摘要 本文主要研究新聞情緒、股價報酬和價格效率之間的關聯性。研究期間為2014年1月到2018年12月,研究對象為上述期間內於臺灣證券交易所掛牌交易上市之公司。研究結果顯示:1.新聞量越多與新聞情緒越正面,股價報酬越高。表示投資人可以把公司的新聞報導量與新聞情緒作為投資的依據。2.新聞量越多,價格效率越好。所以新聞量越多越好,可能是因為新聞在揭露更多資訊的時候,價格就能反應更多基本面的訊息。3.不管新聞情緒是正面或者負面的,在極端的新聞情緒狀況下,新聞情緒越極端,價格效率越差。所以當新聞情緒偏向極端的時候,資訊可能是比較不準確的,投資人在新聞情緒偏向極端的時候不要過於相信揭露的資訊。
Abstract This article studies the correlation between news sentiment, stock returns and price efficiency with the objects of the companies listed on the Taiwan Stock Exchange from January 2014 to December 2018. The results show that 1. The more media volume and positive news sentiment lead to higher stock returns. Investors may consider the company's media volume and news sentiment when making decisions. 2. The more media volume, the better price efficiency. When the news reveals more information, prices reflect more fundamental information which helps investors to make better decisions. 3. The more extreme news sentiment, the worse price efficiency, regardless of whether the news sentiment is positive or negative. When news sentiment tends to be extreme, the information may be relatively inaccurate, therefore, investors should make careful decisions with extreme news sentiment.