投資人情緒與股票報酬互動關係

DeLong, Shleifer, Summers and Waldmann（1990）的雜訊交易者模型指出市場中非理性雜訊交易者的存在會影響效率市場的運作。國內個別投資者參與度頗高，投資者情緒對市場報酬的影響可能也較明顯，因此本文以市場週轉率、新股發行比和資券餘額比做為情緒指標，檢定情緒因子是否能解釋市場報酬。實證結果發現僅市場週轉率顯著解釋市場報酬，而二者之間亦存在顯著的回饋關係，市場週轉率與下一期市場報酬具負向關係。此外，情緒變數如市場週轉率、新股發行比和資券餘額比受基本面風險的影響，反應投資人並非完全不理性。當利用各投資組合的情緒敏感度高低來建立投資策略時，只有採用買進「市場週轉率高」的股票或買進「市場週轉率高」的股票同時賣出「市場週轉率低」的股票能獲利。

關鍵字

投資人情緒；市場週轉率；新股發行比；資券餘額比

並列摘要

The noise trader model of DeLong, Shleifer, Summers and Waldmann (1990) documented that the existence of irrational noise traders in a market will affect the market to operate effectively. In Taiwan, individual investors have occupied large shares of trading volume. As a result, investor sentiments may have profound effects on market returns. This paper used market turnover, new equity issues and the ratio of margin buying to margin selling as proxies of investor sentiment to examine whether or not the investor sentiment can explain market returns. Empirical results showed that only market turnover could explain market returns significantly, and there was a negative causal relation between them. Additionally, sentiment proxies were affected by fundamental risk, implying that investors were not completely irrational.