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研究生:李蕾棻
研究生(外文):LEE,LEI-FEN
論文名稱:機構投資人情緒、非機構投資人情緒與股票異常報酬關聯性-消息面探討
論文名稱(外文):The Relationship Between Institutional Investor Sentiment, Individual Investor Sentiment, And Abnormal Return: A Study Of Information Shock
指導教授:蔡永順蔡永順引用關係
指導教授(外文):TSAI,YUNG-SHUN
口試委員:許可達簡智崇蔡永順
口試委員(外文):HSU,KER-TAHCHIEN, CHIH-CHUNGTSAI,YUNG-SHUN
口試日期:2023-07-17
學位類別:碩士
校院名稱:亞洲大學
系所名稱:財務金融學系
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:2023
畢業學年度:111
語文別:中文
論文頁數:52
中文關鍵詞:機構投資人情緒非機構投資人情緒異常報酬好消息壞消息
外文關鍵詞:institutional investor sentimentindividual investor sentimentabnormal returngood newsbad news
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在股票市場中,機構投資人與非機構投資人訊息來源不對等,在消息揭露調升(調降)之下,是否影響機構投資人情緒與非機構投資人情緒,進而出現異常報酬。因此,本研究探討好消息與壞消息對投資人情緒的影響。實證結果顯示:(1)機構投資人情緒與非機構投資人情緒呈現無顯著差異性。(2)機構投資人情緒對股票異常報酬呈現無顯著效果。(3)非機構投資人情緒對股票異常報酬呈現正向顯著效果。(4)好消息條件下機構投資人情緒緒對股票異常報酬呈現無顯著效果。(5)好消息條件下非機構投資人情緒對股票異常報酬呈現正顯著效果。(6)壞消息條件下機構投資人情緒對股票異常報酬呈現負顯著效果。(7)壞消息條件下非機構投資人情緒對股票異常報酬呈現無顯著效果。
In the stock market, the information sources of institutional investors and non-institutional investors are not equal. Under the news disclosure, whether the increase (decrease) will affect the sentiment of institutional investors and non-institutional investors, and then abnormal returns will appear. Therefore, this study explores the impact of good news and bad news on investor sentiment. Empirical results show:(1)There is no significant difference between institutional investor sentiment and Individual investor sentiment. (2)Institutional investor sentiment has no significant effect on stock abnormal returns. (3) Individual investor sentiment has a positive and significant effect on abnormal stock returns. (4)Under the condition of good news, the sentiment of institutional investors has no significant effect on the abnormal return of stocks. (5)Under the condition of good news, the sentiment of Individual investors has a positive and significant effect on the abnormal return of stocks. (6) Under bad news conditions, institutional investor sentiment has a negative and significant effect on stock abnormal returns. (7) Under bad news conditions, Individual investor sentiment has no significant effect on stock abnormal returns.
頁次
目錄… …………………………………………………………………………Ⅰ
表目錄………………………………………………………………….………Ⅱ
圖目錄………………………………………………………………….………Ⅲ
第一章 緒論……………………………………………………………...……1
第一節 研究動機與目的………………………………………………...1
第二章 文獻探討……………………………………………………………...4
第一節 投資人情緒……………………………………………………...4
第二節 投資人情緒與報酬……………………………………………...6
第三節 投資人情緒與訊息…………………………………………….11
第四節 投資人類型與情緒…………………………………………….14
第五節 投資人情緒指標……………………………………………….15
第三章 研究方法…………………………………………………………….18
第一節 研究假說……………………………………………………….19
第四章 實證結果…………………………………………………………….21
第一節 研究樣本說明………………………………………………….21
第二節 敘述統計分析……………………………………………….…21
第三節 樣本分配趨勢圖……………………………………………….25
第四節 簡單迴歸分析………………………………………………….35
第五章 結論與建議……………………………………………………….…45
第一節 結論…………………………………………………………….45
第二節 建議………………………………………………………….…46
參考文獻……………………………………………………………………….47
表目錄
頁次
表1 1 投資人類別成交值比重統計表 …………………………………...…..2
表2 1 投資人情緒文獻整理表 …………………………………………….…5
表2 2 投資人情緒與報酬文獻整理表 ……………………………………….8
表2 3 投資人情緒與訊息文獻整理表 ……………………………………...12
表2 4 投資人類型與情緒文獻整理表 …………………………………...…14
表2 5 投資人情緒指標文獻整理表 ………………………………………...16
表4 1 敘述統計 機構投資人 ………………………………………………..21
表4 2 敘述統計 非機構投資人 ……………………………………………..23
表4 3 機構投資人情緒與非機構投資人情緒的差異性檢驗 ………….…..35
表4 4 機構投資人情緒股票異常報酬影響效果檢驗 ……………………...36
表4 5 非機構投資人情緒股票異常報酬影響效果檢驗 ………………...…37
表4 6 好消息條件下機構投資人情緒對股票異常收益影響效果檢驗 …...39
表4 7 好消息條件下非機構投資人情緒對股票異常收益影響效果檢驗 ...40
表4 8 壞消息條件下機構投資人情緒對股票異常收益影響效果檢驗 …...42
表4 9 壞消息條件下非機構投資人情緒對股票異常收益影響效果檢驗 ...43
圖目錄
頁次
圖4 1 機構投資人 Rm,t Rf,t市場風險溢酬分配圖 …………………...…….25
圖4 2 機構投資人 SMB公司 風險溢酬分配圖 ……………………………..25
圖4 3 機構投資人 HML淨值市價比風險溢酬分配圖 …………………….26
圖4 4 機構投資人 SENT1投資人情緒分配圖 …………………………..…26
圖4 5 機構投資人 Ri,t Rf,t異常報酬分配圖 ……………………..……..…27
圖4 6 非機構投資人 Rm,t Rf,t市場風險溢酬分配圖 ……………………....27
圖4 7 非機構投資人 SMB公司 風險 溢酬分配圖 …………………………..28
圖4 8 非機構投資人 HML淨值市價比風險溢酬分配圖 ………………….28
圖4 9 非機構投資人 SENT2投資人情緒分配圖 …………………………..29
圖4 10 非機構投資人 Ri,t Rf,t異常報酬分配圖 …………………..…...….29
圖4 11 機構投資人 Rm,t Rf,t市場風險溢酬趨勢圖 ………………………..30
圖4 12 機構投資人 SMB公司 風險溢酬 趨勢圖 …………………………...30
圖4 13 機構投資人 HML淨值市價比風險溢酬 趨勢圖 …………………...31
圖4 14 機構投資人 SENT1投資人情緒 趨勢圖 ……………………………31
圖4 15 機構投資人 Ri,t Rf,t異常報酬趨勢圖 ………………………..……32
圖4 16 非機構投資人 Rm,t Rf,t市場風險溢酬 趨勢圖 …………………..…32
圖4 17 非機構投資人 SMB公司 風險溢酬 趨勢圖 ………………………...33
圖4 18 非機構投資人 HML淨值市價比風險溢酬 趨勢圖 ………………...33
圖4 19 非機構投資人 SENT2投資人情緒 趨勢圖 …………………………34
圖4 20 非機構投資人 Ri,t Rf,t異常報酬趨勢圖 ………...…………..…….34
一、中文部分
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3.吳貞慧、劉維琪,2006,台灣上市公司績效與投資人行為偏誤之研究,「財務金融學刊」,第十四卷第二期,頁1-39。
4.吳靖東,2014,投資人情緒對股票報酬之影響-馬可夫狀態轉換模式之應用,「創新與管理」,第十卷第四期,頁67-94。
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7.許菁旂、黃文聰、黃振聰,2015,投資人情緒對低波動異常現象的預測力:市場狀態的影響,「管理學報」,第三十二卷第四期,頁399-424。
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9.陳振遠、周賢榮、王朝仕,2008,投資人情緒風險與新上市公司股票的異常績效-陽光效應之應用,「輔仁管理評論」,第十五卷第一期,頁43-72。
10.蔡佩蓉、王元章、張眾卓,2009,投資人情緒、公司特徵與台灣股票報酬之研究,「經濟研究」,第四十五卷第二期,頁273-322。
11.鄭高輯、林泉源,2010,投資人情緒對投機型股票報酬之影響,「商略學報」,第二卷第一期,頁21-35。
12.劉清標、林筱鳳、陳宏榮,2017,股票報酬與投資人情緒之預測,「財金論文叢刊」,第二十六期,頁1-18。

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