資訊不確定性與股票報酬

Information Uncertainty and Stock Returns

林澤峰(Tse-Feng Lin)

指導教授 ： 楊朝成 ； 陳思寬

國立臺灣大學/管理學院/國際企業學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.02511

摘要

已經有相當多的文獻提出關於短期股價會有慣性現象的證據，一般說來，短期股價慣性是歸因於投資人的行為偏誤，例如對市場新資訊的過度反應。如果短期股票慣性現象是由於投資人的行為偏誤所引起，那麼在高度資訊不確定之下，我們應該可以觀察到較大的股價漂移現象。即在高度資訊不確定時，若伴隨著市場好消息的來臨，將預期能得到較高的股票報酬；反之，若是市場有壞消息釋出時，則預期會得到相對低的股票報酬。而本篇論文是要探討資訊不確定性(Information Uncertainty)對於股價慣性背離現象以及對於橫截面股票報酬的影響。

關鍵字

資訊不確性 ； 行為財務學 ； 股價慣性

並列摘要

There are many substantial evidences of short-term stock price continuation, the prior literatures often attribute it to investor behavioral biases, for example, the underreaction to new information in the market. If short-term stock price continuation is due to investor behavioral biases, we should see the greater stock price anomalies under greater information uncertainty. As a result, the greater information uncertainty is expected to generate relatively higher future returns following good news and relatively lower future returns following bad news. This paper investigates the effects to stock price continuation and cross-section returns under information uncertainty.

並列關鍵字

Information Uncertainty ； Behavioral Finance ； Stock Price Continuation

參考文獻

Ang, A., R. Hodrick, Y. Xing, X. Zhang. (2003). “The Cross-section of Volatility and Expected Returns.” Working paper, Columbia University.

Banz, R. W.. (1981). “The Relationship Between Return and Market Value of Common Stocks.” Journal of Financial Economics 9, 3-18.

Barry, C. B., and S. J. Brown. (1985). “Differential Information and Security Market Equilibrium.” Journal of Financial and Quantitative Analysis 20, 407-422.

Bernard, V., and J. Thomas. (1990). “Evidence that Stock Prices do not Fully Reflect the Implication of Current Earnings for Future earnings.” Journal of Accounting & Economics 13, 305-340.

Carhart, M.. (1997). “On Persistence in Mutual Fund Performance.” Journal of Finance 52, 57-82.