臺灣博碩士論文加值系統

本文針對Bali（2011）一文所發現的異常報酬現象－MAX效應，進行更深度的討論，除了再次驗證MAX效應的存在，以及被發現1990年後有鈍化的疑慮，本文還加入了新的情緒指標－隔夜報酬率（overnight return），利用該指標捕捉到的投資人情緒，觀察高低情緒下和MAX效應之間的交互作用，從結果來看，我再次確認了MAX效應並非目前已知股票特性之代理效應，並發現MAX效應的強度在1990年後的確一度弱化，但在2005年後又有所回升，且主要發生在小公司的類別上，另外，我利用隔夜報酬率所捕捉到的投資人情緒高低發現，MAX效應不僅存在於高低兩種情緒環境，甚至在低情緒環境下的表現來的稍為強烈，透過法人持有度高低的分類，我也發現到，MAX效應不只存在於散戶持有比例最大的股票群，也存在於機構法人持有一定比例的標的上，而在機構法人和情緒高低的雙重分類下，MAX效應反而較普遍存在於低情緒下的環境下，最後，透過和象徵公司風險大小的風險指標進行比對，儘管兩者有著相似的報酬反轉現象，但MAX效應的獨立存在性依舊無法被取代，我的實證結果讓後續試圖從公司層面的情緒來解釋MAX效應的研究，有了較為嶄新的方向。

This article took a deep dive into the MAX effect, an abnormal return , discovered by Bali(2011). Besides the confirming of the existence of MAX effect and the discovering of the passivation after the 1990s, this article added a new sentiment proxy – overnight return rate. I use this proxy to track the investor sentiments to observe the cross interactions between the MAX effect and the sentiment fluctuations. From the results,we can confirm that MAX effect is not a currently known proxy of any stocks’ characteristics, and we discovered that the MAX effect indeed passivated after 1990, but the effect went back after 2005 and most effects were obvious in small company’s category. In addition, I utilized the overnight return rate to capture the emotions and discovered that MAX effect is not only existing in the high and low situations but also slightly stronger in the lower emotions situations. With the classification of the level of corporate holding rate, I discovered that MAX effect is not only existing in between the biggest holding rate among individual investor but also in between the corporate with certain institutional investor holding rate. Lastly, with the double classifications of sentiment and corporates, MAX effect is more ubiquitous in the low emotional environments. In the end, I compare the high MAX stocks with risk indicator which symbolizes whether the risk is high or not. Despite the similar return reversing phenomenon, the independence of Max effect is still irreplaceable. My results have a new directions after the using of firm-level sentiment indicator to explain the MAX effect.

摘要 i
Abstract ii
目錄 iii
表目錄 v
一、研究背景與動機 1
1-1 研究動機 1
1-2 研究背景與目的 2
二、文獻回顧 4
2-1 MAX效應相關文獻 4
2-2 情緒指標相關文獻 9
2-3 MAX效應與投資人情緒 12
三、研究方法 16
3-1 資料來源 16
3-2 公司特質變數計算與衡量 16
3-3 盈餘能力與其他變數之衡量 19
3-4 風險衡量指標 21
3-5 投資組合建構與篩選 22
3-6回歸模型建置 23
四、實證結果 24
4-1 敘述統計特性 24
4-2 MAX效應 26
4-3 MAX效應與情緒指標 28
4-4 MAX效應、情緒指標與機構法人持有 29
4-5 上下方風險與MAX之重疊性 31
4-6 上下方風險的報酬反轉現象 31
4-7 上下方風險與情緒指標 32
4-8 MAX、上下方風險、公司特性、FF5五因子與報酬之迴歸結果 33
五、總結與展望 34
參考文獻 37

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