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研究生:李冠樺
研究生(外文):LEE, KUAN-HUA
論文名稱:公司未預期盈餘和產業未預期盈餘之離差與股票定價:心理偏誤或風險補償?
論文名稱(外文):Deviation between Individual Unexpected Earnings and Industry Unexpected Earnings and Equity Pricing: Psychological Biases or Risk Premium?
指導教授:余歆儀余歆儀引用關係
指導教授(外文):YU, HSIN-YI
口試委員:陳立文謝舒帆
口試委員(外文):CHEN, LI-WENHSIEH, SHU-FAN
口試日期:2017-06-05
學位類別:碩士
校院名稱:國立高雄大學
系所名稱:金融管理學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:中文
論文頁數:49
中文關鍵詞:盈餘宣告後股價持續反應未預期盈餘產業反應不足注意力有限心理偏誤
外文關鍵詞:Post-Earnings-Announcement DriftUnexpected EarningsIndustryUnderreactionLimited AttentionPsychological Biases
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過去許多研究發現個別公司的未預期盈餘對未來股票橫斷面報酬有預測能力,本研究納入產業因素,檢視個別公司未預期盈餘偏離其所屬產業未預期盈餘的程度,是否也能預測未來股票橫斷面報酬。實證結果發現個別公司未預期盈餘與所屬產業未預期盈餘的偏離程度對於未來股票橫斷面報酬有正向的影響。在等值加權之下,根據偏離程度所構建之零投資組合,平均風險調整後月報酬為1.56%,亦即年報酬20.41%,此報酬無法被資本資產定價模型與三因子模型所解釋。本文更進步發現,此異常報酬可能肇因於投資人注意力有限所造成的反應不足。
Previous studies have confirmed that stock returns continue to drift in the direction of unexpected earnings surprises for several months after the earnings are announced. This paper investigates whether the average unexpected earnings surprises of the corresponding industry is used as a benchmark in the cross-sectional pricing of stocks. The empirical results show that the deviation between the individual unexpected earnings and the unexpected earnings of the corresponding industry is positively related to the future expected returns. The monthly risk-adjusted return by constructing a zero-investment portfolio based on such deviation achieves 1.56%, approximately 20.41% annually. Moreover, we conjecture that the risk-adjusted returns are possibly attributed to underreaction caused by limited attention.
目錄
表目錄 II
圖目錄 III
壹、前言 1
貳、資料與研究方法 7
一、資料來源 7
(一)資料頻率 8
二、樣本 8
(一)樣本-股票報酬率 8
(二)樣本-股票市值 9
(三)未預期盈餘變數 9
(四)樣本調整 11
(五)研究方法 12
參、實證結果 13
一、樣本敘述 13
二、資產組合報酬-個別公司未預期盈餘 (SUEidv) 15
三、資產組合報酬-產業未預期盈餘 (SUEind) 17
四、資產組合報酬-未預期盈餘離差 (SUEdevi) 18
五、控制個別公司未預期盈餘 20
六、承擔風險或心理偏誤? 25
七、穩健性測試 32
(一)產業未預期盈餘 (SUEind)和未預期盈餘離差 (SUEdevi)的計算方法 32
(二)產業分類 33
肆、結論 36
參考文獻 38
參考文獻
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