臺灣博碩士論文加值系統

本研究首先利用修正後MAX指標(modified MAX)，探討台灣股市是否存在修正後MAX效應。研究結果顯示台灣股市確實存在修正後MAX效應，不論是透過原始報酬或是風險調整後報酬皆可觀察到顯著的負修正後MAX溢酬，在控制一般風險性因子後，上述結論依舊存在。接著本文為求結果穩健，進行分別利用子樣本、市場情緒、景氣狀態進行情境分析，研究結果發現在2008年以後、市場情緒較高時、景氣狀態較佳時，修正後MAX效應更為顯著。
本文有別於以往文獻，首次利用52週高點比率與52週高點近期比率探討定錨偏誤與近期偏誤是否會影響修正後MAX效應，透過投資組合與Fama and MacBeth迴歸分析發現若單獨考慮定錨偏誤或是近期偏誤時，兩者都會影響修正後MAX效應，然而當同時考慮這兩種效果時，僅觀察到定錨偏誤會影響修正後MAX效應，代表投資人較重視股票價格與52週高價的距離。有其他文獻指出樂透需求是影響修正後MAX效應，因此本文利用樂透指標與景氣狀態衡量樂透需求並利用投資組合分析探討樂透需求是否改變52週高點與修正後MAX效應的關係，研究結果顯示，當股票的樂透需求越高時(樂透指標高、景氣較佳)，修正後MAX效果越顯著。
最後為求結果穩健，我們控制子樣本、景氣與市場狀態等情境後依然能觀察到52週高點比率對修正後MAX效應的影響，同時本研究也發現台灣股市投資人進行投資決策時不僅會參考52週高點，個股較短期(26週、13週)的高價也是常見參考點。

We use the modified MAX indicator (modified MAX) to explore whether the modified MAX effect exists in the Taiwan stock market. The results of this paper show that there the modified MAX effect exists in the Taiwan stock market. Whether through original returns or risk-adjusted returns, a significant negative modified MAX premium can be observed. After controlling for general risk factors, the above conclusions still exist. Then, in order to obtain a stable result, we conduct situation analysis using sub-samples, market sentiment, and prosperity respectively. The research results show that after 2008, when the market sentiment is high and the business indicators is better, the modified MAX effect is more significant.
We are different from the previous literature, using the 52-week high ratio and the receny 52-week high ratio to explore whether anchoring bias and receny bias will affect the modified MAX effect. Through portfolio and Fama and MacBeth regression analysis, we found that if we only considering anchoring errors or receny errors, both will affect the revised MAX effect. However, when considering both effects at the same time, only the anchoring errors will be observed to affect the revised MAX effect, indicating that investors pay more attention to the distance between the price of stock and the 52-week high. Other literature points out that lottery demand affects the modified MAX effect, so we use lottery indicators and business conditions to measure lottery demand and use portfolio analysis to explore the relationship between the 52-week highs of lottery demand and the modified MAX effect. The results show that the higher the lottery demand for stocks (the higher the lottery index and the better the business indicators), the modified MAX effect more significant.
Finally, in order to achieve a stable result, we can still observe the impact of the 52-week high ratio on the modified MAX effect after controlling the sub-sample, business indicators. and market conditions. At the same time, we also found that the investors in Taiwan stock market make not only with reference to the 52-week high, the short-term (26-week and 13-week) high prices are also common reference points.

中文摘要 I
英文摘要 II
目錄III
表目錄V
第壹章 前言1
第貳章 文獻探討與研究假說建立4
第參章 研究方法9
第一節、樣本選取與資料來源9
第二節 修正後MAX效應9
(一)樂透股定義9
(二)修正後MAX效應的檢測方式9
第三節、52週高點與修正後MAX效應的關係11
(一)定錨偏誤與修正後MAX效應的關係11
(二)近期偏誤與修正後MAX效應的關係12
第四節、敘述性統計13
第肆章 實證分析14
第一節、修正後MAX效應的實證結果14
第二節、52週高點與修正後MAX效應的實證結果15
(一)定錨偏誤與修正後MAX效應的關係15
(二)近期偏誤與修正後MAX效應的關係16
(三)條件分析(conditional analyses)16
(四) Fama and MacBeth迴歸分析18
第三節、穩健性檢測19
(一)排除其他可能解釋19
(二)時間序列事件的影響20
(三)近期高點的其他定義21
第伍章 結論23
參考文獻 25
APPENDIX. VARIABLE DEFINITIONS 46


表目錄

Table 1 敘述性統計29
Table 2 修正後MAX效應的投資組合分析31
Table 3 修正後MAX效應的迴歸分析32
Table 4 五十二週高點與修正後MAX效應的投資組合分析33
Table 5 The profitability of the portfolio conditional on lottery index 35
Table 6 The profitability of the portfolio conditional on business cycles 37
Table 7 五十二週高點與修正後MAX效應的迴歸分析39
Table 8 穩健性檢測－時間序列事件影響41
Table 9 二十六週高點與修正後MAX效應的投資組合分析42
Table 10 二十六週高點資修正後MAX效應關的迴歸分析43
Table 11 十三週高點與修正後MAX效應的投資組合分析44
Table 12 十三週高點與修正後MAX效應的迴歸分析45

一、英文部分
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二、中文部分
1.林美珍、楊念慈(2017)，「行為財務學與資產訂價異常現象：文獻回顧與展望」，《證券市場發展季刊》，第29卷第4期，頁1-62。