 2 三因子模型之因子負載量 31
表4-3 以△IPOFDR取代HML的三因子模型之因子負載量 32
表4 4 四因子模型之因子負載量 33
表4 5 以△IPOFDR取代HML的四因子模型之因子負載量 34
表4-6 三因子模型WLS迴歸之因子負載量 35
表4-7 以△IPOFDR取代HML的三因子模型WLS迴歸之因子負載量 36
表4-8 四因子模型WLS迴歸之因子負載量 37
表4-9 以△IPOFDR取代HML的四因子模型WLS迴歸之因子負載量 38
表4-10 IPO首日報酬的FAMA AND MACBETH (1973)橫斷面迴歸結果 40
表4-11 加入SENT+的三因子模型之因子負載量 42
表4-12 加入SENT+的四因子模型之因子負載量 43
表4-13 加入SENT+M+的三因子模型之因子負載量 44
表4-14 加入SENT+M+的四因子模型之因子負載量 45
表4-15 加入SENT+的三因子模型WLS迴歸之因子負載量 47
表4-16 加入SENT+的四因子模型WLS迴歸之因子負載量 48
表4-17 加入SENT+M+的三因子模型WLS迴歸之因子負載量 49
表4-18 加入SENT+M+的四因子模型WLS迴歸之因子負載量 50
表4-19 投資人情緒的FAMA AND MACBETH (1973)橫斷面迴歸結果 51




參考文獻
一、英文部分
Aggarwal, R., & Rivoli, P. (1990). Fads in the Initial Public Offering Market? Financial Management, 19(4), 45-57.
Baker, M., & Stein, J. C. (2004). Market Liquidity as a Sentiment Indicator. Journal of Financial Markets, 7(3), 271-299.
Baker, M., & Wurgler, J. (2000). The Equity Share in New Issues and Aggregate Stock Returns. Journal of Finance, 55(5), 2219-2257.
Baker, M., & Wurgler, J. (2004). A Catering Theory of Dividends. Journal of Finance, 59(3), 1125-1165.
Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross-section of Stock Returns. Journal of Finance, 61(4), 1645-1680.
Black, F. M. C., Jensen, M. C., & Scholes, M. (1972). The Capital Asset Pricing Model: Some Empirical Tests. Studies in The theory of Capital Markets. New York, NY: Praeger Publishers.
Brown, G. W., & Cliff, M. T. (2004). Investor Sentiment and the Near-term Stock Market. Journal of Empirical Finance, 11(1), 1-27.
Brown, G. W., & Cliff, M. T. (2005). Investor Sentiment and Asset Valuation. Journal of Business, 78(2), 405-440.
Campbell, J. Y. (1993). Intertemporal Asset Pricing without Consumption Data. American Economic Review, 83(3), 487–512.
Campbell, J. Y., & Shiller, R. J. (1988). The Dividend-price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies, 1(3), 195–228.
Campbell, J. Y., & Vuolteenaho, T. (2004). Inflation Illusion and Stock Prices. American Economic Review, 94(2), 19-23.
Carhart, M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1), 57-82.
D'Avolio, G. (2002). The Market for Borrowing Stock. Journal of Financial Economics, 66(2-3), 271-306.
De Bondt, W. F. M., & Richard, H. T. (1985). Does the Stock Market Overreact? Journal of Finance, 40(3), 793-805.
DeLong, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4), 703-738.
Fama, E. F., & French, K. R. (1992). The Cross-section of Expected Stock Returns. Journal of Finance, 47(2), 427-465.
Fama, E. F., & French, K. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.
Fama, E. F., & French, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51(1), 55-84.
Fama, E. F., & MacBeth, J. (1973). Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607-636.
Guo, H. (2011). IPO First-day Return and Ex Ante Equity Premium. Journal of Financial and Quantitative Analysis, 46(3), 871-905.
Guo, H., & Savickas, R. (2008). Average Idiosyncratic Variance in G7 Countries. Review of Financial Studies, 21(3), 1259-1296.
Guo, H., & Whitelaw, R. (2006). Uncovering the Risk-return Relation in the Stock Market. Journal of Finance, 61(3), 1433-1463.
Hahn, J., & Lee, H. (2006). Yield Spreads as Alternative Risk Factors for Size and Book-to-Market. Journal of Financial and Quantitative Analysis, 41(2), 245-269.
Hanley, K.W. (1993). The Underpricing of Initial Public Offerings and the Partial Adjustment Phenomenon. Journal of Financial Economics, 34(2), 231-250.
Ibbotson, R. (1975). Price Performance of Common Stock New Issues. Journal of Financial Economics, 2(3), 235-272.
Jegadeesh, N. (1990). Evidence of Predictable Behavior of Security Returns. Journal of Finance, 45(3), 881-898.
Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91.
Kent, D., & Sheridan, T. (1997). Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. Journal of Finance, 52(1), 1-34.
Kent, D., Sheridan, T., & Wei, J. K. C. (2001). Explaining the Cross-section of Stock Returns in Japan: Factors or Characteristics? Journal of Finance, 56(2), 743-766.
Lettau, M., & Wachter, J. A. (2007). Why is Long-horizon Equity Less Risky? A Duration-based Explanation of the Value Premium. Journal of Finance, 62(1), 55-92.
Levis, M. (1993). The Long-run Performance of Initial Public Offerings: the UK Experience 1980-88. Financial Management, 22(1), 28-41.
Ljungqvist, A., Nanda, V., & Singh, R. (2006). Hot Markets, Investor Sentiment, and IPO Pricing. Journal of Business, 79(4), 1667-1702.
Logue, D. E. (1973). On the Pricing of Unseasoned Equity Issues: 1965-1969. Journal of Financial and Quantitative Analysis, 8(1), 91-103.
Loughran, T., & Ritter, J. R. (2002). Why Don’t Issuers Get Upset About Leaving Money on the Table in IPOs? Review of Financial Studies, 15(2), 413-443.
Merton, R. C. (1973). An Intertemporal Capital Asset Pricing Model. Econometrica, 41(5), 867-887.
Ofek, E., & Richardson, M. (2003). Dot.Com Mania: The Rise and Fall of Internet Stock Prices. Journal of Finance, 58(3), 1113-1137.
Petkova, R. (2006). Do the Fama-French Factors Proxy for Innovations in Predictive Variables? Journal of Finance, 61(2), 581-612.
Ritter, J. (1991). The Long-run Performance of Initial Public Offerings. Journal of Finance, 46(1), 3-27.
Welch, I. (1992). Sequential Sales, Learning, and Cascades. Journal of Finance, 47(2), 695-732.
Wurgler, J., & Zhuravskaya, E. (2002). Does Arbitrage Flatten Demand Curves for Stocks? Journal of Business, 75(4), 583-608.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top